We consider a market mechanism developed to solve the problem associated with the day-ahead power markets coupling in the Price Coupling of Regions (PCR). The model is based on a standard zonal market, but it becomes non-convex due to the introduction of different typologies of orders: block orders (aggregate orders for several hours, with a fixed price and volume throughout these hours), MIC orders (supply orders that, if accepted, must cover their production costs) and Italian demand order driven by an Uniform Purchase Price (“Prezzo Unico Nazionale” or PUN).

The mathematical formulation of these orders give rise to a MINLP problem. Hourly zonal prices are in general defined by the intersection between the demand curve and the offer curve. In presence of block orders this cannot be true: we propose a bilevel model able to find the price in the European market. The lower level represents the standard market clearing problem in a primal-dual formulation, and defines the accepted quantities and the zonal prices; the upper level imposes the complex orders constraints, which determine the acceptance of complex orders by means of a continuous variable. An exact solution of this model is computed. The model has been tested on actual European day-ahead market sessions, which were perfectly replicated.