Pricing real-time stochastic storage operations

Pricing storage operation in the real-time market under demand and generation stochasticities is considered. A scenario-based stochastic rolling-window dispatch model is formulated for the real-time market, consisting of conventional generators, utility-scale storage, and distributed energy resource aggregators. We show that uniform pricing mechanisms require discriminative out-of-the-market uplifts, making settlements under locational marginal pricing (LMP) discriminative. It is also shown that the temporal locational marginal pricing (TLMP) that adds nonuniform shadow prices of ramping and state-of-charge to LMP removes the need for out-of-the-market uplifts. Truthful bidding incentives are also established for price-taking participants under TLMP. Revenue adequacy and uplifts are evaluated in numerical simulations.

Automated summary

This study examines pricing storage operations in real-time markets, proposing a scenario-based stochastic rolling-window dispatch model. It is found that uniform pricing mechanisms may require discriminative out-of-the-market uplifts, but the TLMP model incorporates nonuniform shadow prices to eliminate the need for such uplifts. Additionally, truthful bidding incentives are established for price-taking participants under TLMP, with revenue adequacy and uplifts evaluated in numerical simulations.