Tuesday, October 29, 2024 - 4:00pm
Event Calendar Category
LIDS Seminar Series
Speaker Name
Nicolas Stevens
Affiliation
UCLouvain, Belgium
Building and Room number
45-500A
Event Recording
“On some advantages of convex hull pricing for the European electricity auction”
Since the liberalization of the power sector and the creation of wholesale electricity markets, the question of how to price the non-convexities that are present in the market has attracted the interest of both academics and practitioners. Over the years, US markets have adopted different and evolving pricing rules which are still vividly debated. Since the “Trilateral Market Coupling” (2006), the European day-ahead market has opted for a notably different pricing rule, and there is currently research undertaken by the EU stakeholders to reform it. Our work aims at contributing to the debate. We analyze six different pricing methods. We establish several mathematical properties for enabling their comparison. Our findings are illustrated on stylized examples and numerical simulations that are performed on realistic auction datasets. Both theoretical and numerical evidences that are gathered in our paper point towards the advantages of the so-called “convex hull pricing” approach.
Nicolas Stevens is a PhD candidate at the Center for Operations Research and Econometrics (CORE), UCLouvain, Belgium. He is also currently a visiting researcher at the Harvard Kennedy School. His PhD dissertation, Price Formation with Non-Convexities : Theory and Applications for the Electricity Market, examines how the pricing rules in electricity auctions may accommodate the non-convexities that are present in the market orders. His research interests include energy economics, energy policy, market design, auctions and operations research. He also holds a Master of Engineering in Applied Mathematics from UCLouvain. In the past, Nicolas worked in the industry as a consultant in the energy sector on various topics including the design of the European day-ahead market in collaboration with the European Power Exchanges.
The newly formed Energy Systems & Infrastructures: Modeling, Computing and Control (EIMC2) LIDS research group comprises 10 LIDS subgroups working in this field unique to LIDS–modeling, control, and computing. EIMC2 is launching a biweekly seminar series. The seminars will be help in 45-500A on Tuesdays, 4-5pm unless otherwise noted.
For any questions, please reach out to seminar organizers Rahman Khorramfar (khorram[at]mit[dot]edu) and Luis Carlos (luiscvm[at]mit[dot]edu)