Capturing Electricity Market Dynamics in Strategic Market Participation Using Neural Network Constrained Optimization

Mihaly Dolanyi*, Kenneth Bruninx, Jean Francois Toubeau, Erik Delarue

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)


In competitive electricity markets, the optimal bid or offer problem of a strategic agent is commonly formulated as a bi-level program and solved as a mathematical program with equilibrium constraints (MPEC). If the lower-level (LL) part of the problem can be well approximated as a convex problem, this approach leads to a global optimum. However, electricity markets are governed by non-convex (partially known) constraints and reward functions of the participating agents. In this paper, an alternative data-driven paradigm, labeled as a mathematical program with neural network constraint (MPNNC), is developed. The method uses a neural network to represent the mapping between the upper-level (agent) decisions and the lower-level (market) outcomes, i.e., it replaces the lower-level problem with a surrogate model. In the presented case studies, the proposed model is used to find the optimal load shedding strategy of a strategic load-serving entity. First, the MPNNC performance is compared to the MPEC approach, both in convex and non-convex environments, showing that the proposed MPNNC achieves similar performance to an ideal MPEC that has perfect knowledge of the simulated market environment. Then, aggregated supply curves from the Belgian spot exchange are used to assess the potential gains of using the developed model in real-life applications.
Original languageEnglish
Pages (from-to)533-545
Number of pages13
JournalIEEE Transactions on Power Systems
Issue number1
Publication statusPublished - 2024

Bibliographical note

Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.


  • electricity markets
  • mathematical program with neural network constraint
  • Strategic bidding


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