Dear colleagues,
A reminder that the the next ENRE online event will take place this Thursday the 22nd of April starting at 15:00 GMT (be aware that time zone differences may have changed because of differences in summer time adjustments). Please feel free to forward this invitation to anyone who might be interested. For more information and recordings of past seminars, see
https://blogs.ed.ac.uk/enre/ 22 April 2021 15:00-16:30 GMT
Richard O'Neill (ARPA-E): Pricing in Dynamic ISO markets with Unit Commitment
Abstract: We examine the pricing mechanisms in multi-period ISO markets with unit commitment and co-optimized energy and reserves-a non-convex market with scale economies - and present an approach to pricing called average incremental cost (AIC) pricing. The market rules include offer mitigation to incremental costs and that excursions from the dispatch signal are charged at a minimum of the costs of redispatch (aka liquidated damages). A generator offer includes startup and fixed-operating costs per period, and a multi-step marginal-cost function with minimum and maximum operating levels, ramp rate limits and minimum run times. Consumers bid simple step-function demand. The pricing procedure relaxes each binary variable bounded by zero and its optimal value. Cut sets are added to allocate the excess capacity costs from lumpy commitments to prices, but avoid degeneracy. The result is locational incremental prices (LIPs) that are conceptually similar to LMPs in convex markets. No dispatched generators lose money at the LIPs. No make-whole payments or uplift are needed. Incremental generators make zero profits and infra-incremental generators make positive profits Demand pays Ramsey–Boiteux prices. Small examples are presented to illustrate the procedure. The results for actual MISO day-ahead market instances validate the procedure's theoretical properties.
Jacob Mays (Cornell University): Efficient Prices under Uncertainty and Non-Convexity
Abstract: Operators of organized wholesale electricity markets attempt to form prices in such a way that the private incentives of market participants are consistent with a socially optimal commitment and dispatch schedule. In the U.S. context, several competing price formation schemes have been proposed to address the non-convex production cost functions characteristic of most generation technologies. This paper considers how the design and analysis of price formation policies for non-convex markets is affected by the uncertainty inherent in electricity demand and supply. We argue that by excluding uncertainty, the analytical framework underlying existing policies mischaracterizes the incentives of market participants, leading to inefficient price formation and poor incentives for flexibility. We establish favorable theoretical properties of a new construct, ex ante convex hull pricing, demonstrate the difference between this policy and existing methods on an ISO-scale test system, and discuss the implications for price formation in organized wholesale markets.
Link:
https://ed-ac-uk.zoom.us/j/88097951730 (Meeting ID: 880 9795 1730, Passcode: enre1234)
Miguel Anjos
Harry van der Weijde
Lars Schewe
------------------------------
Miguel F. Anjos, Ph.D., P.Eng., FHEA, SMIEEE, FEUROPT, FCAE
President, INFORMS Section on Energy, Natural Resources, and the Environment (ENRE)
Chair of Operational Research, School of Mathematics, University of Edinburgh, U.K.
Inria International Chair
Schöller Senior Fellow 2020
http://www.miguelanjos.com/------------------------------