Auction design in day-ahead electricity markets

Competition in day-ahead electricity markets has been established through auctions where generators and loads bid prices and quantities. Different approaches have been discussed regarding the market auction design. Multi-round auctions, despite its implementation complexity, allow market participants to adapt their successive bids to market prices considering their operational and economic constraints. However, most of the day-ahead electricity market implementations use noniterative single-round auctions. This paper presents a market simulator to compare both auction models. Different auction alternatives, such as the Spanish single-round auction that takes into account special conditions included in the generator bids, and multi-round auctions with different stopping rules, are analyzed. The results and acquired experience in the simulation of the Spanish market, started in January 1998, are presented. Hourly market prices, average daily price, price/demand correlation and several economic efficiency indicators, such as generator surplus, consumer surplus and social welfare, are compared to derive conclusions regarding the performance of the auction alternatives     

Auction design in day-ahead electricity markets

Competition in day-ahead electricity markets has been established through auctions where generators and loads bid prices and quantities. Different approaches have been discussed regarding the market auction design. Multi-round auctions, despite its implementation complexity, allow market participants to adapt their successive bids to market prices considering their operational and economic constraints. However, most of the day-ahead electricity market implementations use noniterative single-round auctions. This paper presents a market simulator to compare both auction models. Different auction alternatives, such as the Spanish single-round auction that takes into account special conditions included in the generator bids, and multi-round auctions with different stopping rules, are analyzed. The results and acquired experience in the simulation of the Spanish market, started in January 1998, are presented. Hourly market prices, average daily price, price/demand correlation and several economic efficiency indicators, such as generator surplus, consumer surplus and social welfare, are compared to derive conclusions regarding the performance of the auction alternatives     

The importance of market interdependencies in modeling energy systems - The case of the European electricity generation market

The analysis of complex electricity generation systems such as the European one require large scale models based on extensive databases of the relevant infrastructures. Such models are increasingly used to assist policymaking by developing scenarios to investigate the impact of certain policies on generation capacities, investments and prices. The continuing liberalization and interconnection of energy markets thereby requires the considerations of multiple interdependencies with other markets. Most models, however, do not take this into account. This paper develops and applies a large scale electricity investments and dispatch and natural gas market dispatch model to highlight the importance of recognizing interdependencies between power generation and the gas market. In an exemplary analysis, it is demonstrated that seasonal gas price patterns resulting from temperature-dependent household gas demand have a significant impact on the competitiveness of gas-fired power stations in competition with other technologies. Spatially, we show that competitive cost-based gas prices would lead to a relocation of such plants closer to the sources of natural gas.     

区域电力市场交易模式的经济机理剖析

在我国正积极推动区域电力市场建设的背景下,详细研究了区域统一市场和区域共同市场2种不同模式的经济机理,并定量化地研究了在需求弹性和需求刚性条件下,以上2种模式的区域资源优化配置效率、社会剩余的变化规律、特点和适用范围.市场效率的对比结果表明:在需求具有弹性的双边开放市场中,区域统一市场的资源配置效率高于区域共同市场;而在负荷刚性的发电侧单独开放市场中,这2种模式能够获得相同的资源优化配置效率.     

考虑需求弹性的电力市场边际电价概率学预测

在电力市场环境下,各种需求侧响应措施可有效增加需求价格弹性。电力市场的价格预测不仅要考虑需求侧和供应侧的随机不确定性,而且要充分计入需求价格弹性等经济因素的影响。基于系统边际发电单元的概念,应用有关概率理论和随机生产模拟技术,提出了一种计入需求价格弹性因素的边际电价概率学预测方法。该方法还为电力市场环境下需要考虑一定需求弹性时的发电系统可靠性指标估计提供了一种可行途径。算例分析证明方法的合理性和有效性,并且表明,增加需求价格弹性,可有效降低边际电价及其不确定性,改善系统发电容量的充裕性。     

