英文标题：
《A New Approach to Electricity Market Clearing With Uniform Purchase
Price and Curtailable Block Orders》
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作者：
Iacopo Savelli, Bertrand Corn\\\'elusse, Antonio Giannitrapani, Simone
Paoletti, Antonio Vicino
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最新提交年份：
2018
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英文摘要：
The European market clearing problem is characterized by a set of heterogeneous orders and rules that force the implementation of heuristic and iterative solving methods. In particular, curtailable block orders and the uniform purchase price (UPP) pose serious difficulties. A block is an order that spans over multiple hours, and can be either fully accepted or fully rejected. The UPP prescribes that all consumers pay a common price, i.e., the UPP, in all the zones, while producers receive zonal prices, which can differ from one zone to another. The market clearing problem in the presence of both the UPP and block orders is a major open issue in the European context. The UPP scheme leads to a non-linear optimization problem involving both primal and dual variables, whereas block orders introduce multi-temporal constraints and binary variables into the problem. As a consequence, the market clearing problem in the presence of both blocks and the UPP can be regarded as a non-linear integer programming problem involving both primal and dual variables with complementary and multi-temporal constraints. The aim of this paper is to present a non-iterative and heuristic-free approach for solving the market clearing problem in the presence of both curtailable block orders and the UPP. The solution is exact, with no approximation up to the level of resolution of current market data. By resorting to an equivalent UPP formulation, the proposed approach results in a mixed-integer linear program, which is built starting from a non-linear integer bilevel programming problem. Numerical results using real market data are reported to show the effectiveness of the proposed approach. The model has been implemented in Python, and the code is freely available on a public repository.
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中文摘要：
欧洲市场清算问题的特点是一组异构的指令和规则，强制实施启发式和迭代求解方法。特别是，可削减的大宗订单和统一采购价格（UPP）带来了严重的困难。区块是一个跨越多个小时的订单，可以完全接受，也可以完全拒绝。UPP规定，所有地区的所有消费者都要支付一个共同的价格，即UPP，而生产者则要支付不同地区的区域价格。UPP和大宗订单同时存在的市场清算问题是欧洲环境下的一个重大未决问题。UPP方案导致了一个同时涉及原始变量和对偶变量的非线性优化问题，而块序则引入了多时相约束和二进制变量。因此，在同时存在区块和UPP的情况下，市场清算问题可被视为一个非线性整数规划问题，涉及具有互补和多时相约束的原始变量和对偶变量。本文的目的是提出一种非迭代且无启发式的方法来解决存在可缩减大宗订单和UPP的市场清算问题。该解决方案是精确的，没有达到当前市场数据分辨率的近似值。通过求助于一个等价的UPP公式，该方法得到了一个混合整数线性规划，该规划是从一个非线性整数双层规划问题开始建立的。使用真实市场数据的数值结果表明了该方法的有效性。该模型已经用Python实现，代码可以在公共存储库中免费获得。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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