A Linear and Scalable Cutting-Plane Algorithm for Electricity Pricing

2025/04/11 by Romero, Matías, Felipe Verástegui, Verástegui, Felipe +2
Engineering · #Scheduling and Optimization Algorithms

paper · pdf · doi:10.48550/arxiv.2504.09008

Abstract

We propose a linear cutting-plane pricing algorithm tailored for large-scale electricity markets, addressing nonconvexities arising from the Alternating Current Optimal Power Flow equations. We benchmark our algorithm against a Direct Current (DC) approximation and the Jabr Second-Order Cone (SOC) relaxation under both the Integer Programming and Convex Hull pricing rules. We provide numerical results for a small (617-bus) and three large (≥ 15,000-bus) networks. Our algorithm yields price signals very close to the Jabr SOC, with computation times comparable to DC once we allow for warm-starts, including scenarios with line contingencies.

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