Nash equilibrium in strategic bidding: a binary expansion approach

Author

Barroso, Luiz Augusto ; Carneiro, Rafael Dix ; Granville, Sérgio ; Pereira, Mario V. ; Fampa, Marcia H C

Author_Institution

Power Syst. Res., COPPE/UFRJ, Rio de Janeiro, Brazil

Volume

21

Issue

2

fYear

2006

fDate

5/1/2006 12:00:00 AM

Firstpage

629

Lastpage

638

Abstract

This paper presents a mixed integer linear programming solution approach for the equilibrium problem with equilibrium constraints (EPEC) problem of finding the Nash equilibrium (NE) in strategic bidding in short-term electricity markets. A binary expansion (BE) scheme is used to transform the nonlinear, nonconvex, NE problem into a mixed integer linear problem (MILP), which can be solved by commercially available computational systems. The BE scheme can be applicable to Cournot, Bertrand, or joint price/quantity bidding models. The approach is illustrated in case studies with configurations derived from the 95-GW Brazilian system, including unit-commitment decisions to the price-maker agents.

Keywords

integer programming; linear programming; power markets; 95-GW Brazilian system; Nash equilibrium; binary expansion approach; equilibrium constraints; equilibrium problem; joint price-quantity bidding; mixed integer linear programming; price-maker agents; short-term electricity markets; strategic bidding; unit commitment decisions; Constraint optimization; Electricity supply industry; Game theory; Iterative methods; Linear programming; Mixed integer linear programming; Nash equilibrium; Power generation; Power system modeling; Regulators; Electricity pool market; Nash equilibrium (NE); game theory; market models; mixed-integer linear programming (MILP);

fLanguage

English

Journal_Title

Power Systems, IEEE Transactions on

Publisher

ieee

ISSN

0885-8950

Type

jour

DOI

10.1109/TPWRS.2006.873127

Filename

1626367