Challenges in the formulation of complex orders on European power exchanges

Abstract

Though European day-ahead power exchanges (PXs) generally operate in an environment where participants are self-scheduling, PXs are still supposed to provide clearing results which are rather close to real technical and economic feasibility. The diverse constraints of power plants are of particular concern in this regard, because their proper handling can be difficult even with advanced mathematical tools. For this purpose, the all-European PX [1] introduces complex orders which allow new conditions (Minimum Income, Scheduled Stop and Load Gradient Conditions) to be prescribed eventuating a more precise producer model for the clearing. Nevertheless, additional questions arise during actual implementation because several different mathematical formulations can be found for these novel bid types. This paper attempts to systematically explore the deficiencies and possibilities of complex orders beyond the scope of general description. Several modeling problems and proposals are inspected and evaluated with considerations on market theory, technical feasibility and mathematical programming.