7 1

SREMS: a short-medium run electricity market simulator based

on game theory and incorporating network constraints
G. Migliavacca, CESI RICERCA S.p.A.

Abstract—This paper outlines the main features of SREMS, a
short-medium run electricity market simulator based on game
theory. Some original features are: a full description of markets
zonal structure and an original unit commitment algorithm
triying to reproduce GenCos’ real operative behavior.
Index Terms—electricity markets, strategic bidding, medium
run simulator, game theory
I. INTRODUCTION
Another typical approach [29,37] consists of deriving the
Karush-Kuhn-Tucker conditions, supposing either that
generation firms anticipate the impact of their production on
congestion charges (each leader solves an optimization
problem including market KKT conditions) or not (ISO’s and
other players’ conditions are solved altogether).
This paper describes a new approach implemented by the
SREMS simulator developed by CESI RICERCA. Section 2
provides a general description of SREMS. Section 3 deals

T he last years have seen a growing interest towards

simulation tools to foresee the behavior of liberalized
with the pre-processing phase. Section 4 describes the strategic
competition game. Section 5 provides simulation results with
markets. Short run simulators [1,2,3,4], medium run simulators data taken from a 2005 scenario of the Italian electricity
[5,6,25] and long run simulators [7,8,26] have been developed market. Section 6 shows some conclusions.
under different modeling hypotheses. Different models based
on Game Theory [9,10,11,12] calculate market equilibria II. STRUCTURE OF SREMS
resorting both to classic theories [14,15,36] and to supply
functions [16,17,18,19] and to auctions theory [20,21,22]. Main features of SREMS (Fig.1) are the following:
However, most approaches are affected by serious limitations: • Short-medium run3 simulation of electricity markets based
• network constraints are not considered: this doesn’t allow on game theory, calculating price-makers’ optimal hourly
to simulate the exercise of local market power [13]; bids (price bid-up and capacity withholding strategies).
• thermal plants unit committment decisions1 are neglected. • Inelastic load, defined hour by hour and zone by zone.
Actually, taking into account network constraints makes the • Tree-like4 network with interzonal transit limits;
game formulation much more complex because: • Monthly scheduling of reservoir hydro and pumping
• market clearing must be formulated as an optimization storage plants;.
problem and incorporated into the surplus optimization of • Highly realistic representation of thermal plants (quadratic
the players; cost curves, maintenance periods, unforced outages).
• mixed strategies [11,27,28] must be taken into account2. • Possible quota appointed to physical bilateral contracts,
A possible approach is the Lemke-Howson algorithm [34], depending on producers’ share and risk attitude.
discretizing GenCos’ strategies space. However, closed-form
solutions exist only for two players.
To avoid dealing with mixed strategies, a typical approach
resorts to conjectured supply functions [30,31,32,35], linearly
approximating the slope around equilibrium of the curve
defining congestion costs in function of the required
transmission service. However, an evaluation ex-ante is
extremely difficult, since this relationship depends on many
parameters (equilibrium type, market conditions, etc).

