On the Dynamic Stability of Electricity Markets

In this work, we present new insights into the dynamic stability of electricity markets. We discuss how short forecast horizons, limited coordination, and physical ramping constraints can give rise to high price volatility. Using concepts of market efficiency, Lyapunov stability, and predictive control, we construct a framework to design and evaluate stabilizing market clearing procedures. A numerical case study is used to illustrate the developments.

[1]  Achla Marathe,et al.  ASSESSING THE EFFICIENCY OF US ELECTRICITY MARKETS , 2001 .

[2]  J. Frédéric Bonnans,et al.  Second-order Sufficiency and Quadratic Growth for Nonisolated Minima , 1995, Math. Oper. Res..

[3]  Fernando L. Alvarado,et al.  Understanding price volatility in electricity markets , 2000, Proceedings of the 33rd Annual Hawaii International Conference on System Sciences.

[4]  G.B. Shrestha,et al.  Congestion-driven transmission expansion in competitive power markets , 2004, IEEE Transactions on Power Systems.

[5]  Moritz Diehl,et al.  A Lyapunov Function for Economic Optimizing Model Predictive Control , 2011, IEEE Transactions on Automatic Control.

[6]  R. Baldick,et al.  Supply function equilibrium bidding strategies with fixed forward contracts , 2005, IEEE Transactions on Power Systems.

[7]  F. Alvarado,et al.  Stability Analysis of Interconnected Power Systems Coupled with Market Dynamics , 2001, IEEE Power Engineering Review.

[8]  F. Longstaff,et al.  Electricity Forward Prices: A High-Frequency Empirical Analysis , 2002 .

[9]  Victor M. Zavala,et al.  Computational and economic limitations of dispatch operations in the next-generation power grid , 2010, 2010 IEEE Conference on Innovative Technologies for an Efficient and Reliable Electricity Supply.

[10]  J. Pang,et al.  Strategic gaming analysis for electric power systems: an MPEC approach , 2000 .

[11]  Lester Hadsell,et al.  Electricity Price Volatility and the Marginal Cost of Congestion: An Empirical Study of Peak Hours on the NYISO Market, 2001-2004 , 2006 .

[12]  F. Facchinei,et al.  Finite-Dimensional Variational Inequalities and Complementarity Problems , 2003 .

[13]  S. Borenstein.  The Trouble With Electricity Markets: Understanding California's Restructuring Disaster , 2002 .

[14]  Henrik Madsen,et al.  Feedback, competition and stochasticity in a day ahead electricity market , 2010 .

[15]  Sean P. Meyn,et al.  Real-time prices in an entropic grid , 2012, 2012 IEEE PES Innovative Smart Grid Technologies (ISGT).

[16]  David Q. Mayne,et al.  Constrained model predictive control: Stability and optimality , 2000, Autom..

[17]  James B. Rawlings,et al.  The stability of constrained receding horizon control with state estimation , 1994, Proceedings of 1994 American Control Conference - ACC '94.

[18]  Daniel J. Veit,et al.  Simulating the dynamics in two-settlement electricity markets via an agent-based approach , 2006 .

[19]  A. Ott,et al.  Experience with PJM market operation, system design, and implementation , 2003 .

[20]  Shmuel S. Oren,et al.  Can we prevent the gaming of ramp constraints? , 2005, Decis. Support Syst..

[21]  Shmuel S. Oren,et al.  Two-settlement Systems for Electricity Markets under Network Uncertainty and Market Power , 2004 .

[22]  Francisco Facchinei,et al.  Generalized Nash Equilibrium Problems , 2010, Ann. Oper. Res..

[23]  Victor M. Zavala,et al.  A Game-Theoretical Dynamic Model for Electricity Markets , 2011 .

[24]  A.J. Conejo,et al.  Day-ahead electricity price forecasting using the wavelet transform and ARIMA models , 2005, IEEE Transactions on Power Systems.

[25]  Marija Ilic,et al.  Bid-based Stochastic Model for Electricity Prices: The Impact of Fundamental Drivers on Market Dynamics , 2000 .

[26]  John N. Tsitsiklis,et al.  Efficiency of Scalar-Parameterized Mechanisms , 2008, Oper. Res..

[27]  Fernando Javier D'Amato.  Industrial application of a model predictive control solution for power plant startups , 2006, 2006 IEEE Conference on Computer Aided Control System Design, 2006 IEEE International Conference on Control Applications, 2006 IEEE International Symposium on Intelligent Control.

[28]  J. Contreras,et al.  Simulating oligopolistic pool-based electricity markets: a multiperiod approach , 2003 .

[29]  F. Alvarado.  The stability of power system markets , 1999 .

[30]  Aleksandr Rudkevich,et al.  On the supply function equilibrium and its applications in electricity markets , 2005, Decis. Support Syst..

[31]  Riccardo Scattolini,et al.  Predictive control of thermal Power Plants , 2004 .

[32]  Sean P. Meyn,et al.  Efficiency and marginal cost pricing in dynamic competitive markets with friction , 2007, 2007 46th IEEE Conference on Decision and Control.

[33]  Lorenz T. Biegler,et al.  Lyapunov stability of economically oriented NMPC for cyclic processes , 2011 .

[34]  Stephen M. Robinson,et al.  Strongly Regular Generalized Equations , 1980, Math. Oper. Res..

[35]  René Henrion,et al.  On M-stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling , 2007 .

[36]  Sean P. Meyn,et al.  Dynamic Competitive Equilibria in Electricity Markets , 2012 .

[37]  Derek W. Bunn,et al.  Model-Based Comparisons of Pool and Bilateral Markets for Electricity , 2000 .

[38]  A. David,et al.  Transmission congestion management in an electricity market , 1999 .

[39]  Benjamin F. Hobbs,et al.  Dynamic oligopolistic competition on an electric power network with ramping costs and joint sales constraints , 2008 .

[40]  M. Ventosa,et al.  Electricity market modeling trends , 2005 .

[41]  Ross Baldick,et al.  Design of Efficient Generation Markets , 2005, Proceedings of the IEEE.

[42]  R. Baldick,et al.  Capacity Constrained Supply Function Equilibrium Models of Electricity Markets: Stability, Non- decreasing constraints, and Function Space Iterations , 2002 .

[43]  Competitive Bidding and Stability Analysis in Electricity Markets Using Control Theory , 2008 .

[44]  Enrico Carpaneto,et al.  The role of load demand elasticity in congestion management and pricing , 2000, 2000 Power Engineering Society Summer Meeting (Cat. No.00CH37134).