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Do We Need to Implement Multi-Interval Real-Time Markets?

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  • Darryl R. Biggar
  • Mohammad Reza Hesamzadeh

Abstract

Many market-based power systems have implemented a form of ‘look-ahead dispatch’ which simultaneously solves for the optimal dispatch and prices over several intervals into the future. A few papers have pointed out that the dispatch outcomes which emerge from look-ahead dispatch may not be time consistent. We emphasise that this time inconsistency is not inherent in look-ahead dispatch but is a consequence of the assumption of linear cost and utility functions, which is arguably a special case. Various augmentations to the dispatch process to resolve the time inconsistency problem have been proposed, but these augmentations suffer from the drawback that they do not allow the power system to efficiently adjust to new information. We query whether it is necessary to implement multi-interval real-time markets. We show how under certain assumptions, a sequence of one-shot dispatch processes will achieve the efficient outcome.

Suggested Citation

  • Darryl R. Biggar & Mohammad Reza Hesamzadeh, 2022. "Do We Need to Implement Multi-Interval Real-Time Markets?," The Energy Journal, , vol. 43(2), pages 111-131, March.
    • Handle: RePEc:sae:enejou:v:43:y:2022:i:2:p:111-131
    DOI: 10.5547/01956574.43.2.dbig
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    References listed on IDEAS

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    1. Moarefdoost, M. Mohsen & Lamadrid, Alberto J. & Zuluaga, Luis F., 2016. "A robust model for the ramp-constrained economic dispatch problem with uncertain renewable energy," Energy Economics, Elsevier, vol. 56(C), pages 310-325.
    2. Daraeepour, Ali & Patino-Echeverri, Dalia & Conejo, Antonio J., 2019. "Economic and environmental implications of different approaches to hedge against wind production uncertainty in two-settlement electricity markets: A PJM case study," Energy Economics, Elsevier, vol. 80(C), pages 336-354.
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    Cited by:

    1. Mays, Jacob, 2024. "Sequential pricing of electricity," Energy Economics, Elsevier, vol. 137(C).

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