2022/11/29 by Jehum Cho, Anthony Papavasiliou · 12 citations
Decision Sciences · Economics, Econometrics and Finance · Engineering · Mathematics · #Computer science #Econometrics #Economics #Electric Power System Optimization #Electricity #Interval (graph theory) #Mathematical optimization #Mathematics #Risk and Portfolio Optimization #Stochastic processes and financial applications #Stochastic programming #Stochastic volatility #Volatility (finance)
paper · open access · doi:10.1287/opre.2022.2314
published in Operations Research 71(6), 1928-1942 (Institute for Operations Research and the Management Sciences)
openalex publication_date 2022/11/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/25
A Novel Practical Stochastic Pricing Model for Multi-Interval Real-Time Markets Practical implementations of economic dispatch with associated pricing systems are crucial for operating electricity markets. Because of the high volatility caused by the increasing integration of renewable energy, consideration of the underlying stochastic problem is becoming more important than ever. It is a challenge to incorporate the uncertain nature of real-time operations into an already complex multi-interval dynamic problem with intertemporal constraints. Because solving a standard multi-stage stochastic programming problem is too burdensome in terms of calculation time for real-time markets, it has been standard practice in electricity markets to use a deterministic approximation with varying degrees of look-ahead. Cho and Papavasiliou, in their article “Pricing Under Uncertainty in Multi-Interval Real-Time Markets”, introduced a practical alternative method for pricing under uncertainty in multi-interval real-time markets. Using slightly different stochastic formulations, these authors propose an approach that preserves the attractive features from both the deterministic formulation (simpler calculation) and the standard stochastic formulation (better performance).