US 7,599,866 B2
Simultaneous optimal auctions using augmented lagrangian and surrogate optimization
Joseph H. Yan, Arcadia, Calif. (US); Peter B. Luh, Storrs, Conn. (US); Gary A. Stern, Monrovia, Calif. (US); William E. Blankson, Columbia, Conn. (US); Ernan Ni, Berlin, Conn. (US); Ying Chen, Coventry, Conn. (US); Feng Zhao, Storrs, Conn. (US); and Yaming Ma, Ashford, Conn. (US)
Assigned to Southern California Edison Company, Rosemead, Calif. (US); and The University of Connecticut, Farmington, Conn. (US)
Filed on Dec. 23, 2003, as Appl. No. 10/746,970.
Claims priority of provisional application 60/513943, filed on Oct. 24, 2003.
Prior Publication US 2005/0137959 A1, Jun. 23, 2005
Int. Cl. G06Q 40/00 (2006.01)
U.S. Cl. 705—35  [705/37] 12 Claims
OG exemplary drawing
 
2. A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for determining an electricity market clearing price, subject to a plurality of constraints and an actual purchase cost, said method steps comprising:
encoding an objective function relating the electricity market clearing price and plurality of constraints in terms of a nonlinear programming expression;
forming a Lagrangian dual function from the objective function;
resolving the Lagrangian dual function using a surrogate optimization framework and the actual purchase cost; and
determining the market price as a function of the resolved Lagrangian dual function where the encoded objective function is:

OG Complex Work Unit Drawing
and MCP(t) is the electricity market clearing price during time t, pi(t) is the amount purchased from a supplier i during a time t, and Si(t) is the capacity related cost of the supplier i during the time t.