  The participation of renewable, energy storage, and resources with limited
fuel inventory in electricity markets has created the need for optimal
scheduling and pricing across multiple market intervals for resources with
intertemporal constraints. In this paper, a new multi-period market model is
proposed to enhance the efficiency of markets with such type of resources. It
is also the first market design that links a forward market and a spot market
through the coordination of schedule and price under the multi-period paradigm,
achieving reliability, economic efficiency and dispatch-following incentives
simultaneously. The forward market solves a multi-period model with a long
look-ahead time horizon whereas the spot market solves a series of multi-period
dispatch and pricing problems with a shorter look-ahead time horizon on a
rolling basis. By using the forward schedules and opportunity costs of
intertemporal constraints as a guideline, the spot market model is able to
produce economically efficient dispatch solutions as well as prices that
incentivize dispatch following under the perfect forecast condition. The
proposed scheme is applied to the dispatch and pricing of energy storage
resources. Numerical experiments show that the proposed scheme outperforms the
traditional myopic method in terms of economic efficiency, dispatch following
and reliability.
