A light robust optimization approach for uncertainty-based day-ahead electricity markets

The traditional deterministic day-ahead (DA) market clearing does not accommodate the uncertainty from variable renewable energy sources, resulting in an increasing activation of expensive reserves and curtailment events. Robust optimization (RO) has been proposed to mitigate this uncertainty. However, as RO considers worst-case scenarios, it results highly conservative solutions. This paper proposes a light robust (LR) DA mechanism address these shortcomings, controlling trade-off between robustness economic efficiency. integrates renewables its formulation allows derivation coherent prices. optimal bidding strategy stochastic participants is mathematically derived, while considering expectation on system imbalance. A comparison with proves that producers can economically benefit mechanism, encouraging their participation. derived analytical are corroborated by numerical case study based IEEE 24-node test system. • bids proposed. operator choose level dispatch. Coherent prices be clearing. Optimal strategies derived. Stochastic mechanism.