Strategic Generation Investment in Energy Markets: A Multiparametric Programming Approach

An investor has to carefully select the location and size of new generation units it intends build, since adding capacity in a market affects profit from this may already own. To capture closed-loop characteristic, strategic investment (SI) can be posed as bilevel optimization. By analytically studying small market, we first show that its objective function non-convex discontinuous. Realizing existing mixed-integer problem formulations become impractical for larger markets number instances, work put forth two SI solvers: grid search handle setups where candidate locations are few, stochastic gradient descent approach otherwise. Both solvers leverage powerful results multiparametric programming (MPP), each unique way. The entails finding primal/dual solutions large optimal power flow (OPF) problems, which nonetheless efficiently computed several at once thanks properties MPP. same facilitate rapid calculation gradients mini-batch fashion, thus accelerating implementation (sub)-gradient search. Tests on IEEE 30- 118-bus systems using real-world data corroborate advantages novel solvers.