Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently

Date

2022-07-16

Author

Ceyhan, Gökhan
Köksalan, Mustafa Murat
Lokman, Banu

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© 2021 Elsevier B.V.We study the day-ahead electricity market clearing problem under the prevailing market design in the European electricity markets. We revisit the Benders decomposition algorithm that has been used to solve this problem. We develop new valid inequalities that substantially improve the performance of the algorithm. We generate instances that mimic the characteristics of past bids of the Turkish day-ahead electricity market and conduct experiments. We use two leading mixed-integer programming solvers, IBM ILOG Cplex and Gurobi, in order to assess the impact of employed solver on the algorithm performance. We compare the performances of our algorithm, the primal-dual algorithm, and the Benders decomposition algorithm using the existing cuts from the literature. The extensive experiments we conduct demonstrate that the price-based cuts we develop improve the performance of the Benders decomposition algorithm and outperform the primal-dual algorithm.

Subject Keywords

Benders decomposition, Day-ahead electricity market clearing problem, Mixed-integer linear programming, OR in energy

URI

https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85119197487&origin=inward
https://hdl.handle.net/11511/97635

Journal

European Journal of Operational Research

DOI

https://doi.org/10.1016/j.ejor.2021.10.007

Collections

Department of Industrial Engineering, Article

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Citation Formats

G. Ceyhan, M. M. Köksalan, and B. Lokman, “Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently,” European Journal of Operational Research, vol. 300, no. 2, pp. 713–726, 2022, Accessed: 00, 2022. [Online]. Available: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85119197487&origin=inward.