An algorithm for the decentralized market coupling problem

In this communication a conceptual algorithm is proposed for the market coupling process in the presence of block orders. The basic idea is to use the Lagrangian relaxation to get a decomposition of the problem that emulates the necessary decentralization process. The feasibility of this procedure is analysed using a simplified model of the problem. In particular, the solution obtained in this decentralized way is contrasted with the numerically exact solution of the problem by evaluating the duality gap. The examples presented suggest that in this way reasonably approximate solutions can be obtained, to improve those obtained through empirical procedures used by the market operators.