An Extreme-Point Subdifferential Method for Convex Hull Pricing in Energy and Reserve Markets-Part II: Convergence Analysis and Numerical Performance

作者：Wang Gui^*; Shanbhag Uday V; Zheng Tongxin; Litvinov Eugene; Meyn Sean

来源：IEEE Transactions on Power Systems, 2013, 28(3): 2121-2127.

DOI：10.1109/TPWRS.2012.2229303

• Convex hull price
• electricity markets
• energy-reserve co-optimization
• Lagrangian relaxation
• nondifferentiable optimization
• unit commitment
• uplift payments

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.

• 出版日期2013-8