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Stream: Optimization in industry, business and finance

Chair: Cristian Pelizzari

1. Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
   Cristian Pelizzari, Paolo Falbo, Luca Taschini
   
   
   

   We investigate the effect of an ETS and renewables on electricity generation investment in energy-only markets. We model the energy mix decision between conventional and renewable generation with uncertain demand. When increasing renewable capacity, a higher share of renewable production can be priced at the higher marginal cost of conventional production, yet the likelihood of achieving higher profits reduces because more demand is met by cheaper renewable generation. A numerical application shows that allowances markets supply unsatisfactory low-carbon solutions to the energy mix problem.
   
   

2. Electricity market model with demand elasticity: existence of solutions and stability
   Rossana Riccardi, Elisabetta Allevi, Didier Aussel, Francesca Bonenti
   
   
   

   We consider a model of electricity market based on a multi-leader-common-follower approach where the producers as leaders are at the upper level and the Independent System Operator (ISO) as a common follower is at the lower level. The bids are assumed to be convex quadratic functions of the production quantity. The demand is endogenously determined. The market clearing will determine the market price in a pay-as-clear way. We present illustrative numerical examples from an electricity power market model and state some conditions for the existence of equilibria for for this market.
   
   

3. Nash Equilibrium in Pay-as-bid Electricity Market
   Miroslav Pistˇek, Didier Aussel, Pascale Bendotti
   
   
   

   The competition of producers in a pay-as-bid electricity market is modelled as an equilibrium problem with equilibrium constraints imposed by an Independent System Operator. First we find the best response of a producer given the bid functions of other producers. Then we provide a full characterization of Nash equilibria. There are two distinct classes of such equilibria corresponding to monopolistic or fully competitive market. For both situations we discuss necessary and sufficient conditions for existence of equilibrium, and we provide analytic formulae for the respective market prices.