The coordinated operation of interconnected but locally controlled electricity markets is generally referred to as a "coupling". In this paper we propose a new mechanism design for efficient coupling of independent electricity markets. The mechanism operates after each individual market has settled (e.g. hour-ahead) and based upon the reported supply and demand functions for internal market optimization (clearing), each market operator is asked to iteratively quote the terms of energy trade (on behalf of the agents participating in its market) across the transmission lines connecting to other markets. The mechanism is scalable as the informational demands placed on each market operator at each iteration are limited. We show that the mechanism's outcome converges to the optimal flows between markets given the reported supply and demand functions from each individual market clearing. We show the proposed market coupling design does not alter the structure of incentives in each internal market, i.e., any internal market equilibrium will remain so (approximately) after coupling is implemented. This is achieved via incentive transfers (updated at each iteration) that remunerate each market with its marginal contribution (i.e. cost savings) to all other participating markets. We identify a sufficient condition on a uniform participation fee for each market operator ensuring the mechanism incurs no deficit. The proposed decentralized mechanism is implemented on the three-area IEEE Reliability Test System where the simulation results showcase the efficiency of proposed model.
It has been observed that the expected aggregated supply curves of the colombian electricity market present q-exponential behavior. The purpose of this article is to present evidence supporting the fact that q-exponentiality is already present in the expected aggregated supply curve of certain extremely simple idealized deregulated electricity markets where illegal interaction among competing firms is precluded.
The wide adoption of gas fired units and power-to-gas technology brings remarkable interdependency between natural gas and electricity infrastructures. This paper studies the equilibria of coupled gas and electricity energy markets driven by the strategic bidding behavior: each producer endeavours to maximizes its own profit subjecting to the market clearing outcome. The market equilibria is formulated as an equilibrium problem with equilibrium constraints (EPEC). A special diagonalization algorithm (DA) is devised, in which the unilateral equilibria of the gas or electricity market is found i…
The Russian wholesale electricity market started to operate in its present form since 2006. Its unique specificity is the AC-based economic dispatch model underlying the market applications. Solution method for the day-ahead and balancing market applications was developed and implemented. Now it is employed by the commercial operator and the system operator of the Russian energy system. It is proved to be an adequate and reliable scheduling market technology
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed form characterization of a risk-averse generator's optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.
We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the probability distribution of this uncertainty is not identical at the day-ahead stage. We show a high sensitivity of the equilibrium solution to the level of information asymmetry and demonstrate economic, operational, and computational value for the system stemming from potential information sharing.
The rising share of volatile renewable generation increases the demand for flexibility in the electricity grid. Flexible capacity can be offered by industrial energy systems through participation on either the continuous intraday, day-ahead, or balancing-power markets. Thus, industrial energy systems face the problem of where to market their flexible capacity. Here, we propose a method to integrate trading on the continuous intraday market into a multi-market optimization for flexible industrial energy systems. To estimate the intraday market revenues, we employ option-price theory. Subsequent…
The concept of Energy Hub (EH) has been emerged to accommodate renewable energy sources in a multi-energy system to deploy the synergies between electricity and other energy sources. However, the market mechanisms for the integration of the EHs into the energy markets are not sufficiently elaborated. This paper proposes a flow-based two-level distributed trading mechanism in the regional electricity market with EH. At the lower level, the regional system operator coordinates the regional grids transactions in two markets, the local energy market with EH and the wholesale market of the upstream…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve sustainable energy goals. As a remedy, in this paper, we propose an insurance market that complements any wholesale market design. Our mechanism can be run by any suitable financial entity such as an independent system operator, with the aim of reducing the financial impacts of volatile prices. We provide theoretical guarantees, analytically characterize the outcome…
In electricity markets with a dual-pricing scheme for balancing energy, controllable production units typically participate in the balancing market as "active" actors by offering regulating energy to the system, while renewable stochastic units are treated as "passive" participants that create imbalances and are subject to less competitive prices. Against this background, we propose an innovative market framework whereby the participant in the balancing market is allowed to act as an active agent (i.e., a provider of regulating energy) in some trading intervals and as a passive agent (i.e., a …
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable closed-loop system. This may cause oscillating power consumption profiles and high volatile energy price. This paper proposes an electricity market model which explicitly considers the heterogeneous dynamic asset models. We show that the market dynamics can be modeled by a discrete nonlinear system, and then derive analytical conditions to guarantee the stabili…
A real-time optimal dispatch method for unbundle electricity markets is proposed in this paper. With this method, pool energy auction market, ancillary services market, and bilateral contract market can be coordinated by the ISO through a balancing market for the purpose of system security. To meet real-time imbalance and to eliminate transmission congestion, operating reserves, curtailment of bilateral contracts, and supplemental energy bids in the real-time balancing market (REM), can all be called upon in light of their bidding prices. The replacement of the operating reserves used to provi…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy production but use private information about the forecast error distribution. This information is given in the form of samples and incorporated into profit-maximizing optimizations of market participants through chance constraints. We model information asymmetry by varying the sample size of participants' private information. We show that with more information…
