Pricing uncertainty in stochastic multi-stage electricity markets
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