Dynamic Economic Dispatch and Price Evolution under Ramping Constraints and Uncertain Demand

Abstract

Consider $N$ generators with limited ramping capabilities that need to meet the stochastic demand over $T$ time steps by ramping up or ramping down their generation at every time step. We formulate this problem as a stochastic dynamic optimization problem with stochastic constraints, and compute the evolution of nodal prices over time (Lagrange multipliers corresponding to the constraints).