Solving discretely constrained, mixed linear complementarity problems with applications in energy Articles uri icon

publication date

  • May 2013

start page

  • 1339

end page

  • 1350

issue

  • 5

volume

  • 40

International Standard Serial Number (ISSN)

  • 0305-0548

Electronic International Standard Serial Number (EISSN)

  • 1873-765X

abstract

  • This paper presents an approach to solving discretely constrained, mixed linear complementarity problems (DC-MLCPs). Such formulations include a variety of interesting and realistic models of which two are highlighted: a market-clearing auction typical in electric power markets but suitable in other more general contexts, and a network equilibrium suitable to energy markets as well as other grid-based industries. A mixed-integer, linear program is used to solve the DC-MLCP in which both complementarity as well as integrality are allowed to be relaxed. Theoretical and numerical results are provided to validate the approach.

keywords

  • game theory; milp; mlcp; electricity markets