@unpublished{GruebelHuberHuembsetal.2021, author = {Gr{\"u}bel, Julia and Huber, Olivier and H{\"u}mbs, Lukas and Klimm, Max and Schmidt, Martin and Schwartz, Alexandra}, title = {Nonconvex Equilibrium Models for Energy Markets: Exploiting Price Information to Determine the Existence of an Equilibrium}, pages = {29}, year = {2021}, abstract = {Motivated by examples from the energy sector, we consider market equilibrium problems (MEPs) involving players with nonconvex strategy spaces or objective functions, where the latter are assumed to be linear in market prices. We propose an algorithm that determines if an equilibrium of such an MEP exists and that computes an equilibrium in case of existence. Three key prerequisites have to be met. First, appropriate bounds on market prices have to be derived from necessary optimality conditions of some players. Second, a technical assumption is required for those prices that are not uniquely determined by the derived bounds. Third, nonconvex optimization problems have to be solved to global optimality. We test the algorithm on well-known instances from the power and gas literature that meet these three prerequisites. There, nonconvexities arise from considering the transmission system operator as an additional player besides producers and consumers who, e.g., switches lines or faces nonlinear physical laws. Our numerical results indicate that equilibria often exist, especially for the case of continuous nonconvexities in the context of gas market problems.}, language = {en} } @unpublished{EgererGrimmGruebeletal.2021, author = {Egerer, Jonas and Grimm, Veronika and Gr{\"u}bel, Julia and Z{\"o}ttl, Gregor}, title = {Long-run market equilibria in coupled energy sectors: A study of uniqueness}, pages = {32}, year = {2021}, abstract = {We propose an equilibrium model for coupled markets of multiple energy sectors. The agents in our model are operators of sector-specific production and sector-coupling technologies, as well as price-sensitive consumers with varying demand. We analyze long-run investment in production capacity in each sector and investment in coupling capacity between sectors, as well as production decisions determined at repeated spot markets. We show that in our multi-sector model, multiplicity of equilibria may occur, even if all assumptions hold that would be sufficient for uniqueness in a single-sector model. We then contribute to the literature by deriving sufficient conditions for the uniqueness of short- and long-run market equilibrium in coupled markets of multiple energy sectors. We illustrate via simple examples that these conditions are indeed required to guarantee uniqueness in general. The uniqueness result is an important step to be able to incorporate the proposed market equilibrium problem in more complex computational multilevel equilibrium models, in which uniqueness of lower levels is a prerequisite for obtaining meaningful solutions. Our analysis also paves the way to understand and analyze more complex sector coupling models in the future.}, language = {en} } @phdthesis{Gruebel, author = {Gr{\"u}bel, Julia}, title = {Existence, Uniqueness, and Algorithms for Equilibria in Competitive Energy Markets}, doi = {10.25353/ubtr-xxxx-4c49-7f53}, abstract = {Due to the transition towards climate neutrality, energy markets are rapidly evolving. New technologies are developed that allow electricity from renewable energy sources to be stored or to be converted into other energy commodities. As a consequence, new players enter the markets and existing players gain more importance. Market equilibrium problems are capable of capturing these changes and therefore enable us to answer contemporary research questions with regard to energy market design and climate policy. This cumulative dissertation is devoted to the study of different market equilibrium problems that address such emerging aspects in liberalized energy markets. In the first part, we review a well-studied competitive equilibrium model for energy commodity markets and extend this model by sector coupling, by temporal coupling, and by a more detailed representation of physical laws and technical requirements. Moreover, we summarize our main contributions of the last years with respect to analyzing the market equilibria of the resulting equilibrium problems. For the extension regarding sector coupling, we derive sufficient conditions for ensuring uniqueness of the short-run equilibrium a priori and for verifying uniqueness of the long-run equilibrium a posteriori. Furthermore, we present illustrative examples that each of the derived conditions is indeed necessary to guarantee uniqueness in general. For the extension regarding temporal coupling, we provide sufficient conditions for ensuring uniqueness of demand and production a priori. These conditions also imply uniqueness of the short-run equilibrium in case of a single storage operator. However, in case of multiple storage operators, examples illustrate that charging and discharging decisions are not unique in general. We conclude the equilibrium analysis with an a posteriori criterion for verifying uniqueness of a given short-run equilibrium. Since the computation of equilibria is much more challenging due to the temporal coupling, we shortly review why a tailored parallel and distributed alternating direction method of multipliers enables to efficiently compute market equilibria. For the extension regarding physical laws and technical requirements, we show that, in nonconvex settings, existence of an equilibrium is not guaranteed and that the