An Extreme-Point Subdifferential Method for Convex Hull Pricing in Energy and Reserve Markets—Part I: Algorithm Structure

@article{Wang2013AnES,
  title={An Extreme-Point Subdifferential Method for Convex Hull Pricing in Energy and Reserve Markets—Part I: Algorithm Structure},
  author={Gui Wang and Uday V. Shanbhag and Tongxin Zheng and E. Litvinov and Sean P. Meyn},
  journal={IEEE Transactions on Power Systems},
  year={2013},
  volume={28},
  pages={2111-2120}
}
Prices in electricity markets are given by the dual variables associated with the supply-demand constraint in the dispatch problem. However, in unit-commitment-based day-ahead markets, these variables are not easy to obtain. A common approach relies on re-solving the dispatch problem with the commitment decisions fixed, and utilizing the associated dual variables. This avenue may lead to inadequate revenues to generators, which has led to the introduction of uplift payments made by the market… CONTINUE READING