Solving discretely constrained, mixed linear complementarity problems with applications in energy

  • Authors:

  • Steven A. Gabriel;Antonio J. Conejo;Carlos Ruiz;Sauleh Siddiqui

  • Affiliations:

  • Civil Systems Program, Department of Civil and Environmental Engineering, and Applied Mathematics & Statistics, and Scientific Computation Program, University of Maryland, College Park, MD 20742-3 ...;Department of Electrical Engineering, University of Castilla - La Mancha, Campus Universitario s/n, 13071 Ciudad Real, Spain;Department of Statistics, Universidad Carlos III de Madrid, Avda. de la Universidad 30, 28911 Leganés, Spain;Department of Civil Engineering and the Johns Hopkins Systems Institute, Johns Hopkins University, Baltimore, MD 21218, USA

  • Venue:
  • Computers and Operations Research
  • Year:
  • 2013

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Abstract

This paper presents an approach to solving discretely constrained, mixed linear complementarity problems (DC-MLCPs). Such formulations include a variety of interesting and realistic models of which two are highlighted: a market-clearing auction typical in electric power markets but suitable in other more general contexts, and a network equilibrium suitable to energy markets as well as other grid-based industries. A mixed-integer, linear program is used to solve the DC-MLCP in which both complementarity as well as integrality are allowed to be relaxed. Theoretical and numerical results are provided to validate the approach.