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Bilevel Optimization for Electricity Market Dynamics

Overview

This repository contains the files and codes used in the paper titled "How Satisfactory Can Deep Reinforcement Learning Methods Simulate Electricity Market Dynamics? Benchmarking via Bi-level Optimization" presented at the DACH+ Energy Informatics 2024 conference.

Authors

  • Nick Harder
    Email: [email protected]
    Affiliation: University of Freiburg, Freiburg im Breisgau, Germany

  • Lesia Mitridati
    Email: [email protected]
    Affiliation: Technical University of Denmark, Kgs. Lyngby, Denmark

  • Farzaneh Pourahmadi
    Email: [email protected]
    Affiliation: Technical University of Denmark, Kgs. Lyngby, Denmark

  • Anke Weidlich
    Email: [email protected]
    Affiliation: University of Freiburg, Freiburg im Breisgau, Germany

  • Jalal Kazempour
    Email: [email protected]
    Affiliation: Technical University of Denmark, Kgs. Lyngby, Denmark

Abstract

Various factors make electricity markets increasingly complex, making their analysis challenging. This complexity demands advanced analytical tools to manage and understand market dynamics. This paper explores the application of deep reinforcement learning (DRL) and bi-level optimization models to analyze and simulate electricity markets. We introduce a bi-level optimization framework incorporating realistic market constraints, such as non-convex operational characteristics and binary decision variables, to establish an upper-bound benchmark for evaluating the performance of DRL algorithms.

The results confirm that DRL methods do not reach the theoretical upper bounds set by the bi-level models, thereby confirming the effectiveness of the proposed model in providing a clear performance target for DRL. This benchmarking approach demonstrates DRL's current capabilities and limitations in complex market environments but also aids in developing more effective DRL strategies by providing clear, quantifiable targets for improvement.

The proposed method can also identify the information gap cost since DRL methods operate under more realistic conditions than optimization techniques, given that they don't need to assume complete knowledge about the system. This study thus provides a foundation for future research to enhance market understanding and possibly its efficiency in the face of increasing complexity in the electricity market. Our methodology's effectiveness is further validated through a large-scale case study involving 150 power plants, demonstrating its scalability and applicability to real-world scenarios.

Repository Contents

  • model_1.py: Implements the original method described in the paper.

  • model_2.py: Implements the proposed method for benchmarking.

  • single_unit.py: The main file to execute and obtain results as presented in the paper.

  • utils.py: Provides utility functions to support the main models.

  • uc_problem.py: Contains the market clearing problem formulation.

  • check_for_eq.py: An auxiliary file to check if an equilibrium has been reached.

  • diagonalization.py: Contains methods for diagonalization, relevant to the models.

  • Environment Configuration: An environment.yaml file for setting up the Conda environment.

Getting Started

To get started with the code in this repository, follow these steps:

  1. Clone the repository:

    git clone https://github.com/yourusername/bilevel_opt.git
cd bilevel_opt

  2. Create the Conda environment:

    conda env create -f environment.yaml
conda activate your_environment_name

  3. Run the main script:

    python single_unit.py

License

This project is licensed under the GNU General Public License v3.0 - see the LICENSE file for details.

Acknowledgments

This work was conducted in the context of the project "ASSUME: Agent-Based Electricity Markets Simulation Toolbox," funded by the German Federal Ministry for Economic Affairs and Energy under grant number BMWK 03EI1052A. It was also supported by the Scientific Society in Freiburg im Breisgau and the German Academic Exchange Service, which partially funded the research stay at the Technical University of Denmark.