Pricing in Multi-Interval Real-Time Markets

Pricing flexibility of shiftable demand in electricity markets

“…We also ignore ramping constraints (i.e., intertemporal inequality constraints) for both loads and generators. As previously mentioned, these have been studied extensively on the generation side of market in [26,29,31,48] among others. Finally, we consider a "single-shot" market-clearing procedure where dispatch quantities and prices are determined at the beginning of the dispatch horizon and adhered to through the remainder of it.…”

“…First, we establish a market and utility model for analyzing shiftable demand. Ours is a variant of the multi-interval market, extensively studied with ramping inequality constraints [26,29,31,48] where equality constraints are added to couple the demand consumption in all periods. Our framework for load utility is derived from the load utility model implied by the standard economic dispatch formulation.…”

“…Multi-interval markets are of growing interest as a way to guarantee reliable electricity dispatch in the face of uncertain generation. Several substantial works have explored multi-interval market design including [26,29,31,48]. The intertemporal constraints in all of these are limited to ramping limits, which only couple adjacent time periods.…”

Research Priorities and Opportunities in United States Wholesale Electricity Markets

“…While the former design achieves higher efficiency, it may lack proper incentives during ramping periods. Hua et al (2019) demonstrate the incentive shortcomings of current ISO implementations of multi-interval RT market design formulated as look-ahead dispatch models and present two methods to mitigate the issues. Much of the research done to examine incentives focuses on current trends, where the majority of demand does not actively participate in markets.…”

“…While the former design achieves higher efficiency, it may lack proper incentive during ramping periods, and the authors thus propose using dual variables capturing the opportunity costs of ramping as separate prices without the need to use multi-interval settlement. Hua et al (2019) demonstrate the incentive shortcomings of current ISO implementations of multi-interval RT market design formulated as look-ahead dispatch 5.8 models and present two methods to mitigate the issues using multi-interval pricing and dualizing systemwide constraints and intertemporal constraints.…”