Multi-node offer stack optimization over electricity networks

Abstract

In this work we examine the problem that electricity generators face when offering power at multiple locations into an electricity market. The amount of power offered at each node can affect the price at the other node, so it is important to optimize all offers simultaneously. Even with perfect information (i.e. known demand, and known offers from competitors) this is a non-convex bi-level optimization problem. We first show how this can be formulated as an integer program using special ordered sets of type 2 (SOS2) enabling this problem to be solved efficiently. We then extend this work to allow for uncertainty, and hence find the profit maximising offer stacks at each node (as opposed to a single quantity, as in the deterministic case). We demonstrate the intuition that we can gain from this model in a simple two-node example, and discuss extensions to this work such as the co-optimization of reserve and generation, as well as demand-side bidding.