IJPAM: Volume 30, No. 2 (2006)

NONLINEAR COMPLEMENTARITY APPROACH TO
THE PRICING OF SPINNING RESERVE MARKET

Mingming Liu$^{1}$, Yan Gao$^{2}$
$^{1,2}$School of Management
University of Shanghai for Science and Technology
516 Jungong Road, Shanghai, 20093, P.R. CHINA
$^{1}$e-mail: sumoonlmm@sina.com.cn
$^{2}$e-mail: gaoyan1962@yahoo.com.cn


Abstract.In this paper, the pricing problem of the electric reserve market is addressed. A nonlinear complementarity approach is adopted to analyze the equilibrium price of spinning reserve market. The pricing process is described as optimization of nonlinear program, on the basis of continuous bids of suppliers. For solving it, Karush-Kuhn-Tucker (KKT) condition is utilized to obtain a nonlinear complementarity problem, which can be transformed into a system of nonsmooth equations, and then approximated by a smooth problem. Numerical example shows the validity of the method.

Received: May 26, 2006

AMS Subject Classification: 91B26, 90C30, 90C33

Key Words and Phrases: electric reserve market, nonlinear complementarity problem, KKT system

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2006
Volume: 30
Issue: 2