On the design of wholesale electricity markets under uncertainty

We propose a market mechanism for an electricity market under uncertainty, comprising of dispatchable generators, renewable power producers, and load-serving entities. The single-settlement market mechanism consists of a stochastic economic dispatch and a contingent nodal pricing scheme. We show that the market mechanism is efficient, revenue adequate in all scenarios of available renewable supply, and supports a Radner equilibrium. The proposed design is illustrated through the analysis of a copperplate power system. Finally, it is compared against existing market designs in the literature.

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