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Locational Marginal Pricing for Adaptive Robust Look-Ahead Dispatch with Causal Affine Recourse

Aidan Looney, Qian Zhang

2026enelectricitymarketsoptimizationdispatchpricing

Abstract

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This paper develops a marginal pricing mechanism for adaptive robust look-ahead economic dispatch (LAED) under net-load uncertainty. In current market practice, deterministic multi-interval dispatch can misprice flexibility when forecast error is large. Fully adaptive robust (FAR) dispatch captures this uncertainty, but competing worst-case trajectories can imply different marginal values of demand, leaving no single price for market settlement. We propose causal affine recourse (CAR) as a tractable, price-forming approximation. CAR replaces independently optimized trajectory-specific schedules with a causal affine response policy, yielding a market-clearing model that retains the standard energy and congestion decomposition of DC Locational Marginal Pricing. We then demonstrate that CAR-LMP together with a ramp-adjusted current settlement supports dispatch-following and eliminates current-period lost opportunity costs. We solve the CAR problem by deriving a robust counterpart and present computational evidence on exact small DC instances, a ten-generator system, and an IEEE 300-bus public-network case. These simulations show that the proposed prices collapse exactly to deterministic LAED-LMP when robustness is inactive, remain stable in loose-ramp regimes, and produce economically meaningful price shifts when flexibility is scarce. The proposed pricing mechanism provides a practical bridge between adaptive robust dispatch and market-based pricing.

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Cite This Work

@article{1b394099-fd4d-4600-9543-5d9aa6827b45,
  title={Locational Marginal Pricing for Adaptive Robust Look-Ahead Dispatch with Causal Affine Recourse},
  author={Aidan Looney and Qian Zhang},
  year={2026},
  language={en}
}
TY  - JOUR
TI  - Locational Marginal Pricing for Adaptive Robust Look-Ahead Dispatch with Causal Affine Recourse
AU  - Aidan Looney
AU  - Qian Zhang
PY  - 2026
LA  - en
ER  -

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