Thursday, May 07, 201510:30 AM - 12:00 PMCNLS Conference Room (TA-3, Bldg 1690)|
Pricing non-convexities in an electricity pool: A non-orthodox primal-dual approach
Antonio Conejo NavarroOhio State University
Electricity pools are generally cleared through auctions that are conveniently formulated as mixed-integer linear programming problems. Since a mixed-integer linear programming problem is non-continuous and non-convex, marginal prices cannot be derived. However, to trade electricity prices are needed. Thus, a relevant question arises: how to generate appropriate prices? This paper addresses this important issue and proposes a primal-dual approach to derive revenue-adequate uniform prices that guarantee that dispatched producers remain in the market. Such prices do not significantly deviate from the marginal prices obtained if integrality conditions are relaxed in the original mixed-integer linear programming problem.
Host: Misha Chertkov