The increasing penetration of renewable energy in recent years has led tomore uncertainties in power systems. These uncertainties have to beaccommodated by flexible re- sources (i.e. upward and downward generationreserves). In this paper, a novel concept, Uncertainty Marginal Price (UMP), isproposed to price both the uncertainty and reserve. At the same time, theenergy is priced at Locational Marginal Price (LMP). A novel market clearingmechanism is proposed to credit the gener- ation and reserve and to charge theload and uncertainty within the Robust Unit Commitment (RUC) in the Day-aheadmarket. We derive the UMPs and LMPs in the robust optimization framework. UMPhelps allocate the cost of generation reserves to uncertainty sources. We provethat the proposed market clearing mechanism leads to partial marketequilibrium. We find that transmission reserves must be kept explicitly inaddition to generation reserves for uncertainty accommodation. We prove thattransmission reserves for ramping delivery may lead to Financial TransmissionRight (FTR) underfunding in existing markets. The FTR underfunding can becovered by congestion fund collected from uncertainty payment in the proposedmarket clearing mechanism. Simulations on a six-bus system and the IEEE 118-bussystem are performed to illustrate the new concepts and the market clearingmechanism.
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