This work proposes a pricing mechanism for multi-stage electricity markets that does not explicitly depend on the choice of dispatch procedure or optimization method. Our approach is applicable to a wide range of methodologies for the economic dispatch of power systems under uncertainty, including multi-interval dispatch, multi-settlement markets, scenario-based dispatch, and chance-constrained dispatch policies. We prove that our pricing scheme provides both ex-ante and expost dispatch-following incentives by simultaneously supporting per-stage and ex-post competitive equilibria. In numerical experiments on a ramp-constrained test system, we demonstrate the benefits of scheduling under uncertainty and show how our price decomposes into components corresponding to energy, intertemporal coupling, and uncertainty.
62nd IEEE Conference on Decision and Control, CDC 2023

Werner, L., Christianson, N., Zocca, A., Wierman, A., & Low, S. (2023). Pricing uncertainty in stochastic multi-stage electricity markets. In IEEE Conference on Decision and Control (pp. 1580–1587). doi:10.1109/CDC49753.2023.10384022