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EE Seminar: A Convex Primal Formulation for Convex Hull Pricing

Tuesday, May 16, 2017, 12:45 PM - 1:45 PM
Hereford University Center, San Saba Room (205)

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Ross Baldick, Ph.D. Professor, Department of Electrical and Computer Engineering UT Austin

Abstract: 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 locational marginal prices. The ISO makes discriminatory side payments to incentivize the compliance of generators. Convex hull pricing is a uniform pricing scheme that minimizes these side payments. The Lagrangian dual problem of the unit commitment problem has been solved in the dual space to determine convex hull prices. However, this approach is computationally expensive. We propose a polynomially-solvable primal formulation for the Lagrangian dual problem. This formulation explicitly describes for each generating unit the convex hull of its feasible set and the convex envelope of its cost function. We cast our formulation as a second-order cone program when the cost functions are quadratic, and a linear program when the cost functions are piecewise linear. A 96-period 76-unit transmission-constrained example is solved in less than fifteen seconds on a personal computer.

Bio: Ross BaldickRoss Baldick is professor and Leland Barclay Fellow in the Department of Electrical and Computer Engineering at The University of Texas at Austin. He has undergraduate degrees from the University of Sydney, Australia, and graduate degrees from the University of California, Berkeley. His current research involves optimization, economic theory, and statistical analysis applied to electric power systems, particularly in the context of increased renewables and transmission. Baldick is a Fellow of the IEEE and the recipient of the 2015 IEEE PES Outstanding Power Engineering Educator Award.

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