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We consider a two-stage electricity market comprising a forward and a real-time settlement. The former pre-dispatches the power system following a least-cost merit order and facing an uncertain net demand, while the latter copes with the plausible deviations with respect to the forward schedule by making use of power regulation during the actual operation of the system. Standard industry practice deals with the uncertain net demand in the forward stage by replacing it with a good estimate of its conditional expectation (usually referred to as a point forecast), so as to minimize the need for power regulation in real time. However, it is well known that the cost structure of a power system is highly asymmetric and dependent on its operating point, with the result that minimizing the amount of power imbalances is not necessarily aligned with minimizing operating costs. In this paper, we propose a mixed-integer program to construct, from the available historical data, an alternative estimate of the net demand that accounts for the power systems cost asymmetry. Furthermore, to accommodate the strong dependence of this cost on the power systems operating point, we use clustering to tailor the proposed estimate to the foreseen net-demand regime. By way of an illustrative example and a more realistic case study based on the European power system, we show that our approach leads to substantial cost savings compared to the customary way of doing.
Recent innovations in Information and Communication Technologies (ICT) provide new opportunities and challenges for integration of distributed energy resources (DERs) into the energy supply system as active market players. By increasing integration o
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