The research will be presented in this book is mainly aiming to fill the above issues and put attention on the future of the European Electricity Market and focuses on the single Day-Ahead and Intra-Day Market.
From the mathematic point of view, the implementation of the coupling DAM in Europe based on different market rules is very complex since all European PXs do not agree to adapt their specific rules to a common rule. Therefore, Pan-European Hybrid Electricity Market Integration Algorithm (EUPHEMIA) is an algorithm developed by Europe PXs to couple all different market rules and handle either standard and more sophisticated order types with all their requirements. However, the optimization methodology provided in EUPHEMIA is based on MIQCP methodology and the heuristic search procedure are limiting the efficiency of the coupling DAM since the time computation of this methodology is very expensive. In fact, the mitigation of the non-convexities introduced in the mathematical model by the market rules requires a large computation time. Therefore, the model has to stop before convergence to a feasible, free of nonconvexities, solution due to the official runtime limit of 10 minutes. This issue leads to the losses of SW and the unfairness for market players, thus it is necessary to understand clearly how the EUPHEMIA works since then proposing new techniques to thoroughly solve this problem.
A similar project has been set up for the coupling of IDM in Europe, called XBID project. The XBID project is willing to boost this level of liquidity in order to guarantee for RES a better environment to develop. In particular, the main issue that must be faced to reach an integrated European IDM is the subdivision of the PXs in two distinct sets: those who have organized their IDM segment using a Continuous Trading mechanism and those who instead developed a system of Discrete Auction. These two solutions present different advantages and disadvantages which can be extremely summarized saying that the first solution brings to higher exchanged volumes and to trade closer to the actual delivering while the second maximizes the SW for a given set of orders. Hence, the single European IDM model is more difficult to develop than the single European DAM model since it requires the flexibility to be able to simulate the results of the European IDM under different possible design decisions about the integration of DA and CT mechanisms which have been not decided yet.
Table of Contents
1 Introduction
1.1 Motivation and Relevance
1.2 Research Objective
1.3 Main Contribution
1.4 The Structure of Thesis
1.5 List of Publications
2 Literature Review
2.1 History of the Liberalization of Electricity Market in Europe
2.2 Relevant stakeholders of European Electricity Market
2.2.1 Regulators
2.2.2 Producers
2.2.3 Transmission System Operators
2.2.4 Power Exchanges
2.2.5 Auction Offices for Cross Border Capacity
2.3 Market Coupling Process
2.3.1 Regional Electricity Markets
2.3.2 Market Coupling Timeline
2.3.3 Congestion Management Allocation Methods
2.3.4 Cross-border Trade Energy in 2014
2.4 Market Integration: Benefits and Obstacles
2.4.1 The Benefits of Market Integration
2.4.2 The Obstacles of Market Integration
3 European Target Model and Relevant Projects
3.1 Introduction
3.2 Capacity Allocation and Congestion Management
3.2.1 The ATC model
3.2.2 The Flow-based model
3.3 Projects of Market Coupling in Europe
3.3.1 Harmonization of Long Term Allocation Rules Project
3.3.2 Price Coupling of Regions Project
3.3.3 Cross-Border Intra-Day Market Project
3.3.4 Cross Border Electricity Balancing Pilot Projects
3.4 Conclusion
4 The Coupling of Day-ahead Electricity Market
4.1 Introduction
4.2 Structure of Day-Ahead Electricity Market in Europe
4.2.1 Type of Orders
4.2.2 Non-Convexities in the Day-Ahead Electricity Market Model
4.2.3 Transmission Network
4.3 Study Case: Price Coupling of Regions Project Impact on Italian Electricity Market
4.3.1 Introduction
4.3.2 Italian Electricity Market and Coupling Process
4.3.3 Data Analyzes
4.3.4 Conclusions
4.4 Uniform Price for the European Day-Ahead Electricity Market
4.4.1 Literature Review
4.4.2 Motivations and contributions
4.4.3 European Day-Ahead Electricity Market Mathematic Model
4.4.4 Test and Results
4.4.5 Conclusion
4.5 Non-Uniform Price for the European Day-Ahead Electricity Market
4.5.1 The Issues of Uniform Price Model
4.5.2 Literature Review
4.5.3 Approach and Contributions
4.5.4 Mathematic Model
4.5.5 Case Study and Result
4.5.6 Conclusion
4.6 A thorough comparison among various approaches on the PUN Sub-Problem
4.6.1 Biography
4.6.2 Mathematic Model based on complementarity theory
4.6.3 Test and Results
4.6.4 Conclusion
4.7 Conclusion
5 The Coupling of Intra-Day Electricity Market
5.1 Introduction
5.2 State-of-the-art of Intra-Day Market in Europe
5.2.1 Market Design
5.2.2 Type of Orders
5.2.3 Capacity Allocation Management
5.3 The Hybrid Intra-Day Market Mechanism
5.3.1 Goal and Contributions of the Model
5.4 Mathematic Model
5.4.1 Optimization Problem
5.4.2 Data Processing Module
5.5 Hybrid Intra-Day Market Mechanism
5.6 Test and Result
5.6.1 Case Study
5.6.2 Result
5.7 Conclusion
6 Conclusions and Future Work
6.1 Conclusions
6.2 Future Work
Research Objectives and Themes
The primary research objective is to develop and implement advanced mathematical models to optimize the coupling of Day-Ahead Markets (DAM) and Intra-Day Markets (IDM) within the European electricity sector. The research focuses on minimizing computational time while ensuring that all market constraints are respected to facilitate efficient market integration and fairness for all participants, with a specific case study on the Italian electricity market.
