A Strengthened Primal-Dual Decomposition Algorithm for Solving Electricity Market Pricing with Revenue-Adequacy and FFR constraints

This paper develops a new decomposition algorithm for solving Electricity Market Pricing (EMP) problem, taking into account both revenue-adequacy and Fast Frequency Reserve (FFR) constraints. Due to revenue-adequacy constraint, a bilevel model of the EMP problem is introduced (BL-EMP). The upper level of the BL-EMP model represents the non-convex unit commitment (UC) decisions as well as the revenue-adequacy constraints of the market participants (generators, loads, and battery-storage owner). The lower level is a convex economic dispatch model with FFR constraint. To tackle the computational complexity of the considered BL-EMP model, this paper develops, tests, and proposes a Strengthened Primal-Dual Decomposition (SPDD) algorithm, which takes benefits from both Benders-like and Lagrange Dual-like algorithms. The new SPDD algorithm has a series of interesting computational properties, which are theoretically discussed in the paper. The SPDD algorithm has better computational performance than standard Benders decomposition algorithm and it also does not need tuning of the Big-M (or disjunctive) parameters for solving the proposed BL-EMP problem. Results from the modified IEEE 24-bus, the IEEE 118-bus, and the IEEE 300-bus system show the superiority of proposed SPDD algorithm over the classic Benders algorithm.