Demand-side reserve in stochastic market clearing of joint energy/reserve auctions

This paper proposes a stochastic model for security-constrained market clearing that includes supply-side and demand-side reserve offers where energy and reserve are jointly dispatched. In this model, the solution methodology consists of two stages. In the first stage, random disturbances, such as outages of generation units and transmission lines, are modeled as different scenarios using the Lattice Monte Carlo Simulation (LMCS) method. Then, the stochastic market clearing procedure is decomposed into deterministic optimization sub-problems (scenarios) including non-contingent scenario and different post-contingency states. For each deterministic scenario, the resources are scheduled and dispatched in a joint auction through a mixed-integer linear optimization program in which the objective is to maximize the weighted-average social welfare of all market participants. The model is applied to the IEEE 24-bus Reliability Test System (IEEE 24-bus RTS) and simulation studies are carried out to examine the effectiveness of the proposed method. Copyright (C) 2010 John Wiley & Sons, Ltd.