A Simplified Method for Convex Hull Pricing

In recent years, the development of new energy sources has led to a reduction in the proportion of thermal power generation, which in turn has highlighted the issue of non-convexities in electricity markets. 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. This paper revisits the primal and dual approaches for calculating convex hull prices, discusses the Dantzig-Wolfe decomposition method, and highlights its limitations. Building on this, we propose a simplified approach to convex hull pricing. Additionally, we provide empirical evidence about the favorable performance of our algorithm on large test instances based on RTS system.