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Clearing the Day-Ahead Market with a High Penetration of Stochastic Production

In: Integrating Renewables in Electricity Markets

Author

Listed:
  • Juan M. Morales

    (Technical University of Denmark)

  • Antonio J. Conejo

    (University of Castilla – La Mancha)

  • Henrik Madsen

    (Technical University of Denmark)

  • Pierre Pinson

    (Technical University of Denmark)

  • Marco Zugno

    (Technical University of Denmark)

Abstract

This chapter motivates, develops, and explains a market-clearing algorithm for the day-ahead market, intended for electric energy markets with a significant number of stochastic producers. To adequately mimic the real-world decision-making process, a two-stage stochastic programming model with recourse is presented. Market outcomes include both production and consumption quantities, and energy-only clearing prices. These prices embody desirable properties such as revenue adequacy in expectation and cost recovery, also in expectation. Complementarily, and as alternative to the two-stage stochastic programming approach, this chapter also introduces a dispatch method for energy and reserve that copes with uncertain generation using adaptive robust optimization. A number of clarifying examples illustrate the theoretical interest and practical relevance of the proposed market-clearing algorithms.

Suggested Citation

  • Juan M. Morales & Antonio J. Conejo & Henrik Madsen & Pierre Pinson & Marco Zugno, 2014. "Clearing the Day-Ahead Market with a High Penetration of Stochastic Production," International Series in Operations Research & Management Science, in: Integrating Renewables in Electricity Markets, edition 127, chapter 3, pages 57-100, Springer.
    • Handle: RePEc:spr:isochp:978-1-4614-9411-9_3
    DOI: 10.1007/978-1-4614-9411-9_3
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    Cited by:

    1. Abate, Arega Getaneh & Riccardi, Rossana & Ruiz, Carlos, 2022. "Contract design in electricity markets with high penetration of renewables: A two-stage approach," Omega, Elsevier, vol. 111(C).
    2. Arega Getaneh Abate & Rossana Riccardi & Carlos Ruiz, 2022. "Contract design in electricity markets with high penetration of renewables: A two-stage approach," Papers 2201.09927, arXiv.org, revised Jun 2022.

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