A Dynamic Multistage Stochastic Unit Commitment Formulation for Intraday Markets

Bita Analui, Anna Scaglione

Research output: Contribution to journalArticlepeer-review

20 Scopus citations


As net-load becomes less predictable there is a lot of pressure in changing decision models for power markets such that they account explicitly for future scenarios in making commitment decisions. This paper proposes to make commitment decisions with multiple gate closures. Our proposed model also leverages a state-space formulation for the commitment variables, through which the operational constraints of generation units participating in the market are respected. We also study the problem of constructing scenario tree approximations for stochastic processes and evaluate our algorithms on scenario tree libraries derived from real net-load data.

Original languageEnglish (US)
Pages (from-to)3653-3663
Number of pages11
JournalIEEE Transactions on Power Systems
Issue number4
StatePublished - Jul 2018


  • Stochastic unit commitment
  • intraday markets
  • load scenario tree library
  • multistage stochastic optimization

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering


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