Related papers: An Integral Formulation and Convex Hull Pricing fo…
To increase market transparency, independent system operators (ISOs) have been working on minimizing uplift payments based on convex hull pricing theorems. However, the large-scale complex systems for ISOs bring computational challenges to…
We consider a general power market with price-sensitive consumer bids and non-convexities originating from supply (start-up and no-load costs, nonzero minimum output limits of generating units, etc.) and demand. The convex hull…
In certain electricity markets, because of non-convexities that arise from their operating characteristics, generators that follow the independent system operator's (ISO's) decisions may fail to recover their cost through sales of energy at…
We consider fixed load power market with non-convexities originating from start-up and no-load costs of generators. The convex hull (minimal uplift) pricing method results in power prices minimizing the total uplift payments to generators,…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
Electricity prices determined by economic dispatch that do not consider fixed costs may lead to significant uplift payments. However, when fixed costs are included, prices become non-monotonic with respect to demand, which can adversely…
This paper presents a new dynamic pricing model (a.k.a. real-time pricing) that reflects startup costs of generators. Dynamic pricing, which is a method to control demand by pricing electricity at hourly (or more often) intervals, has been…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and…
In this paper, we consider the polyhedral structure of the unit commitment polytope. In particular, we provide the convex hull results for the problem under the following different settings: 1) the convex hulls for the integrated…
The presence of non-convexities in electricity markets has been an active research area for about two decades. The -- inevitable under current marginal cost pricing -- problem of guaranteeing that no market participant incurs losses in the…
This paper introduces a computationally efficient comparative approach to classical pricing rules for day-ahead electricity markets, namely Convex Hull Pricing, IP Pricing and European-like market rules, in a Power Exchange setting with…
The start up costs in many kinds of generators lead to complex cost structures, which in turn yield severe market loopholes in the locational marginal price (LMP) scheme. Convex hull pricing (a.k.a. extended LMP) is proposed to improve the…
We consider the sum of the incurred start-up costs of a single unit in a Unit Commitment problem. Our major result is a correspondence between the facets of its epigraph and some binary trees for concave start-up cost functions CU, which is…
Writing an uncomplicated, robust, and scalable three-dimensional convex hull algorithm is challenging and problematic. This includes, coplanar and collinear issues, numerical accuracy, performance, and complexity trade-offs. While there are…
We propose a linear cutting-plane pricing algorithm tailored for large-scale electricity markets, addressing nonconvexities arising from the Alternating Current Optimal Power Flow equations. We benchmark our algorithm against a Direct…
Convex Hull (CH) pricing, used in US electricity markets and raising interest in Europe, is a pricing rule designed to handle markets with non-convexities such as startup costs and minimum up and down times. In such markets, the market…
Fuel cost contributes to a significant portion of operating cost in cargo transportation. Though classic routing models usually treat fuel cost as input data, fuel consumption heavily depends on the travel speed, which has led to the study…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…