Simultaneous optimal auctions using augmented lagrangian and surrogate optimization
AssigneesSouthern California Edison Company, University of Connecticut
InventorsJoseph H. Yan, Peter B. Luh, Gary A. Stern, William E. Blankson, Ernan Ni, Ying Chen, Feng Zhao, Yaming Ma
Life of this patent
Estimating the term…
Abstract
A method for determining a market clearing price (“MCP”) in an electricity market, in which an objective function relates the MCP and constraints in terms of a nonlinear programming expression, and the MCP is found by resolving an augmented Lagrangian dual function using a surrogate optimization framework. A system is also provided.
Claims12
A system for determining an electricity market clearing price, subject to a plurality of constraints and an actual purchase cost, comprising:
- a data processing system in communication with a mass storage device;
- the mass storage device tangibly embodying program instructions that when executed by the data processing system perform the method steps of:
- encoding an objective function relating the electricity market clearing price and plurality of constraints in terms of a nonlinear programming expression;
- forming a Lagrangian dual function from the objective function;
- resolving the Lagrangian dual function using a surrogate optimization framework and the actual purchase cost;
- and
- determining the market price as a function of the resolved Lagrangian dual function where the encoded objective function is:
- J
- ≡
- ∑
- t
- =
- 1
- T
-
-
- ∑
- i
- =
- 1
- I
-
-
- {
- MCP
-
- (
- t
- )
-
- p
- i
-
- (
- t
- )
- +
- S
- i
-
- (
- t
- )
- }
- and MCP(t) is the electricity market clearing price during time t, pi(t) is the amount purchased from a supplier i during a time t, and Si(t) is the capacity related cost of the supplier i during the time t.
A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for determining an electricity market clearing price, subject to a plurality of constraints and an actual purchase cost, said method steps comprising:
- encoding an objective function relating the electricity market clearing price and plurality of constraints in terms of a nonlinear programming expression;
- forming a Lagrangian dual function from the objective function;
- resolving the Lagrangian dual function using a surrogate optimization framework and the actual purchase cost;
- and
- determining the market price as a function of the resolved Lagrangian dual function where the encoded objective function is:
- J
- ≡
- ∑
- t
- =
- 1
- T
-
-
- ∑
- i
- =
- 1
- I
-
-
- {
- MCP
-
- (
- t
- )
-
- p
- i
-
- (
- t
- )
- +
- S
- i
-
- (
- t
- )
- }
- and MCP(t) is the electricity market clearing price during time t, pi(t) is the amount purchased from a supplier i during a time t, and Si(t) is the capacity related cost of the supplier i during the time t.
Dependencies are inferred from the claim text.