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Pricing Under Uncertainty in Multi-Interval Real-Time Markets

Author

Listed:
  • Cho, Jehum

    (Université catholique de Louvain, LIDAM/CORE, Belgium)

  • Papavasiliou, Anthony

    (Université catholique de Louvain, LIDAM/CORE, Belgium)

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.

Suggested Citation

  • Cho, Jehum & Papavasiliou, Anthony, 2023. "Pricing Under Uncertainty in Multi-Interval Real-Time Markets," LIDAM Reprints CORE 3243, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:3243
    DOI: https://doi.org/10.1287/opre.2022.2314
    Note: In: Operations Research, 2022
    as

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