fundamental welfare theorems therefore fail to hold. In addition, we argue that the welfare theorems can be re-established in a market design in which the system operator is committed to a welfare objective. For the case of a profit-maximizing system operator, we propose an algorithm that indicates existence of an equilibrium and that computes an equilibrium in the case of existence. Based on well-known instances from the literature on the gas and electricity sector, we demonstrate the broad applicability of our algorithm. Our computational results suggest that an equilibrium often exists for an application involving nonconvex but continuous stationary gas physics. In turn, integralities introduced due to the switchability of DC lines in DC electricity networks lead to many instances without an equilibrium. Finally, we state sufficient conditions under which the gas application has a unique equilibrium and the line switching application has finitely many. In the second part, all preprints belonging to this cumulative dissertation are provided. These preprints, as well as two journal articles to which the author of this thesis contributed, are referenced within the extended summary in the first part and contain more details.}, language = {en} } @article{GrimmGruebelRueckeletal.2019, author = {Grimm, Veronika and Gr{\"u}bel, Julia and R{\"u}ckel, Bastian and S{\"o}lch, Christian and Z{\"o}ttl, Gregor}, title = {Storage investment and network expansion in distribution networks: The impact of regulatory frameworks}, series = {Applied Energy}, journal = {Applied Energy}, number = {262}, doi = {10.1016/j.apenergy.2019.114017}, year = {2019}, abstract = {In this paper we propose a bi-level equilibrium model that allows to analyze the impact of different regulatory frameworks on storage and network investment in distribution networks. In our model, a regulated distribution system operator decides on network investment and operation while he anticipates the decisions of private agents on storage investment and operation. Since, especially in distribution networks, voltage stability and network losses have a decisive influence on network expansion and operation, we use a linearized AC power flow formulation to adequately account for these aspects. As adjustments of the current regulatory framework, we consider curtailment of renewable production, the introduction of a network fee based on the maximum renewable feed-in, and a subsidy scheme for storage investment. The performance of the different alternative frameworks is compared to the performance under rules that are commonly applied in various countries today, as well as to a system-optimal (first-best) benchmark. To illustrate the economic effects, we calibrate our model with data from the field project Smart Grid Solar. Our results reveal that curtailment and a redesign of network fees both have the potential to significantly reduce total system costs. On the contrary, investment subsidization of storage capacity has only a limited impact as long as the distribution system operator is not allowed to intervene in storage operation.}, language = {en} } @article{GrimmGruebelScheweetal.2017, author = {Grimm, Veronika and Gr{\"u}bel, Julia and Schewe, Lars and Schmidt, Martin and Z{\"o}ttl, Gregor}, title = {Nonconvex Equilibrium Models for Gas Market Analysis: Failure of Standard Techniques and Alternative Modeling Approaches}, series = {European Journal on Operational Research}, journal = {European Journal on Operational Research}, number = {273(3)}, pages = {1097 -- 1108}, year = {2017}, abstract = {This paper provides a first approach to assess gas market interaction on a network with nonconvex flow models. In the simplest possible setup that adequately reflects gas transport and market interaction, we elaborate on the relation of the solution of a simultaneous competitive gas market game, its corresponding mixed nonlinear complementarity problem (MNCP), and a first-best benchmark. We provide conditions under which the solution of the simultaneous game is also the solution of the corresponding MNCP. However, equilibria cannot be determined by the MNCP as the transmission system operator's (TSO's) first-order conditions are insufficient, which goes back to nonconvexities of the gas flow model. This also implies that the welfare maximization problem may have multiple solutions that sometimes do not even coincide with any of the market equilibria. Our analysis shows that, even in the absence of strategic firms, market interaction fails to implement desirable outcomes from a welfare perspective due to the TSO's incentive structure. We conclude that the technical environment calls for a market design that commits the TSO to a welfare objective through regulation and propose a design where the market solution corresponds to a welfare maximum and vice versa.