G. Migliavacca, is with CESI RICERCA S.p.A., via Rubattino 54, 20134

Milano, Italy (gianluigi.migliavacca@cesiricerca.it).
1
We define as unit commitment the decision about the on-off state of a
given power plant, while the term dispatching designates the amount of power
scheduled at a given hour. While unit commitment decisions are taken
unilaterally by the GenCos probably more on the basis of technical reasons
(e.g. the kind of flexibility of the plant: daily, weekly, etc) than of strategical
ones, the dispatching is generally the result of an auctioning process Fig. 1 - Structure of simulator SREMS
constituted by one or more markets in cascade, in which strategies play a very
important role. Considering UC transforms the strategic game into a mixed-
3
integer problem [38], typically too large to be treated by computers. Hence, With the wording “short-medium term” we refer to a time horizon of one
the necessity to decouple UC decisions from the game. month or multiples of it.
2 4
Mixed strategies randomize a set of pure strategies (e.g. price bid-up This corresponds to the present structure of the Italian day-ahead market.
values) with reference to given probability values. The set of pure strategies An extension to a general meshed structure could be carried out in a future
included in mixed strategy are said to constitute the basis of this strategy. version of the simulator.
7 2
III. PRE-PROCESSING
The pre-processing phase nets the hourly zonal load,
calculating the portion satisfied by competitive bids and a UC
of thermal generation units. It consists of the following phases:
1. Maximum power of thermal generators is reduced,
considering maintenance and unforced unavailability;
2. Production of power plants remunerated at preferential
extra-market rates (e.g. CIP6 plants in Italy) is subtracted
from the load hour by hour, as well as long term import
contracts5 and run-of-the-river hydro productions;
3. Energy produced by reservoir hydro plants or consumed
by pumped storage plants is allocated in the zone they
belong to along the hours of the current month following a
profitability criterion (production is allocated to peaking
hours, pumping to low-load hours) by considering the
total amount of energy that must be produced (pumped) in
the period and the maximum power that can be produced
(pumped) hour by hour, summing each plant capability.
4. A UC is calculated for each flexibility period;
5. The production by power plants allocated to bilateral
physical contracts is subtracted from load, hour by hour.
Following sections provided details on points 4. And 5.
A. Unit commitment
When a generator is on, it must produce at least its technical
minimum, whatever the market clearing price. Therefore,
minima are usually bid at zero price. However, if the sum of
the minima is higher than the hourly load, a zero market price
results and generators can’t recover even variable fuel cost.
Moreover, a partial acceptation of minima is not technically
feasible and forces generators to bid in the adjustment market.
Finally, bidding a too big amount of power generates low
prices; thus, is not in the interest of big producers.
Then, GenCos are interested to fit the power available for
bidding to the forecasted hourly load.
There are two contrasting needs. During night, it is important
to care that few plants are on, so that the sum of the technical
minima is below the load. During day, it is important power
stays available to catch high prices showing up in peak hours.
SREMS considers two subperiods in each week6. Within each
of them two UCs are calculated, one for day and one for night
hours. The algorithm considers the following four phases:
Phase 1: extract hourly subperiod demand and divide it into
two time bands (day: hours 8-22; night: hours 23-7).
Phase 2: run zonal algorithm considering only technical
minima of weekly plants, selected by increasing cost up to
satisfy the lowest nightly load in the subperiod7. Turn off
plants with technical minima partially or not dispatched.
Phase 3: pile up all the plants still on (weekly and daily)
carrying out a zonal clearing to satisfy the highest day load in
5
SREMS can also deal with imports by considering them as power
injections into “virtual” market zones. This is the mechanism presently
implemented in the Italian electricity market for the portion (50%) of imports
allocated by the Italian TSO.
6
Following load characteristics, a typical choice is to distinguish between
working days and weekend.
7
A very high cost slack generator is added in each zone to prevent the
algorithm from crashing when it is impossible to satisfy load in one or several
zones exclusively with technical minima.
the subperiod, supposing each plant submits one only bid at
cost. Turn off all the plants not at least partially dispatched.
The result is taken as the unit commitment for the day hours.
Phase 4: pile up the remaining plants to satisfy the minimum
night load in the subperiod: two bids for weekly plants
(minima bid at zero), one only bid at average cost for daily
plants. Carry out a zonal clearing, turn off (only in night hours)
the daily plants either not accepted or dispatched for a quantity
lower than minimum. The result is taken as the unit
commitment for the night hours.
B. Physical bilateral contracts
Physical bilateral contracts amount to a given percentage of
hourly competitive zonal load. In each zone, a GenCo appoints
to bilaterals a production share proportional to installed power,
corrected by a multiplying factor modeling its risk attitude.
First, it tries to satisfy the resulting amount of power by
matching it with bids relevant to hydro plants and to technical
minima. Then, power plants bids over technical minimum are
piled up by increasing cost order8 and taken away from the
market up to reach the calculated amount.
Bilaterals settlement price is supposed equal to market price at
the relevant hour. This corresponds to a hypothesis of perfect
market transparency (i.e. actual and forward prices are equal).
C. Generators bids
SREMS supposes every thermal power plant submits two bids:
• A zero price bid from zero to the technical minimum. As
it is a fixed-price (non strategic) bid, this is left out by
subtracting it from the zonal load9.
• A competitive bid related to the interval between
minimum and maximum power. This is bid at a minimum
price10 (fixed part) plus a bid-up (outcome of the game).
Price caps are considered, both regulator-defined and
unilaterally self-imposed by the GenCos11.
IV. THE GAME
First a zonal hourly clearing under the hypothesis of perfect
competition is carried out. This step is important because it:
• provides a benchmark against strategic bidding;
• initializes the strategic bidding calculation.
Then, the strategic competition is calculated (Fig.2).
A. Strategic competition
Bids are initially set to their minimum price. During iterations
bid quantities decrease while bid prices increase.
8
In fact, it is possible to show that (at least whenever the hypotheses of
perfect competition hold) a GenCo finds it profitable to allocate to bilaterals
the lowest cost plants of its generation set.
9
This corresponds to the hypothesis that all bids related to technical
minima are accepted (partial acceptation is a possible market outcome, but it
doesn’t constitute a Nash equilibrium).
10
Minimum bid prices take into account the variable unit cost at
maximum power (derived from the quadratic cost curve) plus the fixed costs
(optional choice).
11
Supposing that the leaders find no advantage in letting prices reach cap
levels to avoid to run into some sort of penalty by the national regulatory
Authority, the simulator allows one or several GenCos to set a voluntary level
of price cap, that can be chosen different for each hours category (peak, etc).
7 3

