Commitment Cost Allocation of Fast-Start Units for Approximate Extended Locational Marginal Prices

Wang, Congcong; Luh, Peter B.; Gribik, Paul R.; Peng, Tengshun; Zhang, Li

doi:10.1109/tpwrs.2016.2524203

Cited by 31 publications

(18 citation statements)

References 11 publications

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“…Therefore, we believe that our approximation is close, especially for a day-ahead market in which ramping constraints are less likely to be binding compared to a real-time market. Note also that a time-decoupled pricing problem is used in MISO's single-hour approximation of convex hull pricing [5]. This pricing problem includes ramping constraints, but does not capture the time-coupling implications of ramping.…”

Section: Ramping Constraintsmentioning

confidence: 99%

“…For each case, we first solve the UCED problem and obtain the LMPs. We then determine convex hull prices using two methods: an approximation of CHP-Primal and the singleperiod approximation proposed in [5]. Because of the ramping constraints, we approximate conv(X g ) using constraints (13)- (16), (19), along with valid inequalities that completely characterize these convex hulls for T = 2 and T = 3.…”

Section: Examplementioning

confidence: 99%

“…Convex hull pricing [4,11,12] is a pricing scheme that minimizes certain uplift payments over all possible uniform prices, and has received much attention. The Midcontinent ISO (MISO) has implemented an approximation of convex hull pricing, and refers to convex hull prices as extended locational marginal prices (ELMPs) [5]. Convex hull prices are slopes of the convex envelope of the system cost function, 3 and are thus non-decreasing with respect to demand.…”

Section: Introductionmentioning

confidence: 99%

“…For non-smooth optimization techniques like the sub-gradient method for which no certificate of optimality exists, the algorithm is often terminated before an optimal value is attained [17,Chapter 10.3]. Obtaining exact dual maximizers of the Lagrangian dual problem is computationally expensive [5,18]. Consequently, MISO implements a single-period approximation of convex hull pricing that is based on a version of the UCED problem in which integer variables are relaxed to being continuous [5].…”

Section: Introductionmentioning

confidence: 99%

“…Obtaining exact dual maximizers of the Lagrangian dual problem is computationally expensive [5,18]. Consequently, MISO implements a single-period approximation of convex hull pricing that is based on a version of the UCED problem in which integer variables are relaxed to being continuous [5].…”

Section: Introductionmentioning

confidence: 99%

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A Convex Primal Formulation for Convex Hull Pricing

Hua

Baldick

2017

IEEE Trans. Power Syst.

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In certain electricity markets, because of non-convexities that arise from their operating characteristics, generators that follow the independent system operator's (ISO's) decisions may fail to recover their cost through sales of energy at locational marginal prices. The ISO makes discriminatory side payments to incentivize the compliance of generators. Convex hull pricing is a uniform pricing scheme that minimizes these side payments. The Lagrangian dual problem of the unit commitment problem has been solved in the dual space to determine convex hull prices. However, this approach is computationally expensive. We propose a polynomially-solvable primal formulation for the Lagrangian dual problem. This formulation explicitly describes for each generating unit the convex hull of its feasible set and the convex envelope of its cost function. We cast our formulation as a second-order cone program when the cost functions are quadratic, and a linear program when the cost functions are piecewise linear. A 96period 76-unit transmission-constrained example is solved in less than fifteen seconds on a personal computer.

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Section: Ramping Constraintsmentioning

confidence: 99%