Day-Ahead Estimation of Renewable Generation Uncertainty Set for More Efficient Market Clearing

Wholesale Day Ahead Markets (DAMs) dominated by renewable generation can improve social surplus by driving unit commitment (UC) and security constrained economic dispatch (SCED) in a novel systematic uncertainty aware manner. A new robust uncertainty aware DAM model can anticipate worst-case output of renewable generation and use a system reliability constraint involving an uncertainty set of renewable capacity realizations. The uncertainty set yields unique worst-case renewable capacities, which can be written as linear functions of a tentative, most -recent, SCED. A few repetitions of the UC-SCED converge to the optimal DAM clearing under the new system reliability constraint, endogenously determining reserve requirements, and potentially prices for energy and reserves. This paper focuses on constructing the uncertainty set essential to this new uncertainty aware Market paradigm and illustrates it on a realistic size Balancing Area with hundreds of wind farms.