Pricing in non-convex markets with quadratic deliverability costs

This article studies the problem of obtaining equilibrium clearing prices for markets with non-convexities when it is relevant to account for convex quadratic deliverability costs and constraints. In a general market, such a situation arises when quadratic commodity or transactions costs are relevant. In the particular case of electricity markets, there is a mix of resources including dispatchable and renewable energy sources, leading to the presence of integer variables and quadratic costs reflecting ramping needs. To illustrate our results, we compute and analyze the equilibrium clearing prices of the Scarfs classical market problem with the addition of ramping costs. (C) 2019 Elsevier B.V. All rights reserved.