Pricing Under Uncertainty in Multi-Interval Real-Time Markets

Jehum Cho () and Anthony Papavasiliou ()
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Jehum Cho: Université catholique de Louvain, LIDAM/CORE, Belgium
Anthony Papavasiliou: Université catholique de Louvain, LIDAM/CORE, Belgium

No 3243, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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.

Keywords: Multi-interval real-time markets; pricing under uncertainty; stochastic gradient descent (search for similar items in EconPapers)
Pages: 15
Date: 2023-07-01
Note: In: Operations Research, 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvrp:3243

DOI: 10.1287/opre.2022.2314

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