Pricing Uncertainty in Stochastic Multi-Stage Electricity Markets

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

Abstract: <p>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.</p>

External IDs:doi:10.1109/cdc49753.2023.10384022