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Multi-interval rolling-window joint dispatch and pricing of energy and reserve under uncertainty

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  • Shi, Jiantao
  • Guo, Ye
  • Shen, Xinwei
  • Wu, Wenchuan
  • Sun, Hongbin

Abstract

In this paper, the intra-day multi-interval rolling-window joint dispatch and pricing of energy and reserve is studied under increasing volatile and uncertain renewable generations. A look-ahead energy-reserve co-optimization model is proposed for the rolling-window dispatch, where possible contingencies and load/renewable forecast errors over the look-ahead window are modeled as several scenario trajectories, while generation, especially its ramp, is jointly scheduled with reserve to minimize the expected system cost considering these scenarios. Based on the proposed model, marginal prices of energy and reserve are derived, which incorporate shadow prices of generators’ individual ramping capability limits to eliminate their possible ramping-induced opportunity costs or arbitrages. We prove that under mild conditions, the proposed market design provides dispatch-following incentives to generators without the need for out-of-the-market uplifts, and truthful-bidding incentives of price-taking generators can be guaranteed as well. Some discussions are also made on how to fit the proposed framework into current market practice. These findings are validated in numerical simulations.

Suggested Citation

  • Shi, Jiantao & Guo, Ye & Shen, Xinwei & Wu, Wenchuan & Sun, Hongbin, 2024. "Multi-interval rolling-window joint dispatch and pricing of energy and reserve under uncertainty," Applied Energy, Elsevier, vol. 356(C).
    • Handle: RePEc:eee:appene:v:356:y:2024:i:c:s0306261923017993
    DOI: 10.1016/j.apenergy.2023.122435
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    References listed on IDEAS

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