• 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