Pricing Uncertainty in Stochastic Multi-Stage Electricity Markets

Lucien Werner, Nicolas Christianson, Alessandro Zocca, Adam Wierman, Steven Low

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Abstract

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.

Original languageEnglish
Title of host publication2023 62nd IEEE Conference on Decision and Control (CDC)
Subtitle of host publication[Proceedings]
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1580-1587
Number of pages8
ISBN (Electronic)9798350301243
ISBN (Print)9798350301250
DOIs
Publication statusPublished - 2024
Event62nd IEEE Conference on Decision and Control, CDC 2023 - Singapore, Singapore
Duration: 13 Dec 202315 Dec 2023

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0743-1546
ISSN (Electronic)2576-2370

Conference

Conference62nd IEEE Conference on Decision and Control, CDC 2023
Country/TerritorySingapore
CitySingapore
Period13/12/2315/12/23

Bibliographical note

Publisher Copyright:
© 2023 IEEE.

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