An extreme-point subdifferential method for convex hull pricing in energy and reserve markets-part ii: Convergence analysis and numerical performance

Gui Wang, Vinayak V. Shanbhag, Tongxin Zheng, Eugene Litvinov, Sean Meyn

Research output: Contribution to journalArticle

7 Scopus citations

Abstract

Motivated by the poor local convergence behavior of existing computation schemes, we proposed an extreme-point subdifferential method (EPSD) to calculate convex-hull energy and reserve prices in Part I of this paper. In this part, the EPSD algorithm is shown to terminate in finite time where termination is said to occur when the subdifferential set contains the zero vector. Numerical experiments illustrate the finite-termination property and show that the performance of the scheme compares well with standard subgradient methods on the examples considered.

Original languageEnglish (US)
Article number6419873
Pages (from-to)2121-2127
Number of pages7
JournalIEEE Transactions on Power Systems
Volume28
Issue number3
DOIs
StatePublished - Jan 30 2013

All Science Journal Classification (ASJC) codes

  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering

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