Revisiting European day-ahead electricity market auctions : MIP models and algorithms

In Europe, orders are submitted to power exchanges integrated under the Price Coupling of Region project, to sell or buy substantially large amounts of electricity for the next day. The orders involved render the underlying microeconomic optimization problem “non-convex”, departing from more classical assumptions in microeconomic theory. Uniform prices are computed, in the sense that every market participant in a given location and hour of the day will pay or receive the same electricity price and no other side payments are considered. This is done at the expense of having some bids "paradoxically rejected" at the computed market prices, as some bids may propose a price which is "good enough" but are yet rejected. It is also at the expense of welfare optimality, as most of the time, no welfare optimal solution can be supported by uniform prices such that no financial losses are incurred. The present thesis proposes mixed integer programming models and algorithms for such non-convex uniform price auctions. In particular, a new bidding product is proposed which generalizes both block orders used in the Central Western Europe Region or Northern countries, and, mutatis mutandis, complex orders with a minimum income condition used in Spain and Portugal.