Plug-in electric vehicles (PEVs) can significantly increase the elasticity of residential electricity demand. This elasticity can be employed to shape the daily aggregated electricity demand profile of a system comprised of a large number of residential PEVs' users sharing one electricity retailer or an aggregator. In this paper, we propose a joint demand shaping and altering algorithm for managing vehicle-to-grid (V2G) enabled PEVs' electricity assignments (charging and discharging) in order to diminish the overall electricity procurement costs for a retailer bidding to two-settlement electri…
Recent studies show that the fast growing expansion of wind power generation may lead to extremely high levels of price volatility in wholesale electricity markets. Storage technologies, regardless of their specific forms e.g. pump-storage hydro, large-scale or distributed batteries, are capable of alleviating the extreme price volatility levels due to their energy usage time shifting, fast-ramping and price arbitrage capabilities. In this paper, we propose a stochastic bi-level optimization model to find the optimal nodal storage capacities required to achieve a certain price volatility level…
Strategic Pricing in Electricity Markets with Pollution Constraints
Univ. Lille, Inria, CNRS, Centrale Lille（里尔大学、法国国家信息与自动化研究所、法国国家科学研究中心、里尔中央理工学院）；Depto de Ingeniería Matemática and CMM, Universidad de Chile（智利大学数学工程系和CMM）
This paper provides insight on the economic inefficiency of the classical merit-order dispatch in electricity markets with uncertain supply. For this, we consider a power system whose operation is driven by a two-stage electricity market, with a forward and a real-time market. We analyze two different clearing mechanisms: a conventional one, whereby the forward and the balancing markets are independently cleared following a merit order, and a stochastic one, whereby both market stages are co-optimized with a view to minimizing the expected aggregate system operating cost. We first derive analy…
We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable producers choose the optimal moment to build new renewable plants, and the conventional producers choose the optimal moment to exit the market. The agents interact through the market price, determined by matching the aggregate supply of the two types of producers with an exogenous demand function. Using a relaxed formulation of optimal stopping mean-field games, w…
Market power behaviour often occurs in modern wholesale electricity markets. Mixed Complementarity Problems (MCPs) have been typically used for computational modelling of market power when it is characterised by an oligopoly with competitive fringe. However, such models can lead to myopic and contradictory behaviour. Previous works in the literature have suggested using conjectural variations to overcome this modelling issue. We first show however, that an oligopoly with competitive fringe where all firms have investment decisions, will also lead to myopic and contradictory behaviour when mode…
When participating in electricity markets, owners of battery energy storage systems must bid in such a way that their revenues will at least cover their true cost of operation. Since cycle aging of battery cells represents a substantial part of this operating cost, the cost of battery degradation must be factored in these bids. However, existing models of battery degradation either do not fit market clearing software or do not reflect the actual battery aging mechanism. In this paper we model battery cycle aging using a piecewise linear cost function, an approach that provides a close approxim…
Two-stage electricity market clearing is designed to maintain market efficiency under ideal conditions, e.g., perfect forecast and nonstrategic generation. This work demonstrates that the individual strategic behavior of inelastic load participants in a two-stage settlement electricity market can deteriorate efficiency. Our analysis further implies that virtual bidding can play a role in alleviating this loss of efficiency by mitigating the market power of strategic load participants. We use real-world market data from New York ISO to validate our theory.
Recently, chance-constrained stochastic electricity market designs have been proposed to address the shortcomings of scenario-based stochastic market designs. In particular, the use of chance-constrained market-clearing avoids trading off in-expectation and per-scenario characteristics and yields unique energy and reserves prices. However, current formulations rely on symmetric control policies based on the aggregated system imbalance, which restricts balancing reserve providers in their energy and reserve commitments. This paper extends existing chance-constrained market-clearing formulations…
Existing electricity market designs assume risk neutrality and lack risk-hedging instruments, which leads to suboptimal market outcomes and reduces the overall market efficiency. This paper enables risk-trading in the chance-constrained stochastic electricity market by introducing Arrow-Debreu Securities (ADS) and derives a risk-averse market-clearing model with risk trading. To enable risk trading, the probability space of underlying uncertainty is discretized in a finite number of outcomes, which makes it possible to design practical risk contracts and to produce energy, balancing reserve an…
With the further development of deregulated electricity market in many other countries around the world, a lot of challenges have been identified for market data management, network topology processing and fast market-clearance mechanism design. In this paper, a graph computing framework based on TigerGraph database is proposed to solve a security constrained unit commitment (SCUC) and security constrained economic dispatch (SCED) problem, with parallelized graph power flow (PGPF) and innovative LU decomposition techniques, for electricity market-clearance. It also provides a comprehensive vis…
University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）；Virginia Tech（弗吉尼亚理工学院暨州立大学）；South China University of Technology（华南理工大学）
In this letter, we address the problem of controlling energy storage systems (ESSs) for arbitrage in real-time electricity markets under price uncertainty. We first formulate this problem as a Markov decision process, and then develop a deep reinforcement learning based algorithm to learn a stochastic control policy that maps a set of available information processed by a recurrent neural network to ESSs' charging/discharging actions. Finally, we verify the effectiveness of our algorithm using real-time electricity prices from PJM.
