  The presence of non-convexities in electricity markets has been an active
research area for about two decades. The - inevitable under current marginal
cost pricing - problem of guaranteeing that no truthful-bidding market
participant incurs losses in the day-ahead (DA) market is addressed in current
practice through make-whole payments a.k.a. uplift. Alternative pricing rules
have been studied to deal with this problem. Among them, Convex Hull (CH)
prices associated with minimum uplift have attracted significant attention.
Several US Independent System Operators (ISOs) have considered CH prices but
resorted to approximations, mainly because determining exact CH prices is
computationally challenging, while providing little intuition about the price
formation rational. In this paper, we describe CH price estimation problem by
relying on Dantzig-Wolfe decomposition and Column Generation. Moreover, the
approach provides intuition on the underlying price formation rational. A test
bed of stylized examples elucidate an exposition of the intuition in the CH
price formation. In addition, a realistic ISO dataset is used to suggest
scalability and validate the proof-of-concept.
