Pricing Under Uncertainty in Multi-Interval Real-Time Markets
(2023) Operations research — Vol. 71, n° 6, p. 1928-1942 (2023)
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- Authors
Papavasiliou, Anthony 
- Abstract
- Recent research has demonstrated that real-time auctions can generate the need for side payments, even if the market clearing models are convex, because of the rolling nature of real-time market clearing. This observation has inspired proposals for modifying the real-time market-clearing model in order to account for binding past decisions. We extend this analysis in order to account for uncertainty by proposing a real-time market- clearing model with look-ahead and an endogenous representation of uncertainty. We define two different types of expected lost opportunity cost as performance metrics. Our market-clearing model provides the price signal minimizing one of these metrics using the Stochastic Gradient Descent algorithm. We present results from a case study of the ISO New England system under a scenario of significant renewable energy penetration while accounting for ramp rates, storage, and transmission constraints.
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Citations
Cho, J., & Papavasiliou, A. (2023). Pricing Under Uncertainty in Multi-Interval Real-Time Markets. Operations research, 71(6), 1928-1942. https://doi.org/10.1287/opre.2022.2314 (Original work published 2023)