Performance Comparison of Integrated Formulations for European Electricity Market Clearing

The clearing processes of European power exchanges involve the application of optimization algorithms. These algorithms handle large numbers of supply and demand orders along with all the necessary technical constraints within a limited timeframe. This paper presents the comparison of two mathematical approaches to provide this functionality for a market with simple step bids, block orders and congestion management based on Available Transfer Capacities. The first approach is the COSMOS algorithm (widely known and in use for several years) while the second one is based on the primal-dual framework developed by Madani. The paper provides the mathematical description of these algorithms and highlights their general significance. Afterwards, comparative simulations of the two models are conducted on a realistic dataset and subsequently investigated from several viewpoints such as the eventual size of the optimization problems, solution quality and computation time. The research is part of the FARCROSS H2020 project.