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery period. A quick overview of market data shows a basis risk for this market incompleteness. For that purpose we formulate the pricing problem in a stochastic target form along the lines of Bouchard and al. (2008), with a moment loss function. Following the same techniques as in the latter, we avoid to demonstrate the uniqueness of the value function by compar…
Due to its theoretical virtues, several recent works propose the use of the incentive-compatible Vickrey-Clarke-Groves (VCG) mechanism for electricity markets. Coalitions of participants, however, can influence the VCG outcome to obtain higher collective profit. To address this issue, we propose core-selecting mechanisms for their coalition-proofness. We show that core-selecting mechanisms generalize the economic rationale of the locational marginal pricing (LMP) mechanism. Namely, these mechanisms are the exact class of mechanisms that ensure the existence of a competitive equilibrium in line…
Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and regulate, raising concerns about potential market manipulation by aggregators. In this paper, we study this issue by quantifying the profit an aggregator can obtain through strategic curtailment of generation in an electricity market. We show that, while the problem of maximizing the benefit from curtailment is hard in general, efficient algorithms exist when t…
We propose a new forward electricity market framework that admits heterogeneous market participants with second-order cone strategy sets, who accurately express the nonlinearities in their costs and constraints through conic bids, and a network operator facing conic operational constraints. In contrast to the prevalent linear-programming-based electricity markets, we highlight how the inclusion of second-order cone constraints improves uncertainty-, asset- and network-awareness of the market, which is key to the successful transition towards an electricity system based on weather-dependent ren…
Solving the optimal power flow (OPF) problem in real-time electricity market improves the efficiency and reliability in the integration of low-carbon energy resources into the power grids. To address the scalability and adaptivity issues of existing end-to-end OPF learning solutions, we propose a new graph neural network (GNN) framework for predicting the electricity market prices from solving OPFs. The proposed GNN-for-OPF framework innovatively exploits the locality property of prices and introduces physics-aware regularization, while attaining reduced model complexity and fast adaptivity to…
Market power exercise in the electricity markets distorts market prices and diminishes social welfare. Many markets have implemented market power mitigation processes to eliminate the impact of such behavior. The design of mitigation mechanisms has a direct influence on investors' profitability and thus mid-/long-term resource adequacy. In order to evaluate the effectiveness of the existing market power mitigation mechanisms, this paper proposes a mitigation-aware strategic bidding model and studies the bidding strategies of the market participants under current practice. The proposed bidding …
Ambitious renewable portfolio standards motivate the incorporation of energy storage resources (ESR) as sources of flexibility. While the United States government aims to promote ESR participation in electricity markets, work on market designs for properly remunerating ESRs is still lacking. In this paper, we propose a new energy market clearing framework that incorporates ESR systems. The new market design is computationally attractive in that it avoids mixed-integer formulations and formulations with complementarity constraints. Moreover, compared to previous market designs, our market decom…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected terminal utility of his wealth. We assume a mean-reverting additive process to drive the power prices. In the case of logarithmic utility, we reduce the fully non-linear Hamilton-Jacobi-Bellman equation to a linear parabolic integro-differential equation, for which we explicitly exhibit a classical solution in two cases of modelling interest. The optimal strategy …
This paper presents a framework to solve the strategic bidding problem of participants in an electricity market cleared by employing the full AC Optimal Power Flow (ACOPF) problem formulation. Traditionally, the independent system operators (ISOs) leveraged DC Optimal Power Flow (DCOPF) problem formulation to settle the electricity market. The main quest of this work is to find what would be the challenges and opportunities if ISOs leverage the full ACOPF as the market-clearing Problem (MCP)? This paper presents tractable mathematical programming with equilibrium constraints for the convexifie…
The electricity market, which was initially designed for dispatchable power plants and inflexible demand, is being increasingly challenged by new trends, such as the high penetration of intermittent renewables and the transformation of the consumers energy space. To accommodate these new trends and improve the performance of the market, several modifications to current market designs have been proposed in the literature. Given the vast variety of these proposals, this paper provides a comprehensive investigation of the modifications proposed in the literature as well as a detailed assessment o…
Over the last few decades, electricity markets around the world have adopted multi-settlement structures, allowing for balancing of supply and demand as more accurate forecast information becomes available. Given increasing uncertainty due to adoption of renewables, more recent market design work has focused on optimization of expectation of some quantity, e.g. social welfare. However, social planners and policy makers are often risk averse, so that such risk neutral formulations do not adequately reflect prevailing attitudes towards risk, nor explain the decisions that follow. Hence we incorp…
In this paper, we propose a two-stage electricity market framework to explore the participation of distributed energy resources (DERs) in a day-ahead (DA) market and a real-time (RT) market. The objective is to determine the optimal bidding strategies of the aggregated DERs in the DA market and generate online incentive signals for DER-owners to optimize the social welfare taking into account network operational constraints. Distributionally robust optimization is used to explicitly incorporate data-based statistical information of renewable forecasts into the supply/demand decisions in the DA…
