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

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  • Ceyhan, Gökhan
  • Köksalan, Murat
  • Lokman, Banu

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.

Suggested Citation

  • Ceyhan, Gökhan & Köksalan, Murat & Lokman, Banu, 2022. "Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently," European Journal of Operational Research, Elsevier, vol. 300(2), pages 713-726.
    • Handle: RePEc:eee:ejores:v:300:y:2022:i:2:p:713-726
    DOI: 10.1016/j.ejor.2021.10.007
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    References listed on IDEAS

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    8. Mehdi Madani & Mathieu Van Vyve, 2017. "A MIP framework for non-convex uniform price day-ahead electricity auctions," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 5(1), pages 263-284, March.
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    Cited by:

    1. Fragkogios, Antonios & Qiu, Yuzhuo & Saharidis, Georgios K.D. & Pardalos, Panos M., 2024. "An accelerated benders decomposition algorithm for the solution of the multi-trip time-dependent vehicle routing problem with time windows," European Journal of Operational Research, Elsevier, vol. 317(2), pages 500-514.
    2. Weninger, Dieter & Wolsey, Laurence A., 2023. "Benders-type branch-and-cut algorithms for capacitated facility location with single-sourcing," European Journal of Operational Research, Elsevier, vol. 310(1), pages 84-99.

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