During one iteration, the routine “Vampiro” [33] (see par.C) min
NA
[Pbid ( j ) ⋅ Q( j )]
calculates optimal quantities for all the units of the current i =1 j∈O ( i )
(1)
leader, once his competitors’ bids are supposed as known. The NTR
Q( j ) + A(i, k ) ⋅ TR(k ) = L(i) − PARA(i) i = {1, NA}
target is a maximization of the producer surplus. The second J ∈O ( i ) k =1

step (see par. D) transforms these results into a bid strategy

(quantity-price) for the current leader. The bids vector, shared QMIN ( j ) ≤ Q( j ) ≤ QMAX ( j ) j ∈ O (i) i = {1, , NA}

among all the leaders, is updated only if the results allow the
current leader to improve his surplus.12. After all the leaders
have played, if no leader has improved his position13 the
situation at the previous iteration is restored and the algorithm
stops. Else, another iteration is run until either no leader
modifies his offers or the sum of all leaders’ surplus stops to
increase between iterations. A maximum number of iterations
is defined to deal with possible non-convergence.
Fig. 2 – Strategic competition calculation
B. The algorithm “Vampiro”
TRMIN (k ) ≤ TR(k ) ≤ TRMAX (k ) k = {1, , NTR)}
where:
- NA is the number of market areas (zones);
- NTR is the number of interarea connections;
- O(i) is the set of current leader competitors’ generation
units offered in area i;
- Q(j) is the j-th competitors’ generation unit;
- QMIN(j) and QMAX(j) are the minimum and maximum power
value bid by the j-th competitors’ unit;
- Pbid(j) is the unit bid price for competitors’ unit j;
- TR(k) is the power flowing on interarea connection k;
- TRMIN(k) and TRMAX(k) are the minimum and maximum
interarea flow constraints for connection k;
- L(i) is the load in market area i;
- A(i,j) is a [NAxNTR] matrix defining the topology of
interarea connections. Entries in row i are equal to –1 for
connections “exiting” and +1 for those “entering” area i;
other elements are zero;
- PARA(i) is the overall power that the current leader
decides to produce in area i (a leader’s problem output);
2. Translate it into Karush-Kuhn-Tucker (KKT) conditions
by writing Lagrangean function of the market problem:
Lg (Q, TR, λ , µ MIN , µ MAX , vMIN , vMAX ) =
NA
= Pbid ( j ) ⋅ Q( j ) + (2)
i =1 j =O (i )

NA NTR
This procedure calculates the optimal quantities a leader − λ (i ) ⋅ Pbid ( j ) + A(i, k ) ⋅ TR (k ) − CARA(i ) + PARA(i ) +
i =1 j =O (i ) k =1
should bid for all his power units to optimize his surplus, once NA
competitors’ bids are known. The algorithm, experimented at − ( µ MIN ( j ) ⋅ (Q( j ) − QMIN ( j )) +
i =1 j =O (i )
CESI years ago (see [33]), consists of the following steps: NA
− ( µ MAX ( j ) ⋅ (−Q( j ) + QMAX ( j )) +
1. Write the market problem (Π) on a single hour by i =1 j =O (i )

maximizing the social welfare14, while satisfying the −

NTR
(vMIN (k ) ⋅ (TR (k ) − TRMIN ( k )) −
NTR
(vMAX (k ) ⋅ (−TR (k ) + TRMAX (k ))
power balance in all the market areas and keeping into k =1 k =1

