A Stochastic Programming Model for a Day-Ahead Electricity Market With Real-Time Reserve Shortage Pricing
- 22 December 2009
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Power Systems
- Vol. 25 (2), 703-713
- https://doi.org/10.1109/tpwrs.2009.2036264
Abstract
We present a multi-period stochastic mixed integer programming model for power generation scheduling in a day-ahead electricity market. The model considers various scenarios and integrates the idea of reserve shortage pricing in real time. Instead of including all the possible scenarios, we parsimoniously select a certain number of scenarios to limit the size of the model. As realistic size models are still intractable for exact methods, we propose a heuristic solution methodology based on scenario-rolling that is capable of finding good quality feasible solutions within reasonable computation time.Keywords
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