Stochastic optimization has become one of the fundamental mathematical frameworks for modeling power systems with important sources of uncertainty in the demand and supply sides. In this framework, a main challenge is to find optimal dispatch policies and settlement schemes that support a market equilibrium. In this paper, the economic dispatch under linear network constraints and resource uncertainty is revisited. Piece-wise affine continuous dispatch policies and locational prices that support a market equilibrium using a two-settlement scheme are derived. We find that the ex-post locational prices are piecewise affine continuous functions of the system uncertainties.

%B 2014 IEEE Power & Energy Society (PES) General Meeting %I IEEE %C National Harbor, MD, USA %P 1 - 5 %8 07/2014 %R 10.1109/PESGM.2014.6939369