Felix Müsgens, Karsten Neuhoff
Modelling Dynamic Constraints in Electricity Markets and the Costs of Uncertain Wind Output
EPRG 0514 | Non-Technical Summary | PDF
Abstract: Building on models that represent inter-temporal constraints in the optimal production decisions for electricity generation, the paper analysis the resulting costs and their impact on prices during the day. We linearise the unit commitment problem to facilitate the interpretation of shadow prices. Analytic research gives insights for a system with one technology and numeric implementation provides results for the German power system. The model is expanded to a stochastic optimisation with recourse. The model is used to calculate the cost of wind uncertainty and the value of updating wind forecasts.
Keywords: Electricity Markets, Energy Modelling, Optimisation Models