Cournot Prices Considering Generator Availability and Demand Uncertainty

When electricity becomes deregulated, the price of electricity is not determined by a regulatory authority but by market demand, supply conditions, and strategic behavior. Several oligopoly models have been proposed for representing strategic behavior in electricity markets, notable among which is the Cournot model. The literature on this model has for the most part provided a deterministic treatment of the demand and supply side quantities. The market, however, is subject to both supply and demand side uncertainties. This paper provides analytical models and procedures based on generation system and load data for probabilistically representing two different market competition models-one is based on perfect competition and the other based on asymmetric oligopoly (Cournot). We account for the availability of generating units and show its effects on market prices. We also study the effects on a firm's expected profit when generator availabilities are neglected in the offers decisions. A numerical example is given for an electricity market for which the expected duration curve of the Nash-equilibrium electricity price as well as the mean of the individual firms' profits are calculated. The effects of unit commitment, transmission congestion, and transmission outages are not considered     

How can energy storage catalyze GCC electricity policy? Issues and options

Saudi Arabia and other Gulf Cooperation Council (GCC) members have a parallel agenda of electricity market reforms together with ambitious goals of renewable energy deployment. The motivation for this agenda is multifaceted and extends beyond increasing economic efficiency. Renewable integration raises market and regulatory design issues for countries transitioning to markets and high levels of renewables though. This difficulty or perhaps even incompatibility may undercut both policies’ objectives. This paper analyses the implications of deploying new energy storage in this context. Although storage services would facilitate the integration of renewables and market restructuring policies, deploying this novel technology would raise additional regulatory issues in the electricity sector. Ignoring these regulatory challenges could not only lead to unnecessary costs of transition but also make it more difficult to obtain the full benefits of other economic policy objectives such as the removal of subsidies to relieve public finances and the release oil for sale in international markets.     

Assessing the market power due to the network constraints in competitive electricity markets

The physical and operational constraints of the network pose very specific problems to market power analysis in the oligopolistic electricity markets. This paper presents a direct analytical approach to find the market equilibrium based on a supply function game model. The model is exploited to undertake a sensitivity analysis of the producer surplus with reference to the line flow limits under a DC power flow model for network representation. Two different kinds of indices, that can capture the market power arising under network constraints, are proposed. The first set of indices is the location privilege (LP), that measure the effect of the generators positioning in the grid on their surplus under perfect competition. The second set is for the network market power (NMP) indices that take into account the strategic behaviors of the producers that may take advantage of the congestion of the transmission lines. The indices allow for a ranking of the lines in terms of the market power they can induce and, in this respect, they may help the market regulator to focus on the network weakness in terms of the possible market outcomes under the market power behaviors from the supply side. The application of the proposed indices is illustrated with reference to the IEEE 30-bus test system.     

Modeling electricity markets with hidden Markov model

This paper proposes to model the movements of electricity markets as partially observable Markov processes driven by underlying economic forces. An electricity market is modeled as a dynamic system evolving over time according to Markov processes. At any time interval, the electricity market can be in one state and transition to another state in the next time interval. This paper models the states of an electricity market as partially observable, while each state has incomplete observations such as market-clearing price and quantity. The true market states are hidden from a market participant behind the incomplete observation. The hidden Markov model (HMM) is of a more fundamental approach and focuses on capturing the interaction of supply and demand forces on electricity markets. Such an approach is appropriate because the simultaneous production and consumption of electricity eliminates the storage sector, while limited transmission networks segment electricity markets. This model is shown to be able to link the fundamental drivers to the price behaviors; therefore, it provides forecast power for mid-term and long-term price movements. This work applies HMM to historical data from New York independent system operator (NYISO), and examples are given to illustrate the forecast power of HMM.     

Texas electricity service crisis through an energy justice lens

The ongoing energy transition, including the rapid electrification of energy services, reinforces the importance of secure and reliable electricity infrastructure. Electricity as a critical energy carrier cuts across sectoral boundaries, including but not limited to public health, national security, education, and transportation. Electricity markets treat electricity as a commodity bought and sold in the different restructured markets of the United States and are a critical feature of power systems shaping the energy transition. However, current electricity market developments primarily rely on techno-economic indicators and fall short of incorporating ethical considerations to spur energy transition towards 100% renewable electricity as end-use energy. Even though electricity markets are designed based on the assumption that they are socially valuable, they essentially go unmeasured based on social and ethical parameters and are largely measured using technical and economic tools and criteria. These inadequacies in the development of electricity markets fail to provide energy and other allied services, particularly during and in the aftermath of a disaster, to the people who need them the most. This paper aims to provide an analytical framework using the foundational approach of energy justice for looking at the electricity market development. The paper utilizes the case of the Texas electricity market and its role in dealing with the electricity crisis in Texas during the winter storm of 2021 from the critical lens of energy justice. The paper shows that using the foundational approach of energy justice, the electricity market can be designed more ethically by considering electricity as means rather than only a market commodity.     

