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

Gokhan Ceyhan, Murat Koksalan, Banu Lokman*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
JournalEuropean Journal of Operational Research
Publication statusAccepted for publication - 4 Oct 2021

Keywords

  • OR in energy
  • day-ahead electricity marketing clearing problem
  • mixed-integer linear programming
  • Benders decomposition

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