Pricing Real-time Stochastic Storage Operations

Cong Chen; Lang Tong

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arXiv · 2204.08140

Pricing Real-time Stochastic Storage Operations

Cong Chen·Lang Tong

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Abstract

Pricing storage operation in the real-time market under demand and generation stochasticities is considered. A scenario-based stochastic rolling-window dispatch model is formulated for the real-time market, consisting of conventional generators, utility-scale storage, and distributed energy resource aggregators. We show that uniform pricing mechanisms require discriminative out-of-the-market uplifts, making settlements under locational marginal pricing (LMP) discriminative. It is shown that the temporal locational marginal pricing (TLMP) that adds nonuniform shadow prices of ramping and state-of-charge to LMP removes the need for out-of-the-market uplifts. Truthful bidding incentives are also established for price-taking participants under TLMP. Revenue adequacy and uplifts are evaluated in numerical simulations.

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Cong Chen, Lang Tong. 2022-04-18. Pricing Real-time Stochastic Storage Operations. https://arxiv.org/abs/2204.08140

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