@unpublished{GrimmMartinSoelchetal.2019, author = {Grimm, Veronika and Martin, Alexander and S{\"o}lch, Christian and Weibelzahl, Martin and Z{\"o}ttl, Gregor}, title = {Market-Based Redispatch May Result in Inefficient Dispatch}, year = {2019}, abstract = {In this paper we analyze a uniform price electricity spot market that is followed by redispatch in the case of network congestion. We assume that the transmission system operator is incentivized to minimize redispatch cost and compare a cost-based redispatch (CBR) to a market-based redispatch (MBR) mechanism. For networks with at least three nodes we show that in contrast to CBR, in the case of MBR the redispatch cost minimizing allocation may not be short-run efficient. As we demonstrate, in case of MBR the possibility of the transmission system operator to reduce redispatch cost at the expense of a reduced welfare may be driven by the electricity supply side or the electricity demand side. If, however, the transmission system operator is obliged to implement the welfare maximizing (instead of the redispatch cost minimizing) dispatch by regulation, this will result in an efficient dispatch also in case of MBR.}, language = {en} } @unpublished{SchmidtHillerKochetal.2019, author = {Schmidt, Martin and Hiller, Benjamin and Koch, Thorsten and Pfetsch, Marc and Geißler, Bj{\"o}rn and Henrion, Ren{\´e} and Joormann, Imke and Martin, Alexander and Morsi, Antonio and R{\"o}misch, Werner and Schewe, Lars and Schultz, R{\"u}diger and Steinbach, Marc C.}, title = {Capacity Evaluation for Large-Scale Gas Networks}, pages = {8}, year = {2019}, abstract = {Natural gas is important for the energy turnaround in many countries like in Germany, where it serves as a "bridging energy" towards a fossil-free energy supply in the future. About 20\% of the total German energy demand is provided by natural gas, which is transported through a complex pipeline network with a total length of about 30000 km and the efficient use of the given transport infrastructure for natural gas is of political, economic, and societal importance. As a consequence of the liberalization of the European gas market in the last decades, gas trading and transport have been decoupled. This has led to new challenges for gas transport companies, and mathematical optimization is perfectly suited for tackling many of these challenges. However, the underlying mathematical problems are by far too hard to be solved by today's general-purpose software so that novel mathematical theory and algorithms are needed. The industrial research project "ForNe: Research Cooperation Network Optimization" has been initiated and funded by Open Grid Europe in 2009 and brought together experts in mathematical optimization from seven German universities and research institutes, which cover almost the entire range of mathematical optimization: integer and nonlinear optimization as well as optimization under uncertainty. The mathematical research results have been put together in a software package that has been delivered to Open Grid Europe at the end of the project. Moreover, the research is still continuing - e.g., in the Collaborative Research Center/Transregio 154 "Mathematical Modelling, Simulation and Optimization using the Example of Gas Networks" funded by the German Research Foundation.}, language = {en} } @article{GatzertMartinSchmidtetal.2019, author = {Gatzert, Nadine and Martin, Alexander and Schmidt, Martin and Seith, Benjamin and Vogl, Nikolai}, title = {Portfolio Optimization with Irreversible Long-Term Investments in Renewable Energy under Policy Risk: A Mixed-Integer Multistage Stochastic Model and a Moving-Horizon Approach}, series = {European Journal of Operational Research}, journal = {European Journal of Operational Research}, pages = {29}, year = {2019}, abstract = {Portfolio optimization is an ongoing hot topic of mathematical optimization and management science. Due to the current financial market environment with low interest rates and volatile stock markets, it is getting more and more important to extend portfolio optimization models by other types of investments than classical assets. In this paper, we present a mixed-integer multistage stochastic model that includes investment opportunities in irreversible and long-term infrastructure projects in the context of renewable energies, which are also subject to policy risk. On realistic time scales for investment problems of this type, the resulting instances are by far too large to be solved with today's most evolved optimization software. Thus, we present a tailored moving-horizon approach together with suitable approximations and simplifications of the model. We evaluate these approximations and simplifications in a computational sensitivity analysis and derive a final model that can be tackled on a realistic instance by our moving-horizon approach.}, language = {en} } @unpublished{HuembsMartinSchewe, author = {H{\"u}mbs, Lukas and Martin, Alexander and Schewe, Lars}, title = {Exploiting complete linear descriptions for decentralized power market problems with integralities}, abstract = {It is well known that linear prices supporting a competitive equilibrium exist in the case of convex markets, however, in the presence of integralities this is open and hard to decide in general. We present necessary and sufficient conditions for the existence of such prices for decentralized market problems where market participants have integral decision variables and their feasible sets are given in complete linear description. We utilize total unimodularity and the aforementioned conditions to show that such linear prices exist and present some applications. Furthermore, we compute competitive equilibria for two classes of decentralized market problems arising in energy markets and show that competitive equilibria may exist regardless of integralities.}, language = {en} }