account generation bids and interarea flow constraints. By By deriving the Lagrangean function, we get:
keeping current leader’s bids apart from the ones of his ∂Lg (3)
competitors and omitting the term relating to the leader’s = Pbid ( j ) − λ (i ) − µ MIN ( j ) + µ MAX ( j ) = 0 j ∈ O(i) i = {1, , NA}
∂Q( j )
bids from the target function (supposing the leader is able ∂Lg NA
(4)
to fix the optimal level of production calculated as an = − λ (i) × A(i, k ) − µ MIN ( k ) + µ MAX ( k ) = 0; k = {1, , NTR}
∂TR ( k ) I =1
output of the leader’s problem), we can write:
KKT optimum conditions include: equations (3) and (4),
interarea flow constraints (1.2), upper and lower bid
constraints (1.3), upper and lower interarea flow constraints
12
Since a quadratic constraint is penalized into the target function in (1.4), non-negativity of multipliers µMIN, µMAX, νMIN, νMAX,
order to be able to formulate the problem as a quadratic programming complementarity conditions:
optimization, this test is necessary, in particular when the starting point of the
current move is in the neighborhood of the player’s optimum. µMIN ( j) ⋅ (Q( j) − QMIN ( j)) = 0,
13
Within an iteration, each player moves by maximizing his surplus at the
µMAX ( j) ⋅ (−Q( j) + QMAX ( j)) = 0, j ∈ O(i), i = {1, , NA} (5)
expense of the other players. At the end of a given iteration, it is not granted
that at least one player has improved his position: e.g. the last player could be vMIN (k ) ⋅ (TR(k ) − TRMIN (k )) = 0,
able to improve his situation less than the sum of the worsenings suffered by vMAX (k ) ⋅ (−TR(k ) + TRMAX (k ) = 0, k = {1, , NTR}
effect of other players’ moves.
14
Since demand is inelastic, only the generation related part of the
parameter social welfare is significant and the target function may be re-
written in terms of a minimum expenditure problem.
7 4
Conditions (5) may then be transformed into one only equality
constraint (see [33] for details) by adding them together and
substituting (3), (4) and the area balance equations (1.2).
This yields the quadratic constraint:
NA
( Pbid ( j ) ⋅ Q( j ) − µ MIN ( j ) ⋅ QMIN ( j ) + µ MAX ( j ) ⋅ QMAX ( j )) +
i =1 j∈O ( i )
NA
− λ (i) ⋅ (CARA(i) − PARA(i ) ) +
I =1
NTR
+ − v MIN ( k ) ⋅ TR MIN (k ) + v MAX (k ) ⋅ TR MAX (k ) = 0
k =1
3. Write leader’s problem. The current leader aims at
maximizing his surplus. His problem can, therefore, be
formulated as:
NA NA
max λ (i ) q( j) − Cost j (q ( j ))
i =1 j ∈G ( i ) i =1 j ∈G ( i )
qMIN ≤ q ( j ) j∈ G (i )
i =1, NA
optimum KKT conditions for problem ( )
where:
- G(i) is the set of the generation units of the current leader
in area i;
- λ(i) is the energy price in area i;
- q(j) is the power production of unit j of the current leader;
- qMIN(j) and qMAX(j) are minimum and maximum power bid
by the current leader’s unit j.
Problem (7) is characterized by a quadratic target function and
a set of linear constraints, except (6) that is quadratic. By
penalizing (6) into the object function, a non-convex quadratic
programming problem results15.
C. Calculation of strategical bids
A further step translates leader’s optimal quantities, provided
by “Vampiro”, into an optimal bidding strategy (price-
quantity) capable to induce the optimal market clearing.
KKT conditions for the market problem yield that the bid price
for a given generation unit in zone i should be:
- equal to the optimal zonal price calculated by “Vampiro”
λ(i), if the constraints are not active,
- higher than λ(i) if the plant is at the technical minimum,
- lower than λ(i) if the plant is at the maximum.
Provided that the current leader bids the optimal quantities
calculated by Vampiro, infinite choices are possible for the bid
price. In particular, SREMS allows to choose between the
following two strategies (Fig.3):
• Omothetic shift: bid just above zonal price leader’s units
dispatched at technical minimum; scale other leader’s bids
proportionally to the aggregated marginal costs curve, so
that the highest cost leader’s unit is bid just below the
zonal marginal price. This leaves competitors’ plants as
marginal (coherently with the hypotheses of Vampiro) and
15
Because of the non-convexity of the problem, local minima may exist
(and do exist). Thus, it’s important to initialize the iterations with a point as
close as possible to the final solution. By supposing that prices remain close
to perfect competition ones in night hours while they may drasticly increase
towards regulator- or self-defined caps in peak hours, this criterion is adopted
to carry out the initialization of the first iteration.
avoids flattening the bid prices, preserving price reactivity
for the following iterations.
• Aggressiveness tuning: define a parameter between 0 and
1 (0=highest aggressiveness); bid just above zonal price
leader’s units dispatched at technical minimum; sort other
(6)
leader’s plants by increasing costs: bid most expensive
plant just below zonal marginal price, the others at prices
linearly decreasing until reaching the cheapest one, that is
bid at cost if the strategic parameter is 0, at the same price
level as the most expensive if the strategic parameter is 1.
(7)
Fig. 3 – Bid-up strategies for competitive bids
V. SIMULATION RESULTS
This section shows a few simulations carried out using
SREMS on data relevant to the Italian electricity market in the
year 2005. Actual market prices in January 2005 have been
