  Pricing multi-interval economic dispatch of electric power under operational
uncertainty is considered in this two-part paper. Part I investigates
dispatch-following incentives of profit-maximizing generators and shows that,
under mild conditions, no uniform-pricing scheme for the rolling-window
economic dispatch provides dispatch-following incentives that avoid
discriminative out-of-the-market uplifts. A nonuniform pricing mechanism,
referred to as the temporal locational marginal pricing (TLMP), is proposed. As
an extension of the standard locational marginal pricing (LMP), TLMP takes into
account both generation and ramping-induced opportunity costs. It eliminates
the need for the out-of-the-market uplifts and guarantees full
dispatch-following incentives regardless of the accuracy of the demand
forecasts used in the dispatch. It is also shown that, under TLMP, a
price-taking market participant has incentives to bid truthfully with its
marginal cost of generation. Part II of the paper extends the theoretical
results developed in Part I to more general network settings. It investigates a
broader set of performance measures, including the incentives of the truthful
revelation of ramping limits, revenue adequacy of the operator, consumer
payments, generator profits, and price volatility under the rolling-window
dispatch model with demand forecast errors.
