Electricity market clearing with improved dispatch of stochastic production

Juan Miguel Morales González, Marco Zugno, Salvador Pineda, Pierre Pinson

Research output: Contribution to journalJournal articleResearchpeer-review

1028 Downloads (Pure)


In this paper, we consider an electricity market that consists of a day-ahead and a balancing settlement, and includes a number of stochastic producers. We first introduce two reference procedures for scheduling and pricing energy in the day-ahead market: on the one hand, a conventional network-constrained auction purely based on the least-cost merit order, where stochastic generation enters with its expected production and a low marginal cost; on the other, a counterfactual auction that also accounts for the projected balancing costs using stochastic programming. Although the stochastic clearing procedure attains higher market efficiency in expectation than the conventional day-ahead auction, it suffers from fundamental drawbacks with a view to its practical implementation. In particular, it requires flexible producers (those that make up for the lack or surplus of stochastic generation) to accept losses in some scenarios. Using a bilevel programming framework, we then show that the conventional auction, if combined with a suitable day-ahead dispatch of stochastic producers (generally different from their expected production), can substantially increase market efficiency and emulate the advantageous features of the stochastic optimization ideal, while avoiding its major pitfalls.

A two-node power system serves as both an illustrative example and a proof of concept. Finally, a more realistic case study highlights the main advantages of a smart day-ahead dispatch of stochastic producers.
Original languageEnglish
JournalEuropean Journal of Operational Research
Issue number3
Pages (from-to)765–774
Publication statusPublished - 2014


  • OR in energy
  • Electricity market
  • Stochastic programming
  • Electricity pricing
  • Wind power
  • Bilevel programming

Fingerprint Dive into the research topics of 'Electricity market clearing with improved dispatch of stochastic production'. Together they form a unique fingerprint.

Cite this