Conference paper
Chance-Constrained Equilibrium in Electricity Markets With Asymmetric Forecasts
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy production but use private information about the forecast error distribution.
This information is given in the form of samples and incorporated into profit-maximizing optimizations of market participants through chance constraints. We model information asymmetry by varying the sample size of participants’ private information. We show that with more information available, the equilibrium gradually converges to the ideal solution provided by the perfect information scenario.
Under information scarcity, however, we show that the market converges to the ideal equilibrium if participants are to infer the forecast error distribution from the statistical properties of the data at hand or share their private forecasts
Language: | English |
---|---|
Publisher: | IEEE |
Year: | 2020 |
Pages: | 1-6 |
Proceedings: | 16th International Conference on Probabilistic Methods Applied to Power Systems |
ISBN: | 1728128226 , 1728128234 , 9781728128221 and 9781728128238 |
ISSN: | 26426757 |
Types: | Conference paper |
DOI: | 10.1109/PMAPS47429.2020.9183423 |
ORCIDs: | Dvorkin, Vladimir , Kazempour, Jalal and Pinson, Pierre |