Spot Pricing When Lagrange Multipliers Are Not Unique

Publication: Research - peer-reviewJournal article – Annual report year: 2012

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Spot Pricing When Lagrange Multipliers Are Not Unique. / Feng, Donghan; Xu, Zhao; Zhong, Jin; Østergaard, Jacob.

In: I E E E Transactions on Power Systems, Vol. 27, No. 1, 2012, p. 314 - 322.

Publication: Research - peer-reviewJournal article – Annual report year: 2012

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Author

Feng, Donghan; Xu, Zhao; Zhong, Jin; Østergaard, Jacob / Spot Pricing When Lagrange Multipliers Are Not Unique.

In: I E E E Transactions on Power Systems, Vol. 27, No. 1, 2012, p. 314 - 322.

Publication: Research - peer-reviewJournal article – Annual report year: 2012

Bibtex

@article{944c6417d2404f93bfaab6b7f0524ed1,
title = "Spot Pricing When Lagrange Multipliers Are Not Unique",
keywords = "Nodal price, Spot pricing, Duality, Double-sided auction",
publisher = "I E E E",
author = "Donghan Feng and Zhao Xu and Jin Zhong and Jacob Østergaard",
year = "2012",
doi = "0.1109/TPWRS.2011.2159629",
volume = "27",
number = "1",
pages = "314 -- 322",
journal = "I E E E Transactions on Power Systems",
issn = "0885-8950",

}

RIS

TY - JOUR

T1 - Spot Pricing When Lagrange Multipliers Are Not Unique

A1 - Feng,Donghan

A1 - Xu,Zhao

A1 - Zhong,Jin

A1 - Østergaard,Jacob

AU - Feng,Donghan

AU - Xu,Zhao

AU - Zhong,Jin

AU - Østergaard,Jacob

PB - I E E E

PY - 2012

Y1 - 2012

N2 - Classical spot pricing theory is based on multipliers of the primal problem of an optimal market dispatch, i.e., the solution of the dual problem. However, the dual problem of market dispatch may yield multiple solutions. In these circumstances, spot pricing or any standard pricing practice based on multipliers cannot generate a unique clearing price. Although such situations are rare, they can cause significant uncertainties and complexities in market dispatch. In practice, this situation is solved through simple empirical methods, which may cause additional operations or biased allocation. Based on a strict extension of the principles of spot pricing and surplus allocation, we propose a new pricing methodology that can yield unique, impartial, and robust solution. The new method has been analyzed and compared with other pricing approaches in accordance with spot pricing theory. Case studies support the results of the theoretical analysis, and further demonstrate that the method performs effectively in both uniform-pricing and nodalpricing markets.

AB - Classical spot pricing theory is based on multipliers of the primal problem of an optimal market dispatch, i.e., the solution of the dual problem. However, the dual problem of market dispatch may yield multiple solutions. In these circumstances, spot pricing or any standard pricing practice based on multipliers cannot generate a unique clearing price. Although such situations are rare, they can cause significant uncertainties and complexities in market dispatch. In practice, this situation is solved through simple empirical methods, which may cause additional operations or biased allocation. Based on a strict extension of the principles of spot pricing and surplus allocation, we propose a new pricing methodology that can yield unique, impartial, and robust solution. The new method has been analyzed and compared with other pricing approaches in accordance with spot pricing theory. Case studies support the results of the theoretical analysis, and further demonstrate that the method performs effectively in both uniform-pricing and nodalpricing markets.

KW - Nodal price

KW - Spot pricing

KW - Duality

KW - Double-sided auction

U2 - 0.1109/TPWRS.2011.2159629

DO - 0.1109/TPWRS.2011.2159629

JO - I E E E Transactions on Power Systems

JF - I E E E Transactions on Power Systems

SN - 0885-8950

IS - 1

VL - 27

SP - 314

EP - 322

ER -