2023/09/15 by Dimitris Bertsimas, Bertsimas, Dimitris, Angelos Georgios Koulouras +1
Engineering · #Electric Power System Optimization #Energy Load and Power Forecasting #FOS: Mathematics #Optimization and Control (math.OC) #Smart Grid Energy Management
paper · pdf · doi:10.48550/arxiv.2309.08162
openalex publication_date 2023/09/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and dispatch decisions that adapt to the load and capacity uncertainty. These approaches have been successfully applied in practice but current pricing approaches used by US Independent System Operators (marginal pricing) and proposed in the literature (convex hull pricing) have two major disadvantages: a) they are deterministic in nature, that is they do not adapt to the load and capacity uncertainty, and b) require uplift payments to the generators that are typically determined by ad hoc procedures and create inefficiencies that motivate self-scheduling. In this work, we extend pay-as-bid and uniform pricing mechanisms to propose the first adaptive pricing method in electricity markets that adapts to the load and capacity uncertainty, eliminates post-market uplifts and deters self-scheduling, addressing both disadvantages.