  In this paper, the intra-day multi-interval rolling-window joint dispatch and
pricing of energy and reserve is studied under increasing volatile and
uncertain renewable generations. A look-ahead energy-reserve co-optimization
model is proposed for the rolling-window dispatch, where possible contingencies
and load/renewable forecast errors over the look-ahead window are modeled as
several scenario trajectories, while generation, especially its ramp, is
jointly scheduled with reserve to minimize the expected system cost considering
these scenarios. Based on the proposed model, marginal prices of energy and
reserve are derived, which incorporate shadow prices of generators' individual
ramping capability limits to eliminate their possible ramping-induced
opportunity costs or arbitrages. We prove that under mild conditions, the
proposed market design provides dispatch-following incentives to generators
without the need for out-of-the-market uplifts, and truthful-bidding incentives
of price-taking generators can be guaranteed as well. Some discussions are also
made on how to fit the proposed framework into current market practice. These
findings are validated in numerical simulations.
