An Extended Integral Unit Commitment Formulation and an Iterative Algorithm for Convex Hull Pricing

To increase market transparency, independent system operators (ISOs) have been working on minimizing uplift payments based on convex hull pricing theorems. Along this direction, in this paper, based on the analysis of specific generator features in the Midcontinent ISO (MISO) system, besides reviewi...

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Veröffentlicht in:IEEE transactions on power systems Jg. 35; H. 6; S. 4335 - 4346
Hauptverfasser: Yu, Yanan, Guan, Yongpei, Chen, Yonghong
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York IEEE 01.11.2020
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Schlagworte:
Algorithms
Computational geometry
Convex hull pricing
Convexity
Generators
Integral equations
integral formulation
Integrals
iterative algorithm
Iterative algorithms
Iterative methods
MISO (control systems)
Operators (mathematics)
Pricing
Unit commitment
Uplift
ISSN:0885-8950, 1558-0679
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Abstract To increase market transparency, independent system operators (ISOs) have been working on minimizing uplift payments based on convex hull pricing theorems. Along this direction, in this paper, based on the analysis of specific generator features in the Midcontinent ISO (MISO) system, besides reviewing integral formulations for several special cases, we develop two integral formulations of a single generator that can capture these features. We then build a compact convex hull pricing formulation based on these integral formulations, which guarantees to obtain an exact convex hull price by solving a large-scale linear program. Meanwhile, to address the computational challenges caused by the large-scale MISO system, we propose innovative iterative algorithms with convergence properties, plus a complementary algorithm, to obtain an approximated convex hull price. The case studies on MISO instances with and without transmission constraints indicate that our algorithms lead to an exact convex hull price for all numerical studies and, the solutions can be obtained within 20 minutes.
AbstractList To increase market transparency, independent system operators (ISOs) have been working on minimizing uplift payments based on convex hull pricing theorems. Along this direction, in this paper, based on the analysis of specific generator features in the Midcontinent ISO (MISO) system, besides reviewing integral formulations for several special cases, we develop two integral formulations of a single generator that can capture these features. We then build a compact convex hull pricing formulation based on these integral formulations, which guarantees to obtain an exact convex hull price by solving a large-scale linear program. Meanwhile, to address the computational challenges caused by the large-scale MISO system, we propose innovative iterative algorithms with convergence properties, plus a complementary algorithm, to obtain an approximated convex hull price. The case studies on MISO instances with and without transmission constraints indicate that our algorithms lead to an exact convex hull price for all numerical studies and, the solutions can be obtained within 20 minutes.
Author Chen, Yonghong
Yu, Yanan
Guan, Yongpei
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SubjectTerms Algorithms
Computational geometry
Convex hull pricing
Convexity
Generators
Integral equations
integral formulation
Integrals
iterative algorithm
Iterative algorithms
Iterative methods
MISO (control systems)
Operators (mathematics)
Pricing
Unit commitment
Uplift
Title An Extended Integral Unit Commitment Formulation and an Iterative Algorithm for Convex Hull Pricing
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