Quantifying the Effect of Demand Response on Electricity Markets

It is widely agreed that an increased participation of the demand side in the electricity markets would produce benefits not only for the individual consumers but also for the market as a whole. This paper proposes a method for quantifying rigorously the effect that such an increase would have on the various categories of market participants. A new centralized complex-bid market-clearing mechanism has been devised to take into consideration the load shifting behavior of consumers who do submit price-sensitive bids. The effects of the proportion of demand response on the market are illustrated using a test system with ten generating units scheduled over 24 periods.      

Valuation of switchable tariff for wind energy

The current fixed tariff remuneration for wind energy is not compatible with the deregulation of the electric power industry. The time-varying and location-dependent value of renewable energy is not acknowledged. The newly announced switchable tariff for wind energy in the Spanish electricity market provides a promising solution to compensating renewable energy within the deregulated electric power industry. The new switchable tariff provides wind generators more flexibility in operating wind generation assets. Such flexibilities provide option value in coordinating the seasonality of wind energy, demand on electric power and electricity prices movement. This paper models and valuates the flexibility on switching tariff as real compound options for wind generators. Numerical examples valuate wind generation assets under fixed tariff, spot market price taking, and yearly and monthly switchable tariffs. The optimal switching strategies are identified. The impacts of the switchable tariff on sitting criteria and values of wind generation assets are investigated. An improvement on the yearly switchable tariff is suggested to further reduce the operation risk of wind generators and fully explore the efficiency provided by competitive electricity markets.     

双轨制下中长期交易电量放开规模测算方法

随着中长期交易电量规模持续扩大,交易结果不断挤压系统可调度空间,威胁着系统安全运行,且大量交易结果可能由于电网运行约束被削减,容易引发市场成员对市场公平性的质疑.因此,探究中国计划电量与市场电量"双轨制"下的中长期交易电量放开规模,既有助于明确电力市场的演变态势,又有利于实现电网运行安全和经济效率的统筹优化.文中提出了中长期交易电量放开规模测算方法,该方法兼顾市场化电量出清优化与电网运行安全,构建一个考虑市场经济效益和电网运行约束的双层优化模型.上层为以社会福利最大为目标的市场化电量优化出清模型,下层为考虑输电线路传输容量、系统供热需求、机组检修安排、电厂最小开机方式等电网运行约束的市场化电量校核模型.针对该双层优化模型,提出上下层迭代算法进行求解,并将市场化电量执行约束松弛化处理,以保证模型的可解性.中国某省级电网的实际算例分析验证了所提模型与算法的有效性和实用性.     

Modeling and forecasting electricity prices with input/output hidden Markov models

In competitive electricity markets, in addition to the uncertainty of exogenous variables such as energy demand, water inflows, and availability of generation units and fuel costs, participants are faced with the uncertainty of their competitors' behavior. The analysis of electricity price time series reflects a switching nature, related to discrete changes in competitors' strategies, which can be represented by a set of dynamic models sequenced together by a Markov chain. An input-output hidden Markov model (IOHMM) is proposed for analyzing and forecasting electricity spot prices. The model provides both good predictions in terms of accuracy as well as dynamic information about the market. In this way, different market states are identified and characterized by their more relevant explanatory variables. Moreover, a conditional probability transition matrix governs the probabilities of remaining in the same state, or changing to another, whenever a new market session is opened. The model has been successfully applied to real clearing prices in the Spanish electricity market.     

