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We present a multi-period stochastic mixed integer programming model for power generation scheduling in a day-ahead electricity market. The model considers various scenarios and integrates the idea of reserve shortage pricing in real time. Instead of including all the possible scenarios, we parsimoniously select a certain number of scenarios to limit the size of the model. As realistic size models are still intractable for exact methods, we propose a heuristic solution methodology based on scenario-rolling that is capable of finding good quality feasible solutions within reasonable computation time.
Zhang et al. (Mon,) studied this question.