Dual Analysis of Continuous-time Economic Dispatch and Its Price Implications

TL;DR

This paper introduces a continuous-time economic dispatch model that captures intra-temporal load variations and derives its dual price signals, revealing insights into price distortions and market incentives often missed by discrete-time models.

Contribution

It develops a novel continuous-time dispatch framework with a dual formulation for more accurate price signals, addressing limitations of traditional discrete-time approaches.

Findings

Continuous-time prices evolve piecewise along load profiles.

The model reveals intra-temporal price distortions in discrete models.

Ramping constraints significantly impact price signals.

Abstract

As load varies continuously over time, it is essential to provide continuous-time price signals that accurately reflect supply-demand balance. However, conventional discrete-time economic dispatch fails to capture the intra-temporal variations in load and generation. Its dual solution--the marginal price--may distort economic signals, leading to inefficient market incentives. To analyze these issues, this paper develops a continuous-time dispatch model and derives its dual formulation for price analysis. The continuous-time dispatch produces dual variables that can be interpreted as price signals. Piecewise time-indexed generation and price trajectories are then constructed through a parametric programming approach. The resulting price, represented by the Lagrange multiplier of the system-wide power balance constraint, evolves piecewise along the continuous-time load profile. Each segment corresponds to a critical region characterized by a set of active constraints. Furthermore, we discuss the impact of unit-specific ramping constraints on price implications. Results indicate that continuous-time generation and price trajectories provide deeper insights into the price distortions and inefficient incentives inherent in discrete-time formulations. The proposed methodology is validated on an illustrative 5-bus system and a modified IEEE RTS-2019.