used to compare simulator results with real market outcome.
The considered scenario features the following characteristics:
19 GenCos, 4 macro-zones16 (North, Center-South, Sicily,
Sardinia), 170 thermal units, 53 hydro units (19 run-of-the-
river, 24 reservoir equivalents17, 10 pumped storage plants), no
physical bilateral contracts, voluntary price cap at 350 /MWh
(system cap at 500 /MWh), fuel prices: 18.68 /Gcal (oil),
24.35 /Gcal (natural gas). Each thermal plant is characterized
by a heat rate quadratic curve for each fuel of the mix,
programmed maintenance periods and an availability rate
(unforced outages). Monthly hydro production and pumping
are provided as an input (calculated by another simulator), as
well as monthly CIP6 and import.
A. One leader
The greatest Italian is supposed the only producer behaving as
a price-maker. Other GenCos act as price-takers offering at
minimum price. Fig.4 shows prices along a typical week:
• Working days: oligopoly prices go up to the cap in nearly
all the high-load hours while perfect competition is
slightly above 50 /MWh. Real results inbetween.
• Weekends: on Sundays, prices are low and resemble
perfect competition; on Saturdays there are typically two
peaks in central day hours, otherwise prices go down to
values similar to perfect competition.
16
We preferred to simplify the market topology by grouping it into
macrozones by considering only the tie lines that are likely to be often
congested.
17
Here, entire hydraulically linked subsets, often called valleys, are
converted into single equivalent reservoirs.
7 5
P e rfe ct c o m p e titio n S tra te g ic co m p e titio n M a rke t o u tc o m e W ith L im its W ith o u t lim its M a rk e t
400 400
350 350
300 300
250 250
200 200
150 150
100 100
50 50
0 0
1 12 23 34 45 56 67 78 89 100 111 122 133 144 155 166
1 12 23 34 45 56 67 78 8 9 1 0 0 1 1 1 1 2 2 1 3 3 14 4 1 5 5 1 6 6
Fig. 4 – Simulation of one week in January 2005, zone North
Fig.5 – One week in January 2005, zone Sicily, with and without transit limits
By comparing ex-ante Lerner index (Tab.1) with ex-post
Lerner index18 (Tab.2) we see that the players (in particular, C. One vs four leaders
the dominant) did not exercise market power at the maximum This simulation compares the case where the game is played
extent, as indicated by the simulation model. This phenomenon only by the greatest producer, all the others behaving as price-
is quite known and many have theorized a sort of “moral takers, with the one where the four greatest GenCos participate
suasion” exercised by the Regulator: the incumbent would to the game. The joint effect of the four GenCos increases the
restrain from exercising “too much” market power in order to overall exercise of market power in Center-South, Sicily and
avoid a more severe or restrictive attitude by the Regulator. Sardinia, while the situation is unchanged in the North. The
Tab. 1- Ex-ante Lerner index (potential exercise of market power)
greatest GenCo owns a significant share of the installed power,
North Center-Sth Sardinia Sicily Average other companies have a very limited action range.
Max 0.884 0.879 0.879 0.879 0.880 Tab.5- One price-maker
Ave 0.417 0.421 0.440 0.404 0.421 North Center-Sth Sardinia Sicily Average
Num%>0.05 61.4 60.8 63.7 69.9 66.5 Max 0.884 0.879 0.879 0.879 0.880
Tab.2 - Ex-post Lerner index (actual exercise of market power) Ave 0.417 0.421 0.440 0.404 0.421
North Center-Sth Sardinia Sicily Average Num%>0.05 61.4 60.8 63.7 69.9 66.5
Max 0.650 0.650 0.700 0.598 0.628 Tab.6- Four price-makers
Ave 0.147 0.156 0.226 0.053 0.146 North Center-Sth Sardinia Sicily Average
Num%>0.05 56.5 58.2 63.3 51.1 58.1 Max 0.884 0.882 0.882 0.879 0.880
Ave 0.419 0.437 0.456 0.418 0.432
Num%>0.05 61.4 61.3 64.0 71.5 67.2
B. One leader without transit limits
This simulation sees only the grestest Italian producer acting D. Breakup of the incumbent into three GenCos
as a price-maker and compares the two situations in which
The market incumbent is split into three companies, of nearly
transit limits between macro-zones are (or not) enforced.
the same size. We suppose only these three GenCos behave
As expected, congested transits split the national market into
strategically (3 leaders) and compare the results with a
sub-markets and provide better possibilities to exercise market
situation seeing the original unsplit firm behaving strategically
power by exploiting situations of local dominance. As a result
(1 leader). As expected, increasing the competition reduces the
prices grow and so the Lerner index (see Fig.5 and Tabb 3-4).
capability to exercise market power (see Tabb.7-8).
Tab.3- No transit limits
North Center-Sth Sardinia Sicily Average Tab.7- Market leader split into three GenCos
Max 0.881 0.881 0.881 0.881 0.881 North Center-Sth Sardinia Sicily Average
Ave 0.366 0.365 0.365 0.365 0.365 Max 0.861 0.861 0.872 0.861 0.863
Num%>0.05 51.2 51.2 51.2 51.2 51.2 Ave 0.375 0.379 0.399 0.337 0.373
Num%>0.05 56.6 59.5 62.9 51.2 61.8
Tab.4- With transit limits Tab.8- Solution with unsplit market leader
North Center-Sth Sardinia Sicily Average North Center-Sth Sardinia Sicily Average
Max 0.884 0.879 0.879 0.879 0.880 Max 0.884 0.879 0.879 0.879 0.880
Ave 0.417 0.421 0.440 0.404 0.421 Ave 0.417 0.421 0.440 0.404 0.421
Num%>0.05 61.4 60.8 63.7 69.9 66.5 Num%>0.05 61.4 60.8 63.7 69.9 66.5

