Fall 2008 Seminar Series

DATE: October 16, 2008
LOCATION: E40-298
TIME: 4:15pm
Reception immediately following in the ORC ConferenceRoom, E40-106

SPEAKER:
Shmuel Oren

TITLE
Modeling and Computing Oligopolistic Strategic Forward Market Equilibrium in a Congested Electricity Network

ABSTRACT
A model of two-settlement electricity markets with strategic forward and spot transactions is introduced, which accounts for flow congestion, demand uncertainty, system contingencies and market power. We formulate the subgame perfect Nash-Cournot equilibrium for this model as an equilibrium problem with equilibrium constraints (EPEC), in which each firm solves a mathematical program with equilibrium constraints (MPEC). The model assumes linear demand functions, quadratic generation cost functions and a lossless DC-approximated network, which lead the equilibrium constraints in the form of a parametric linear complementarity problem (LCP). The presentation will highlight modeling choices involved in representing the interaction between power generation firms and the Independent system operator and the implications of such choices. The computational model was solved by a special purpose algorithm base on solving quadratic programming sub-problems and on parametric LCP pivoting. Numerical examples and a test case based on the California electricity system demonstrate the computational feasibility of the model and illustrate some interesting economic implications.