- Mathematical optimization of European Day-Ahead and Intra-Day Market coupling.
- Evaluation of the Price Coupling of Regions (PCR) impact on the Italian market.
- Development of unified models addressing non-convexities, such as Minimum Income Conditions (MIC) and block orders.
- Enhancing computational efficiency in market clearing algorithms compared to current methods like EUPHEMIA.
- Analysis and validation of market clearing and congestion management in real-world scenarios.
Excerpt from the Book
1.1 Motivation and Relevance
The liberalization of Electricity started from Chile in the post-World War II period with the 1982 Electricity Act, and then reached Europe in the 90s, first in the United Kingdom and subsequently, it speared panoramically all over Europe [2]. Basically, the electricity markets in Europe follow a zonal design, thus it neglects intra-zonal congestion. Consequently, market prices are equal for all market players in the respective zone and only reflect the marginal cost of generators and marginal utility [3]. Furthermore, the national electricity markets in Europe are not isolated but connected through transmission lines and economic arrangements. The congestion on interconnectors is managed in a preventive way by determining the available transfer capacity as well as by allocating it to market players according to implicit and explicit auctions.
It should be noted that the evolutionary of European electricity market is highlighted by the Internal Energy Market (IEM) on the wholesale market level with the main idea which is to create a harmonized and competitive electricity market in Europe in 2030. The IEM in Europe which is a long-term goal of the European Commission is known through the three European Energy Packages in 1996, 2003 and 2009 [4–6], respectively. The main goal of these packages is to create a European electricity market with non discriminatory freedom of competition and a maximum of cross-border trade which ultimately result in efficient gains and higher security of supply. In particular, the European Council reinforced the political support and effective integration process, fixed a specific date, and accelerated the implementation in the third package [6]. However, transforming formerly regulated and nationalized electricity systems is a complex mission and requires the various measures and their practical implementation. Therefore, the Heads of State and Government stated that "The internal market should be completed by 2014 so as to allow gas and electricity to flow freely" [7] in order to provide a strong momentum for this target.
Summary of Chapters
1 Introduction: Provides the context of European market liberalization, states the research objectives regarding advanced mathematical models for market coupling, and outlines the thesis structure.
2 Literature Review: Details the historical path of European market liberalization, key stakeholders (TSOs, PXs, Regulators), and the progression of market coupling mechanisms.
3 European Target Model and Relevant Projects: Examines the European Union's target model for market integration, specifically focusing on capacity allocation and congestion management via ATC and Flow-Based models.
4 The Coupling of Day-ahead Electricity Market: Presents the primary mathematical models for DAM coupling, including the Uniform Price Model and the Non-Uniform Price Model, and evaluates their performance.
5 The Coupling of Intra-Day Electricity Market: Discusses the structure of Intra-Day Markets in Europe, proposes the CTMA mathematical model, and simulates hybrid integration designs.
6 Conclusions and Future Work: Summarizes the key findings of the research and identifies potential future research trajectories for the European electricity market integration.
Keywords
Electricity Market, Market Coupling, Day-Ahead Market, Intra-Day Market, Price Coupling of Regions (PCR), Social Welfare Maximization, Congestion Management, EUPHEMIA, Mixed-Integer Quadratic Constraint Programming (MIQCP), Non-convexity, Transmission System Operators (TSOs), Power Exchanges (PXs), European Internal Energy Market (IEM), Renewable Energy Sources (RES), Optimization Models.
Frequently Asked Questions
What is the primary scope of this research?
The research focuses on the mathematical modeling and optimization of the European electricity market coupling, specifically for both Day-Ahead and Intra-Day timeframes, to facilitate a harmonized Internal Energy Market (IEM).
What are the core thematic areas covered?
The book addresses market design liberalization, stakeholders' roles, congestion management methodologies (ATC vs. Flow-Based), and the implementation of advanced optimization algorithms for market clearing.
What is the central research goal?
The goal is to propose advanced mathematical models for market coupling that enhance performance and minimize computational time while effectively handling complex market rules and non-convexities.
Which scientific methods are utilized?
The research utilizes Mixed-Integer Quadratic Constraint Programming (MIQCP), Mixed-Integer Linear Programming (MILP), and Complementarity Theory to formulate and solve market clearing problems.
What topics are discussed in the main chapters?
The chapters cover literature reviews on market history, the European target model, the mathematical formulation for Day-Ahead and Intra-Day coupling, and detailed case studies verifying the models' performance.
Which keywords define this work?
Key terms include Market Coupling, Day-Ahead Market, Intra-Day Market, Price Coupling of Regions, Congestion Management, Social Welfare Maximization, and MIQCP optimization.
How does the proposed "Uniform Price Model" differ from existing approaches?
The model improves upon existing methods by providing a unified, more efficient mathematical framework that mitigates non-convexities caused by block and MIC orders while reducing computation time.
What is the practical application of the Italian case study?
The study provides a detailed, real-world evaluation of how the Price Coupling of Regions (PCR) project specifically impacted Italian market liquidity, congestion, and electricity price convergence after 2015.
- Quote paper
- Le Hong Lam (Author), 2017, The Integration of the European Electricity Market, Munich, GRIN Verlag, https://www.grin.com/document/495127
