Patent ID: 7599866

Claim:
A system for determining an electricity market clearing price, subject to a plurality of constraints and an actual purchase cost, comprising: a data processing system in communication with a mass storage device; the mass storage device tangibly embodying program instructions that when executed by the data processing system perform the method steps of: 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: J ≡ ∑ t = 1 T ⁢ ⁢ ∑ i = 1 I ⁢ ⁢ { MCP ⁡ ( t ) ⁢ p i ⁡ ( t ) + S i ⁡ ( t ) } and MCP(t) is the electricity market clearing price during time t, p i (t) is the amount purchased from a supplier i during a time t, and S i (t) is the capacity related cost of the supplier i during the time t.