646 IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 17, NO. 3, AUGUST 2002 Network-Constrained Multiperiod Auction for a Pool-Based Electricity Market Alexis L. Motto, Student Member, IEEE, Francisco D. Galiana, Fellow, IEEE, Antonio J. Conejo, Senior Member, IEEE, and José M. Arroyo, Member, IEEE Abstract—This paper presents a multiperiod electricity auction market tool that explicitly takes into account transmission conges- tion and losses as well as intertemporal operating constraints such as start-up costs, ramp rates, and minimum up and down times that may be included in any generating unit’s composite bid. This ap- proach, which requires only existing mixed-integer linear solvers, provides the market operator with a valuable tool for scheduling participants in a competitive market where transparency, fairness, and confidentiality of participants’ data are of paramount concern. Indeed, under this framework, only network data are of public do- main; producers are not required to reveal corporate data, and they have more flexibility in specifying the structure of their com- posite bid. This paper demonstrates and illustrates, through nu- merical studies using test systems, that an efficient and fair com- petitive electricity market can be implemented, taking into account network constraints and losses. Index Terms—Congestion management, mixed-integer linear programming, nodal pricing, pool-based electricity market, social welfare maximization. NOMENCLATURE The main mathematical symbols used throughout this paper are classified below for quick reference. Constants: Time period the th unit has been online at the be- ginning of the operation horizon [in hours]. Slope of the th segment (or block) of the linearized voltage angle difference relative to the nodes and . Time period the th unit has been offline at the be- ginning of the operation horizon [in hours]. Upper bound on the piecewise angle blocks [in radians]. Offered price of the th linear block of the energy produced by the th producer in hour [in dollars per megawatt-hour]. Offered price of the th linear block of the energy demanded by the th load in hour [in dollars per megawatt-hour]. Manuscript received November 28, 2001. This work was supported by the Natural Sciences and Engineering Council, Ottawa, ON, Canada, and the Fonds pour la Formation de Chercheurs et d’Aide à la Recherche, Québec, Canada. The work was partly supported by the Ministry of Science and Technology of Spain through CICYT Project DPI2000-0654. A. L. Motto and F. D. Galiana are with the Department of Electrical and Computer Engineering at McGill University, Montreal, QC H3A 2A7 Canada (e-mail: alexis.motto@mail.mcgill.ca; galiana@ece.mcgill.ca). A. J. Conejo and J. M. Arroyo are with the Department of Electrical Engi- neering at the University of Castilla-La Mancha, Ciudad Real, Spain (e-mail: Antonio.Conejo@uclm.es; JoseManuel.Arroyo@uclm.es). Publisher Item Identifier 10.1109/TPWRS.2002.800909. Imaginary part of the admittance of line [per unit]. Fixed cost of the th unit [in dollars per hour]. Shut–down cost of the th unit [in dollars]. Start-up cost of the th unit [in dollars]. Real part of the admittance of line [per unit]. Number of blocks of the linearization of losses. Lower bound on the power output of the th producer [in megawatts]. Upper bound on the power output of the th producer [in megawatts]. Maximum capacity of the line [in megawatts]. Ramp-down limit of the th unit [in megawatts per hour]. Ramp-up limit of the th unit [in megawatts per hour]: Shut-down ramp limit of the th unit [in megawatts per hour]. Start-up ramp limit of the th unit [in megawatts per hour]. Scheduling time period [in hours] (here, 24 h). Minimum downtime of unit [in hours]. Minimum uptime of unit [in hours]. Variables: Voltage angle at node in hour (in radians). Variable used in the linearization of the power loss in line in hours ; it represents the th angle block relative to the nodes and in hour [rad]. Value of power consumed corresponding to the th block of the th load in hour [in megawatts]. Total power consumed by the th load in hour [in megawatts]. Value of power output corresponding to the th block of the th unit in hour [in megawatts]. Total power produced by the th unit in hour [in megawatts]. Power injection at node in hour [in megawatts]. Power flow in line at node in hour [in megawatts]. Power loss in line in hour [in megawatts]. Binary variable: if the th unit is online in hour ; if not. Binary variable: if the value of the th block of angle for the line is equal to its max- imum value, ; if not. Binary variable: if the th unit is started up at the beginning of hour ; if not. 0885-8950/02$17.00 © 2002 IEEE