Price of uncertainty in multistage stochastic power dispatch

The price of uncertainty measures the impact of uncertainty in the total cost of power dispatch in networks with significant penetration of renewables. It has been shown to exist in problems with deterministic prices and two stage markets. The existence of this price in multistage dispatch problem has remained an open question. This paper demonstrates the existence of the price of uncertainty in multiple stage stochastic power dispatch problems with stochastic prices. The existence proof requires a careful derivation of the structure of the optimal dispatch for this scenario. The paper concludes with various examples and applications of the price of uncertainty.