Robust Pricing of Energy and Ancillary Services in Combined Electricity and Natural Gas Markets

Rapid growth of gas-fired generators strengthens the interdependency of electricity and natural gas markets. To meet the uncertainty challenge, a robust day-ahead market clearing framework for the integrated electricity and natural gas system (IEGS) is presented. First, a robust security-constrained unit commitment (SCUC) model is built considering the joint dispatch of ancillary services. Regulation-up/down reserve is scheduled to balance electrical load/wind power uncertainties, spinning reserve is to manage N-1 generator outage, and natural gas reserve is to withstand gas load uncertainty and provide fuel for gas-fired electrical reserve. The SCUC model is a two-stage mixed-integer nonlinear optimization problem so that a sequential linear approximation-based Column & Constraint Generation (SLA-based C&CG) algorithm is proposed. Then, according to SCUC solutions, an economic dispatch model is derived to obtain market clearing and pricing results. Based on locational marginal pricing, novel definitions of electrical energy, natural gas and multiple ancillary service prices are proposed, which can reflect network limits and uncertainty effects. Numerical cases on two test IEGSs and a provincial-level IEGS demonstrate the high accuracy of proposed SLA-based C&CG algorithm and the impact of uncertainties on market clearing.