A Chance-Constrained Stochastic Electricity Market

Yury Dvorkin

Research output: Contribution to journalArticlepeer-review


Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize the uncertainty and their scenario-based stochastic extensions are limited in their ability to simultaneously maximize social welfare and guarantee non-confiscatory market outcomes in expectation and per each scenario. This article proposes a chance-constrained stochastic market design, which is capable of producing a robust competitive equilibrium and internalizing uncertainty of the renewable resources in the price formation process. The equilibrium and resulting prices are obtained for different uncertainty assumptions, which requires using either linear (restrictive assumptions) or second-order conic (more general assumptions) duality in the price formation process. The usefulness of the proposed stochastic market design is demonstrated via the case study carried out on the 8-zone ISO New England testbed.

Original languageEnglish (US)
Article number8937824
Pages (from-to)2993-3003
Number of pages11
JournalIEEE Transactions on Power Systems
Issue number4
StatePublished - Jul 2020


  • Chance constraints
  • cost recovery
  • equilibrium
  • revenue adequacy
  • stochastic market design

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering


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