Finding multiple Nash equilibria in pool-based markets: A stochastic EPEC approach

David Pozo, Javier Contreras

Research output: Contribution to journalArticlepeer-review

75 Citations (Scopus)

Abstract

We present a compact formulation to find all pure Nash equilibria in a pool-based electricity market with stochastic demands. The equilibrium model is formulated as a stochastic equilibrium problem subject to equilibrium constraints (EPEC). The problem is based on a Stackelberg game where the generating companies (GENCOs) optimize their strategic bids anticipating the solution of the independent system operator (ISO) market clearing. A finite strategy approach both in prices and quantities is applied to transform the nonlinear and nonconvex set of Nash inequalities into a mixed integer linear problem (MILP). A procedure to find all Nash equilibria is developed by generating holes that are added as linear constraints to the feasibility region. The result of the problem is the set of all pure Nash equilibria and the market clearing prices and assigned energies by the ISO. A case study illustrates the methodology and proper conclusions are reached.

Original languageEnglish
Article number5688216
Pages (from-to)1744-1752
Number of pages9
JournalIEEE Transactions on Power Systems
Volume26
Issue number3
DOIs
Publication statusPublished - Aug 2011
Externally publishedYes

Keywords

  • Bilevel programming
  • equilibrium problems with equilibrium constraints (EPEC)
  • pool-based electricity market
  • pure Nash equilibrium

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