Pricing uncertainty in stochastic multi-stage electricity markets

Total dispatch cost of the different pricing schemes under increasing forecast error.


This work proposes a pricing mechanism for multistage 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, scenariobased 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.

L. Werner, N. Christianson, A. Zocca, A. Wierman, S.H. Low. (2023) Pricing uncertainty in stochastic multi-stage electricity markets. Accepted at 2023 IEEE CDC conference.
Alessandro Zocca
Alessandro Zocca
Tenured Assistant Professor