Novel Approaches for the Clearing of the European Day-Ahead Electricity Market

In this paper, three novel approaches are presented for the clearing of the European day-ahead electricity market, incorporating the majority of the currently tradable products, namely the simple hourly orders, the block orders, the complex orders, and the "Prezzo Unico Nazionale" (PUN) orders. The first approach employs a Master Problem and a Sub-Problem sequentially solved within an iterative process, whereas two single-model approaches are also formulated for the efficient handling of the market orders' clearing conditions and the handling of non-intuitive bilateral exchanges. In the single-model approaches, the clearing conditions of the block, complex, and PUN orders are explicitly incorporated in the Sub-Problem, by utilizing a Mixed Complementarity Problem formulation. The three approaches are compared in terms of solution efficiency (social welfare) and computational requirements. A sensitivity analysis is performed for all three approaches, in order to evaluate the efficiency of the attained solution with respect to the method used for the designation and subsequent elimination of all attained Paradoxically Accepted Orders.