Pricing Chance Constraints in Electricity Markets

Xiaolong Kuang, Yury Dvorkin, Alberto J. Lamadrid, Miguel A. Ortega-Vazquez, Luis F. Zuluaga

Research output: Contribution to journalArticlepeer-review


This letter considers a stochastic electricity market in which the uncertainty is handled using a proportional control law and chance security constraints. We prove that in this framework, market clearing prices yielding a robust competitive market equilibrium can be computed and used for stochastic market settlements by risk-aware system operators. An illustrative case study corroborates the usefulness of the proposed approach.

Original languageEnglish (US)
Pages (from-to)4634-4636
Number of pages3
JournalIEEE Transactions on Power Systems
Issue number4
StatePublished - Jul 2018


  • Non-convexities
  • equilibrium conditions

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering


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