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Pricing Conditional Value at Risk-Sensitive Economic Dispatch

https://doi.org/10.1109/PESGM46819.2021.9637845

Ndrio, Mariola ; Madavan, Avinash N. ; Bose, Subhonmesh ( January 2021 , 2021 IEEE Power & Energy Society General Meeting (PESGM))

There are growing concerns over the ability of current electricity market designs to adequately model and optimize against the stochastic nature of renewable resources such as wind and solar. In this paper, we consider an economic dispatch problem that explicitly accounts for said uncertainty and enforces network and generation limits using conditional value at risk. Our key contribution is the definition and analysis of risk-sensitive locational marginal prices (risk-LMPs) derived from such a market clearing problem. Risk-LMPs extend conventional LMPs to the uncertain setting. Settlements defined via risk-LMPs compensate resources for both energy and reserve schedules. We study these prices via sample average approximation (SAA) on example power networks to demonstrate their viability for electricity pricing with large-scale integration of renewables.
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