A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

References

• Baldick R, Helman U, Hobbs BF, O’Neill RP (2005) Design of efficient generation markets. Proc. IEEE 93(11):1998–2012.Crossref, Google Scholar
• Birge JR, Louveaux FV (1997) Introduction to Stochastic Programming (Springer, New York).Google Scholar
• Birge J, Hortasu A, Mercadal I, Pavlin M (2013) The role of financial players in electricity markets: An empirical analysis of MISO. Working paper, University of Chicago.Google Scholar
• Bouffard F, Galiana FD, Conejo AJ (2005) Market-clearing with stochastic security–Part I: Formulation. IEEE Trans. Power Systems 20(4):1818–1826.Crossref, Google Scholar
• Bowden N, Hu S, Payne J (2009) Day-ahead premiums on the Midwest ISO. Electricity J. 22(2):64–73.Crossref, Google Scholar
• Carrión M, Arroyo JM (2006) A computationally efficient mixed-integer linear formulation for the thermal unit commitment problem. IEEE Trans. Power Systems 21(3):1371–1378.Crossref, Google Scholar
• Constantinescu EM, Zavala VM, Rocklin M, Lee S, Anitescu M (2011) A computational framework for uncertainty quantification and stochastic optimization in unit commitment with wind power generation. IEEE Trans. Power Systems 26(1):431–441.Crossref, Google Scholar
• Galiana FD, Motto AL, Bouffard F (2003) Reconciling social welfare, agent profits, and consumer payments in electricity pools. IEEE Trans. Power Systems 18(2):452–459.Crossref, Google Scholar
• Gribik PR, Chatterjee D, Navid N, Zhang L (2011) Dealing with uncertainty in dispatching and pricing in power markets. 2011 IEEE Power and Energy Soc. General Meeting (IEEE, Piscataway, NJ), 1–6.Crossref, Google Scholar
• Hobbs BF, Rothkopf MH, O’Neill RP, Chao HP (2001) The Next Generation of Electric Power Unit Commitment Models (Kluwer Academic Publishers, Dordrecht, Netherlands).Crossref, Google Scholar
• Jin S, Botterud A, Ryan SM (2014) Temporal versus stochastic granularity in thermal generation capacity planning with wind power. IEEE Trans. Power Systems 29(5):2033–2041.Crossref, Google Scholar
• Joskow PL, Tirole J (2000) Transmission rights and market power on electric power networks. RAND J. Econom. 31(3):450–487.Crossref, Google Scholar
• Kaye RJ, Outhred HR, Bannister CH (1990) Forward contracts for the operation of an electricity industry under spot pricing. IEEE Trans. Power Systems 5(1):46–52.Crossref, Google Scholar
• Khazaei J, Zakeri G, Oren SS (2013) Market clearing mechanisms under demand uncertainty. Technical report, Electric Power Optimization Centre, University of Auckland.Google Scholar
• Liu C, Shahidehpour M, Fu Y, Li Z (2009) Security-constrained unit commitment with natural gas transmission constraints. IEEE Trans. Power Systems 24(3):1523–1536.Crossref, Google Scholar
• Morales JM, Conejo AJ, Liu K, Zhong J (2012) Pricing electricity in pools with wind producers. IEEE Trans. Power Systems 27(3):1366–1376.Crossref, Google Scholar
• Morales JM, Zugno M, Pineda S, Pinson P (2014) Electricity market clearing with improved scheduling of stochastic production. Eur. J. Oper. Res. 235(3):765–774.Crossref, Google Scholar
• O’Neill RP, Sotkiewicz PM, Hobbs BF, Rothkopf MH, Stewart WR Jr (2005) Efficient market-clearing prices in markets with nonconvexities. Eur. J. Oper. Res. 164(1):269–285.Crossref, Google Scholar
• Ott AL (2003) Experience with PJM market operation, system design, and implementation. IEEE Trans. Power Systems 18(2):528–534.Crossref, Google Scholar
• Papavasiliou A, Oren SS (2013) Multiarea stochastic unit commitment for high wind penetration in a transmission constrained network. Oper. Res. 61(3):578–592.Link, Google Scholar
• Philpott A, Pritchard G (2004) Financial transmission rights in convex pool markets. Oper. Res. Lett. 32(2):109–113.Crossref, Google Scholar
• Pritchard G, Zakeri G, Philpott A (2010) A single-settlement, energy-only electric power market for unpredictable and intermittent participants. Oper. Res. 58(4-Part-2):1210–1219.Link, Google Scholar
• Ruiz PA, Philbrick CR, Sauer PW (2009) Wind power day-ahead uncertainty management through stochastic unit commitment policies. IEEE/PES Power Systems Conf. Exposition, PSCE’09 (IEEE, Piscataway, NJ), 1–9.Crossref, Google Scholar
• Takriti S, Birge JR, Long E (1996) A stochastic model for the unit commitment problem. IEEE Trans. Power Systems 11(3):1497–1508.Crossref, Google Scholar
• Wang J, Shahidehpour M, Li Z (2008) Security-constrained unit commitment with volatile wind power generation. IEEE Trans. Power Systems 23(3):1319–1327.Crossref, Google Scholar
• Wang C, Luh PB, Gribik P, Zhang L, Peng T (2012) A study of commitment cost in approximate extended locational marginal prices. 2012 IEEE Power and Energy Soc. General Meeting (IEEE, Piscataway, NJ), 1–7.Google Scholar
• Wong S, Fuller JD (2007) Pricing energy and reserves using stochastic optimization in an alternative electricity market. IEEE Trans. Power Systems 22(2):631–638.Crossref, Google Scholar
• Zavala VM (2014) Stochastic optimal control model for natural gas networks. Comput. Chemical Engrg. 64:103–113.Crossref, Google Scholar