Real-Time Market Operation under Single- and Dual-Price Settlement Mech-anisms in Presence of Correlated Wind Power Production

In this paper, impact of spatio-temporal correlation of wind production on imbalance cost in real-time market is statistically analyzed. To achieve this goal, the market clearing problem of the real-time market is formulated. Wind power production is modeled as negative electric load, which is assumed to be inelastic. Inter-temporal constraints of generating units and transmission limitations are incorporated into the market clearing model. Wind power uncertainty is modeled through a set of scenarios based on spatio-temporal correlation among wind farms captured from real-world historical data. Simulation results are provided through IEEE 24-bus Reliability Test System. The impact of spatio-temporal correlation of wind power production on real-time market price and associated imbalance cost is statistically studied. Additionally, its impact on imbalance cost incurred by wind producers under single- and dual-price settlement mechanisms is investigated. Results obtained in different cases show that expectation of revenue (cost) resulting from wind power generation excess (deficit) in single-price settlement mechanism are more (less) than the other mechanism. However, difference between standard deviations of wind producers’ revenue (cost) in these two settlement mechanisms can be positive or negative depending on the wind power forecast error.