Novel Quality Measure and Efficient Resolution of Convex Hull Pricing
for Unit Commitment
Abstract
Electricity prices determined from economic dispatch without considering
fixed costs may cause high uplift payments. With fixed costs, however, a
price is not a monotonic function of demand, affecting market
transparency. To overcome these, convex hull (CH) pricing has recently
been introduced for unit commitment with fixed costs. Several CH pricing
methods were presented, and a feasible cost was used to quantify the CH
price quality. The associated difficulties are 1. high computational
effort required to obtain a feasible cost and 2. the associated duality
gap may not be tight enough to provide accurate measure. In this paper,
a novel measure to quantify the quality of CH prices is presented by
establishing an upper bound to the optimal dual value approaching it
from above. Near-optimal CH prices are efficiently obtained by using
Surrogate Lagrangian Relaxation (SLR), meanwhile, the upper bound
decreases fast due to convergence of SLR. Testing results on the IEEE
118-bus system without transmission capacities indicate that the novel
quality measure reaches a value of less than 0.1% in seconds – much
more accurate and faster than the measure provided by a feasible cost –
demonstrating the high quality of the upper bound and the efficiency of
SLR.