Abstract:
Convex hull pricing is a well-documented method for coping with the non-existence of uniform clearing prices in electricity markets with non-convex costs and constraints....Show MoreMetadata
Abstract:
Convex hull pricing is a well-documented method for coping with the non-existence of uniform clearing prices in electricity markets with non-convex costs and constraints. We revisit primal and dual methods for computing convex hull prices, and discuss the positioning of existing approximation methods in this taxonomy. We propose a dual decomposition algorithm known as the Level Method and we adapt the basic algorithm to the specificities of convex hull pricing. We benchmark its performance against a column generation algorithm that has recently been proposed in the literature. We provide empirical evidence about the favorable performance of our algorithm on large test instances based on PJM and Central Europe.
Published in: IEEE Transactions on Power Systems ( Volume: 37, Issue: 5, September 2022)