Market Clearing for Uncertainty, Generation Reserve, and Transmission Reserve-Part I: Theory

A novel market mechanism is proposed to charge the uncertainty and credit the generation reserve in the Day-ahead market within a Robust Security-Constrained Unit Commitment (RSCUC) optimization framework. The increasing penetration of renewable energy in recent years has led to more uncertainties in power systems. These uncertainties have to be accommodated by flexible resources (i.e. upward and downward generation reserves). Without the market clearing tool, the RSCUC can only be applied in the Reliability Assessment Commitment (RAC) process. In this paper, Locational Marginal Price (LMP) and Uncertainty Marginal Prices (UMPs) in upward and downward directions are derived in robust optimization framework. Both uncertainties and generation reserves are priced at UMPs, which leads to partial market equilibrium. With the help of UMP, the cost of generation reserves for uncertainty accommodation can be clearly allocated to uncertainty sources. We prove that transmission reserves for ramping delivery may lead to Financial Transmission Right (FTR) underfunding issue within the existing market structure. The FTR underfunding issue can be resolved by introducing transmission reserve credits based on UMPs. Simulations on a Six-bus system and IEEE 118-bus system are performed to illustrate the new concepts and the market mechanism. Index Terms Uncertainties, Marginal Price, Robust SCUC, Financial Transmission Right, Generation Reserve, Transmission Reserve NOMENCLATURE Indices i, l, t indices for generators, lines, and time intervals m,n index for buses mi index of bus where unit i is located k index of the worst point for uncertainty Functions and sets ˆ symbol for the optimal value of a variable This work is supported by the U.S. National Science Foundation Grant ECCS-1549937. The authors are with the Galvin Center for Electricity Innovation at Illinois Institute of Technology, Chicago, IL 60616, USA. (e-mail: [email protected]; [email protected]; [email protected]; [email protected]). ar X iv :1 50 7. 01 54 0v 2 [ m at h. O C ] 2 8 N ov 2 01 5