Risk-limiting, market-based power dispatch and pricing

Masaki Yo, Masahiro Ono, Brian C. Williams, Shuichi Adachi

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Citations (Scopus)

Abstract

The purpose of this work is to enable risk-limiting electricity dispatch through a market mechanism. There has been a solid body of work on centralized risk-limiting dispatch, which guarantees that the risk of energy shortage is within a user-specified bound. The current trading mechanism of a day-ahead electricity market can be viewed as a market that deals with the expectation (i.e., the first moment) of future supply and load. We show in this paper that distributed and risk-limiting dispatch is enabled by also trading the standard deviation (i.e., the second moment). In the proposed mechanism, a dispatchable power provider, such as spinning reserve and battery, can 'sell' the standard deviation in a market by contributing to absorbing the uncertainty of energy demand and supply. The market-clearing prices of the mean and the standard deviation of electricity are found through the Walrasian auction. This approach allows each power provider to specify the probability density function (pdf) of the amount of energy that it has to generate in the future. As a result, a power provider can quantitatively limit the risk of power shortage by imposing chance constraints in a decentralized manner. The decentralized risk-limiting dispatch and pricing problem are solved at each time step with a receding time horizon. We demonstrate the capabilities of the proposed approach by simulations using real data.

Original languageEnglish
Title of host publication2013 European Control Conference, ECC 2013
Pages3038-3045
Number of pages8
Publication statusPublished - 2013 Dec 1
Event2013 12th European Control Conference, ECC 2013 - Zurich, Switzerland
Duration: 2013 Jul 172013 Jul 19

Publication series

Name2013 European Control Conference, ECC 2013

Other

Other2013 12th European Control Conference, ECC 2013
CountrySwitzerland
CityZurich
Period13/7/1713/7/19

ASJC Scopus subject areas

  • Control and Systems Engineering

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  • Cite this

    Yo, M., Ono, M., Williams, B. C., & Adachi, S. (2013). Risk-limiting, market-based power dispatch and pricing. In 2013 European Control Conference, ECC 2013 (pp. 3038-3045). [6669504] (2013 European Control Conference, ECC 2013).