Integrated Stochastic Optimal Self-Scheduling for Two-Settlement Electricity Markets

Kai Pan, Yongpei Guan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

1 Citation (Scopus)


The complexity of current electricity wholesale markets and the increased volatility of electricity prices because of the intermittent nature of renewable generation make independent power producers (IPPs) face significant challenges to submit offers. This challenge increases for those owning traditional coal-fired thermal generators and renewable generation. In this paper, an integrated stochastic optimal strategy is proposed for an IPP using the self-scheduling approach through its participation in both day-ahead and real-time markets (i.e., two-settlement electricity markets) as a price taker. In the proposed approach, the IPP submits an offer for all periods to the day-ahead market for which a multistage stochastic programming setting is explored for providing real-time market offers for each period as a recourse. This strategy has the advantage of achieving overall maximum profits for both markets in the given operational time horizon. Such a strategy is theoretically proved to be more profitable than alternative self-scheduling strategies as it takes advantage of the continuously realized scenario information of the renewable energy output and real-time prices over time. To improve computational efficiency, we explore polyhedral structures to derive strong valid inequalities, including convex hull descriptions for certain special cases, thus strengthening the formulation of our proposed model. Polynomial-time separation algorithms are then established for the derived exponential-sized inequalities to speed up the branch-and-cut process. Finally, both numerical and real case studies demonstrate the potential of the proposed strategy.
Original languageEnglish
Pages (from-to)1819-1840
Number of pages22
JournalINFORMS Journal on Computing
Issue number3
Publication statusPublished - May 2022


  • innovative formulation
  • renewable generation
  • self-scheduling
  • stochastic optimization

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Science Applications
  • Management Science and Operations Research


Dive into the research topics of 'Integrated Stochastic Optimal Self-Scheduling for Two-Settlement Electricity Markets'. Together they form a unique fingerprint.

Cite this