Computational Studies on Integral Formulations for Convex Hull Pricing

In this paper, we review the recently proposed convex hull pricing primal formulation (CHP-Primal), and integral formulations which characterize more private limits including ramping constraints and time-variant start-up/shut-down costs. We propose and prove the convergence of piecewise linear approximation to the quadratic convex envelope applied in the CHP-Primal problem. We also conduct case studies to show the convergence rate and compare the computational performance of different formulations including the piecewise linear approximations with different number of pieces, and the case of using quadratic convex envelope in the convex hull pricing scheme.