}, language = {en} } @article{GruebelKleinertKrebsetal.2019, author = {Gr{\"u}bel, Julia and Kleinert, Thomas and Krebs, Vanessa and Orlinskaya, Galina and Schewe, Lars and Schmidt, Martin and Th{\"u}rauf, Johannes}, title = {On Electricity Market Equilibria with Storage: Modeling, Uniqueness, and a Distributed ADMM}, series = {Computers \& Operations Research}, journal = {Computers \& Operations Research}, number = {114}, doi = {10.1016/j.cor.2019.104783}, year = {2019}, abstract = {We consider spot-market trading of electricity including storage operators as additional agents besides producers and consumers. Storages allow for shifting produced electricity from one time period to a later one. Due to this, multiple market equilibria may occur even if classical uniqueness assumptions for the case without storages are satisfied. For models containing storage operators, we derive sufficient conditions that ensure uniqueness of generation and demand. We also prove uniqueness of the market equilibrium for the special case of a single storage operator. Nevertheless, in case of multiple storage operators, uniqueness fails to hold in general, which we show by illustrative examples. We conclude the theoretical discussion with a general ex-post condition for proving the uniqueness of a given solution. In contrast to classical settings without storages, the computation of market equilibria is much more challenging since storage operations couple all trading events over time. For this reason, we propose a tailored parallel and distributed alternating direction method of multipliers (ADMM) for efficiently computing spot-market equilibria over long time horizons. We first analyze the parallel performance of the method itself. Finally, we show that the parallel ADMM clearly outperforms solving the respective problems directly and that it is capable of solving instances with more than 42 million variables in less than 13 minutes.}, language = {en} } @unpublished{GrimmGruebelSchmidtetal.2023, author = {Grimm, Veronika and Gr{\"u}bel, Julia and Schmidt, Martin and Schwartz, Alexandra and Wiertz, Ann-Kathrin and Z{\"o}ttl, Gregor}, title = {On a Tractable Single-Level Reformulation of a Multilevel Model of the European Entry-Exit Gas Market with Market Power}, pages = {26}, year = {2023}, abstract = {We propose a framework that allows to quantitatively analyze the interplay of the different agents involved in gas trade and transport in the context of the European entry-exit system. While previous contributions focus on the case of perfectly competitive buyers and sellers of gas, our novel framework considers the mathematically more challenging case of a strategic and monopolistic gas seller. We present a multilevel framework that is suitable to capture the sequential nature of the decisions taken. We then derive sufficient conditions that allow for reformulating the challenging four-level model as a computationally tractable single-level reformulation. We prove the correctness of this reformulation and use it for solving several test instances to illustrate the applicability of our approach.}, language = {en} } @unpublished{GruebelKrugSchmidtetal.2022, author = {Gr{\"u}bel, Julia and Krug, Richard and Schmidt, Martin and Wollner, Winnifried}, title = {A Successive Linear Relaxation Method for MINLPs with Multivariate Lipschitz Continuous Nonlinearities}, pages = {34}, year = {2022}, abstract = {We present a novel method for mixed-integer optimization problems with multivariate and Lipschitz continuous nonlinearities. In particular, we do not assume that the nonlinear constraints are explicitly given but that we can only evaluate them and that we know their global Lipschitz constants. The algorithm is a successive linear relaxation method in which we alternate between solving a master problem, which is a mixed-integer linear relaxation of the original problem, and a subproblem, which is designed to tighten the linear relaxation of the next master problem by using the Lipschitz information about the respective functions. By doing so, we follow the ideas of Schmidt et al. (2018, 2021) and improve the tackling of multivariate constraints. Although multivariate nonlinearities obviously increase modeling capabilities, their incorporation also significantly increases the computational burden of the proposed algorithm. We prove the correctness of our method and also derive a worst-case iteration bound. Finally, we show the generality of the addressed problem class and the proposed method by illustrating that both bilevel optimization problems with nonconvex and quadratic lower levels as well as nonlinear and mixed-integer models of gas transport can be tackled by our method. We provide the necessary theory for both applications and briefly illustrate the outcomes of the new method when applied to these two problems.}, language = {en} } @unpublished{ThueraufGruebelSchmidt2024, author = {Th{\"u}rauf, Johannes and Gr{\"u}bel, Julia and Schmidt, Martin}, title = {Adjustable Robust Nonlinear Network Design under Demand Uncertainties}, year = {2024}, abstract = {We study network design problems for nonlinear and nonconvex flow models under demand uncertainties. To this end, we apply the concept of adjustable robust optimization to compute a network design that admits a feasible transport for all, possibly infinitely many, demand scenarios within a given uncertainty set. For solving the corresponding adjustable robust mixed-integer nonlinear optimization problem, we show that a given network design is robust feasible, i.e., it admits a feasible transport for all demand uncertainties, if and only if a finite number of worst-case demand scenarios can be routed through the network. We compute these worst-case scenarios by solving polynomially many nonlinear optimization problems. Embedding this result for robust feasibility in an adversarial approach leads to an exact algorithm that computes an optimal robust network design in a finite number of iterations. Since all of the results are valid for general potential-based flows, the approach can be applied to different utility networks such as gas, hydrogen, or water networks. We finally demonstrate the applicability of the method by computing robust gas networks that are protected from future demand fluctuations.}, language = {en} }