多级电力市场之间协调的模型与方法

在电力工业市场化运行过程中,年度/月度合约交易市场、日前市场、时前/实时平衡市场及辅助服务市场是并存的,而电力各个市场之间的衔接与协调一直是电力市场理论研究中的一个重要问题.目前国内外真正实现多级电力市场的情况并不多见,而对于经济性、安全性进行多级市场协调的研究也不够深入.为此,提出了多级市场之间协调的模型与方法,能够做到在保障电网安全稳定经济运行的情况下保证市场公平交易.     

面向多级市场出清的负荷聚合商联合交易策略

在以新能源为主体的新型电力系统发展模式下,电网将面临灵活性资源严重不足的问题,亟需引导用户侧可调控资源主动参与系统的平衡调节服务。提出一种考虑日前主能量市场、日前备用市场及实时平衡市场的多级市场衔接框架,基于负荷聚合商引导终端用户参与至多级耦合市场的市场化调度中。在日前主能量市场与备用市场,提出负荷聚合商可调节负荷状态感知模型及日前电能量与备用联合市场的竞价模型,系统运营商实现日前主辅能量市场的阶段性出清。在实时平衡市场,提出负荷聚合商基于用户侧富余可调节资源的实时平衡市场竞标模型,系统运营商基于实际系统运行需求实现平衡资源的出清与备用资源的调度。最后基于 IEEE 30 节点系统验证了所提出市场框架可有效激励用户侧主动响应电网调控需求、降低系统供需不平衡风险。     

南方区域电网中长期电力统一交易模式设计

为了通过市场手段促进区域层面资源优化配置,实现南方区域省间电力资源余缺调剂,基于南方区域各省电力市场建设情况,提出符合南方区域统一电力市场建设的南方区域中长期电力交易基本规则的设计,设计内容包括市场管理、中长期交易机制、衔接机制以及适应现货市场的交易结算机制.该规则设计结合南方区域的经济发展结构、能源分布特点,在最大程...     

需方用电管理的电价策略与效益评估

需方用电管理（DSM）是一种在用户有效参与下充分利用电力资源的系统工程,供电部门借助各种刺激手段,鼓励用户采取有效措施和节能技术,影响电力需求,改善电力负荷曲线,从而降低发电和输电成本,为适应电力市场的需要,全面掌握需方用电管理的各种有效手段及其效益评估方法。综合分析并总结了实施需方用电管理的各种电价策略,给出并详细论述了实施DSM给系统所带来的效益评估模型和方法,指出实施需求侧管理将对供用电双方产生巨大的经济效益,并对改善环境,减少污染带来显著影响。     

基于价值认同的需求侧电能共享分布式交易策略

分布式电源、储能和柔性负荷的集成赋予了需求侧灵活调控能力,使其能够以产消者身份进行电能共享,从而促进电力资源的优化配置。为此,针对电能共享市场的交易机制进行研究,文章提出了基于价值认同的需求侧电能共享分布式交易策略,旨在降低电力市场的交易成本并提高市场效率。首先,基于剩余理论设计了边际价格驱动下的电能共享模式,同时基于最优反应函数建立了市场博弈模型,揭示了市场无序竞争导致的无谓损失。对此,提出了价值认同机制以提高电能共享市场的运营效率,并设计了基于一致性算法的分布式交易策略以实现产消者间的去中心化交易,从而保护用户的隐私安全。最后,通过数值仿真验证了所提交易策略能够实现电能共享市场的帕累托改进并促进电力资源的优化配置。     

基于价值认同的需求侧电能共享分布式交易策略

分布式电源、储能和柔性负荷的集成赋予了需求侧灵活调控能力,使其能够以产消者身份进行电能共享,从而促进电力资源的优化配置。为此,针对电能共享市场的交易机制进行研究,文章提出了基于价值认同的需求侧电能共享分布式交易策略,旨在降低电力市场的交易成本并提高市场效率。首先,基于剩余理论设计了边际价格驱动下的电能共享模式,同时基于最优反应函数建立了市场博弈模型,揭示了市场无序竞争导致的无谓损失。对此,提出了价值认同机制以提高电能共享市场的运营效率,并设计了基于一致性算法的分布式交易策略以实现产消者间的去中心化交易,从而保护用户的隐私安全。最后,通过数值仿真验证了所提交易策略能够实现电能共享市场的帕累托改进并促进电力资源的优化配置。