Non-convexity Pricing and Allocating Costs in Stochastic Electricity Markets

Stochastic electricity markets have drawn attention due to fast increase of renewable penetrations.This results in two issues:one is to reduce uplift payments arising from non-convexity under renewable uncertainties,and the other one is to allocate reserve costs based on renewable uncertainties.To resolve the first issue,a convex hull pricing method for stochastic electricity markets is proposed.The dual variables of system-wide constraints in a chance-constrained unit commitment model are shown to reduce expected uplift payments,together with developing a linear program to efficiently calculate such prices.To resolve the second issue,an allocation method is proposed to allocate reserve costs to each renewable power plant by explicitly investigating how renewable uncertainties of each renewable power plant affect reserve costs.The proposed methods are validated in a 24-period 3-unit test example and a 24-period 48-unit utility example.