18
The ex-ante Lerner index is defined as the difference in p.u. between
the prices resulting from strategic competition and those resulting from
perfect competition. The ex-post Lerner index is defined as the difference in
p.u. between the real market prices and those resulting from perfect
competition. Thus, while the former compares two results of the simulation
model, the latter compares the actual market realization with the simulated
outcome of perfect competition.
Legend of Lerner index tables: Max=monthly maximum value;
Ave=monthly average value; Num%>0.05=number of hours in which the
competitive conventional threshold 0.05 is overcome.
VI. CONCLUSIONS
SREMS is a reliable tool allowing to perform scenario
analyses on real electricity markets over a short-medium run
time horizon and to assess the capability of the market leaders
to exercise market power, both market-wide and at local level.
Yet, the calculated results provide only two extreme
equilibria: perfect competition (no leader exercises market
power) and strategic competition (the chosen leaders pursue a
7 6
surplus maximization without any restraint). Real world is
inbetween, as simulations also show.
The true challenge would be to incorporate real strategies
instead of sheer profit maximization inside the optimization
target function. The Regulator could also be seen as a player,
aiming at a target very different from GenCos’, and somehow
competing with them. In my opinion, the true improvement to
be achieved in the future is to make the market equilibrium
model acquire a true predictive role. This is, of course, a non-
trivial task and, as far as I know, no literature paper has
tackled the problem yet.
VII. ACKNOWLEDGEMENTS
This work has been financed by the Research Fund for Italian
Electrical System established with Ministry of Industry Decree
DM 26/1/2000. All relevant results are published on the site:
http://www.ricercadisistema.it/. Here, the package SREMS
will be put available for a free download together with its
documentation during the next months.
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Gianluigi Migliavacca graduated in Electronic Engineering at the
Polytechnic University of Milan in 1991. In 1994 he joined the Automation
Research Center of ENEL where he has been responsible of research activities
in the field of mathematical modeling and numerical methods for the dynamic
simulation of thermal power plants. In 2000 he joined CESI in Milan and then
CESI Ricerca, where he presently works, carrying out research activities
involving simulation and dealing with regulatory issues of electricity markets
and cross border trade. In 2005 he was also consultant at the Italian
Regulatory Authority for Electricity and Gas both about the so called Athens
process, concerning the energy markets of the Countries of South-East
Europe, and about Cross Border Trade and congestion management in the
Central-South European area. He is also member of IFAC committee Power
Plants and Power Systems. He also organizes courses on electricity market
topics in the frame of the consortium EES-UETP.