  Efficiently accommodating uncertain renewable resources in wholesale
electricity markets is among the foremost priorities of market regulators in
the US, UK and EU nations. However, existing deterministic market designs fail
to internalize the uncertainty and their scenario-based stochastic extensions
are limited in their ability to simultaneously maximize social welfare and
guarantee non-confiscatory market outcomes in expectation and per each
scenario. This paper proposes a chance-constrained stochastic market design,
which is capable of producing a robust competitive equilibrium and
internalizing uncertainty of the renewable resources in the price formation
process. The equilibrium and resulting prices are obtained for different
uncertainty assumptions, which requires using either linear (restrictive
assumptions) or second-order conic (more general assumptions) duality in the
price formation process. The usefulness of the proposed stochastic market
design is demonstrated via the case study carried out on the 8-zone ISO New
England testbed.
