DocumentCode
27255
Title
An Extreme-Point Subdifferential Method for Convex Hull Pricing in Energy and Reserve Markets—Part II: Convergence Analysis and Numerical Performance
Author
Gui Wang ; Shanbhag, Uday V. ; Tongxin Zheng ; Litvinov, Eugene ; Meyn, Sean
Author_Institution
Dept. of Electr. & Comput. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA
Volume
28
Issue
3
fYear
2013
fDate
Aug. 2013
Firstpage
2121
Lastpage
2127
Abstract
Motivated by the poor local convergence behavior of existing computation schemes, we proposed an extreme-point subdifferential method (EPSD) to calculate convex-hull energy and reserve prices in Part I of this paper. In this part, the EPSD algorithm is shown to terminate in finite time where termination is said to occur when the subdifferential set contains the zero vector. Numerical experiments illustrate the finite-termination property and show that the performance of the scheme compares well with standard subgradient methods on the examples considered.
Keywords
convex programming; power markets; EPSD algorithm; convergence analysis; convex hull pricing; energy market; extreme-point subdifferential method; finite-termination property; numerical performance; reserve market; Convergence; Educational institutions; Face; Generators; Pricing; Standards; Vectors; Convex hull price; Lagrangian relaxation; electricity markets; energy-reserve co-optimization; nondifferentiable optimization; unit commitment; uplift payments;
fLanguage
English
Journal_Title
Power Systems, IEEE Transactions on
Publisher
ieee
ISSN
0885-8950
Type
jour
DOI
10.1109/TPWRS.2012.2229303
Filename
6419873
Link To Document