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Block order restrictions in combinatorial electric energy auctions
Meeus, Leonardo Verhaegen, K. Belmans, Ronnie
Meeus, Leonardo
Verhaegen, K.
Belmans, Ronnie
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2009
Journal
European Journal of Operational Research
Book
Publication Volume
196
Publication Issue
3
Publication Begin page
1202
Publication End page
1206
Publication NUmber of pages
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Abstract
In Europe, the auctions organized by “power exchanges” one day ahead of delivery are multi-unit, double-sided, uniformly priced combinatorial auctions. Generators, retailers, large consumers and traders participate at the demand as well as at the supply side, depending or whether they are short or long in electric energy. Because generators face nonconvex costs, in particular startup costs and minimum run levels, the exchanges allow "block orders" that are allor-nothing orders of a given amount of electric energy in multiple consecutive hours, while the standard order consists of an amount for a single hour that can be curtailed. All exchanges restrict the size (MWh/h), the type (span in terms of hours) or the number (per participant per day) of blocks that can be introduced. This paper discusses the rationale of block order restrictions. Based on simulations with representative scenarios, it is argued that the restrictions could be relaxed, which some exchanges have already started doing.
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Keywords
Energy Markets, OR in Energy, E-commerce, Combinatorial Auctions/bidding, Pricing, Integer Programming