TY - CHAP

T1 - A parametric programming approach to bilevel merchant electricity transmission investment problems

AU - Bylling, Henrik C.

AU - Boomsma, Trine K.

AU - Gabriel, Steven A.

PY - 2020

Y1 - 2020

N2 - Nowadays, electricity transmission investments are made in a liberalized market environment, in which the transmission system operator, the market, producers, and investors have different objectives. The transmission expansion problem can account for this by bilevel programming, with an investor making expansion decisions in an upper level while anticipating the result of a lower-level market-clearing. In this work, we formulate a stochastic transmission expansion problem of a merchant investor collecting congestion rents determined by the differences between nodal market prices. The bilevel program can be recast as a mathematical program with equilibirium constraints (MPEC), but does not allow for linearization and reformulation by mixed-integer linear programming. Instead, we apply a parametric programming approach that facilitates decomposition with respect to both time periods and scenarios. A numerical study illustrates its ability to solve the problem, even though standard solvers for non-linear MPECs fail.

AB - Nowadays, electricity transmission investments are made in a liberalized market environment, in which the transmission system operator, the market, producers, and investors have different objectives. The transmission expansion problem can account for this by bilevel programming, with an investor making expansion decisions in an upper level while anticipating the result of a lower-level market-clearing. In this work, we formulate a stochastic transmission expansion problem of a merchant investor collecting congestion rents determined by the differences between nodal market prices. The bilevel program can be recast as a mathematical program with equilibirium constraints (MPEC), but does not allow for linearization and reformulation by mixed-integer linear programming. Instead, we apply a parametric programming approach that facilitates decomposition with respect to both time periods and scenarios. A numerical study illustrates its ability to solve the problem, even though standard solvers for non-linear MPECs fail.

UR - http://www.scopus.com/inward/record.url?scp=85090903020&partnerID=8YFLogxK

U2 - 10.1007/978-3-030-47929-9_8

DO - 10.1007/978-3-030-47929-9_8

M3 - Book chapter

AN - SCOPUS:85090903020

SN - 978-3-030-47928-2

T3 - Lecture Notes in Energy

SP - 237

EP - 254

BT - Transmission Network Investment in Liberalized Power Markets

PB - Springer VS

ER -