  This paper deals with the problem of clearing sequential electricity markets
under uncertainty. We consider the European approach, where reserves are traded
separately from energy to meet exogenous reserve requirements. Recently pro-
posed stochastic dispatch models that co-optimize these services provide the
most efficient solution in terms of expected operating costs by computing
reserve needs endogenously. However, these models are incompatible with
existing market designs. This paper proposes a new method to compute reserve
requirements that bring the outcome of sequential markets closer to the
stochastic energy and reserves co-optimization in terms of cost efficiency. Our
method is based on a stochastic bilevel program that implicitly improves the
inter-temporal coordination of energy and reserve markets, but remains
compatible with the European market design. We use two standard IEEE
reliability test cases to illustrate the benefit of intelligently setting
operating reserves in single and multiple reserve control zones.
