Convex Hull Pricing

Overview: This workshop covers non-uniform pricing in day-ahead electricity auctions with non-convexities. The course is split into three sections, and covers one full day of lecture material. The course is tailored for specialists in the power industry, such as power exchange operators.

Section 1: Foundations of convex hull pricing

  • Section 1.1: Introduction to convex hull pricing
    • Pricing in non-convex markets
    • Uplifts
    • Convex hull pricing: definition and rationale
  • Section 1.2: Computational aspects
    • The primal approach
    • The dual approach
    • Results on a realistic instance
  • Section 1.3: Additional aspects of convex hull pricing
    • Components of uplift
    • Separating order acceptance from pricing

Section 2: Implementation of convex hull pricing

  • Section 2.1: Market impacts and incentives
    • Exchanges versus pools
    • Gaming in exchanges and pools
    • Incentive effects of convex hull pricing
  • Section 2.2: Financing of uplifts
  • Section 2.3: Practice in the US
    • Midcontinent Independent System Operator (MISO)
    • Pennsylvania – New Jersey – Maryland Interconnection (PJM)