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

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    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
    Pages (from-to)713-726
    Number of pages14
    JournalEuropean Journal of Operational Research
    Volume300
    Issue number2
    Early online date8 Mar 2022
    DOIs
    Publication statusPublished - 16 Jul 2022

    Keywords

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

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