Locational Marginal Pricing Mechanism for Uncertainty Management Based on Improved Multi-ellipsoidal Uncertainty Set

The large-scale integration of renewable energy sources (RESs) brings huge challenges to the power system. A cost-effective reserve deployment and uncertainty pricing mechanism are critical deal with variability RES. To this end, paper proposes a novel locational marginal in day-ahead market for managing uncertainties from Firstly, an improved multi-ellipsoidal set (IMEUS) considering temporal correlation conditional wind forecasting is formulated better capture power. dimension each ellipsoidal subset optimized based on comprehensive evaluation index reduce invalid region without large loss modeling accuracy, so as conservatism. Then, IMEUS-based robust unit commitment (RUC) model economic dispatch (RED) established clearing. Both cost ramping constraints considered overall process. Furthermore, Langrangian function RED model, new developed. price (ULMP) introduced charge RES its reward generators who provide mitigate uncertainties. can effective signals incentivize management market. Finally, effectiveness proposed verified via numerous simulations PJM 5-bus system IEEE 118-bus