Professional Documents
Culture Documents
I.
I NTRODUCTION
Among many smart grid investments, one of the major activities around the world is the massive deployment
of advanced metering infrastructure. The payback from this
major investment on data infrastructure is anticipated to be
(a) enhanced flexibility from demand response participation
for smart aggregators; and (b) improved real-time situational
awareness for the grid operators. While streaming data in the
smart grid provides unprecedented opportunities to transform
the grid operation, we note that most prior research in this area
falls into two categories: (i) data-driven static analytics tailored
for power system domain applications, which do not capture
the underlying coupling between the data and the dynamics
in complex human-physical power systems [1] [2]; and (ii)
model-based system theoretical studies which are difficult to
scale up for real-world testing [3] [4].
The operations of power systems have traditionally adopted
the philosophy of controlling generation to balance the stochastic demand. As a result, the dynamic modeling and control
of power systems have been primarily focusing on generator
side. Governor-turbine-generator (GTG) modules from various
fossil fuels are modeled from first principles, resulting in a
mature modeling taxonomy with well engrained notions such
This material is based upon work partially supported by NSF under
Contract Nos. CPS-1239116, ECCS-1150944, CCF-1331863, and Science &
Technology Center Grant CCF-0939370.
J. An, P. R. Kumar, and L. Xie are with Department of Electrical and
Computer Engineering, Texas A&M University. College Station, TX 77843.
Email: jyan@tamu.edu, prk@tamu.edu, lxie@ece.tamu.edu.
2)
even to us.
3000
3500
3000
1500
0.999
0.99
0.99
0.95
0.9
0.95
0.9
Probability
2000
0.9999
0.999
2000
Price ($/MWh)
2500
0.9999
1000
Probability
4000
4000
4500
0.75
0.5
0.25
0.75
0.5
0.25
0.1
0.05
0.1
0.05
0.0001
0.0001
0
1000
500
1000
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Time (hour)
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Time (hour)
1000
80
900
1000
Price ($/MWh)
2000
3000
4000
500
800
70
1000
1500
2000 2500
Load (kWh)
3000
3500
4000
4500
700
40
30
0.8
600
500
400
300
20
200
10
100
0
10
15
Time (hour)
20
0.8
Sample Partial Autocorrelations
50
Sample Autocorrelation
60
Price ($/MWh)
1000
(b) The boxplot of hourly prices. (a) The cumulative probability distribution (b) The empirical cumulative probability
of price (P ) versus that of the normal distribution of the demand (Q) and the
distribution.
comparison with the normal distribution.
90
2000
10
15
20
25
Time (hour)
0.6
0.4
0.2
0.6
0.4
0.2
0.2
0.2
10
Lag
15
20
10
Lag
15
20
(c) The autocorrelation function (ACF) of (d) The partial autocorrelation function
Fig. 1. Figs. 1(a) and 1(b) show the hourly plots of a C/I load and prices Q. (One discrete unit of time = 15 mins) (PACF) of Q (The autocorrelation of
each lag k after the dependence on lags
from ERCOT, based on 15-minute measurements from Jan. 1, 2008 to Sep.
1, 2, . . . , k 1 is removed).
30, 2008. Fig. 1(c) shows the median price over these nine months by time of
day. Fig. 1(d) shows a particular sample of the price series on July 9, 2008.
Fig. 2. The statistics of Price (P ) from ERCOT and the C/I load (Q) on
workdays (i.e., weekends removed) based on 15-minute measurements from
Jan. 1, 2008 to Sep. 30, 2008.
TABLE I.
Kurtosis
Skewness
Mean
Std. Deviation
149.0002
10.9133
67.9700
173.2434
2.7712
0.1069
2246
631.0869
TABLE II.
in Table I.
From the above, it is clear that it is not feasible to get
a linear relationship between load and price over all values
of P and Q. Hence, we conclude that it is not possible to
obtain one universal linear dynamic system model between
price and demand. As an alternative, it is natural to continue
the analysis by assuming that there are two transfer functions
(TFs), one for moderate prices which is a linear model, and
one for high prices where there are large values. The deviation
from normality of the top 5% in Fig. 2(a) gives a reasonably
good demarcation between moderate prices and peak or high
prices.
III.
From the aforementioned preliminary data analysis in Section II, we conjecture that there exist two qualitatively distinct
regimes, a low to moderate price regime, and and a high price
regime. In the former we consider a linear transfer function
between price and load with additional noise to account for
uncertainty, i.e., an ARX model driven by white noise. In the
high price regime we consider a concave transformation of
peak prices to account for non-normality of the process. In
this section, we further address this problem of identifying the
dynamic model of DR.
A. Methodology
Estimate
SE
tStat
0
1
3
5
238.07
13.989
17.018
0.81268
0.0085477
95.075
0.046086
0.010267
4.4886
0.036614
0.0085466
4.284
MSE : 301
F-statistic vs. constant model: 8.81 103
pValue
8.883 1064
0
7.2744 106
1.8579 105
R2 : 0.775
p-value = 0
(2)
i=1
(1)
0
0.8555z 1 + 0.5273z 2
.
1 0.8127z 1 0.0461z 3 0.0366z 5
(3)
Qres (t) = 1 P (t 1) + 2 P (t 2) + 0 + t
Estimate
SE
0
1
2
22.506
10.054
-0.8555
0.42677
0.5273
0.43006
MSE : 301
F-statistic vs. constant model: 4.22
tStat
pValue
2.2385
-2.0046
1.2261
0.025218
0.045043
0.2202
400
3000
200
15.5
16
16.5
17
Time (hour)
Sample Demand Response (Apr. 3)
17.5
18
R : 0.00084
p-value = 0.0147
1200
1000
1000
500
0
15.5
16
16.5
Time (hour)
17
17.5
1
3
5
0.81268
0.046086
0.036614
1
2
0
-0.8555
0.5273
260.126
R2 : 0.776
MSE : 301
0.75
1.25 1.5
lag (hour)
1.75
2.25
2.5
50
0
0.05
0.1
0
Correlation
Estimate
0.5
(a) The sample series of load change in (b) The box plot of Q after a price surge
response to the price spike at 3:30pm Apr. (over 95%-quantile) at lag=0.
3, 2008.
Coeff.
0.25
18
100
Estimate
2000
1500
1400
800
15
(1 1 z 1 3 z 3 5 z 5 )Q(t)
= (1 z 1 + 2 z 2 )P (t) + t + 0
Coeff.
2500
1600
TABLE IV.
3500
600
0
15
Load (kWh)
Coeff.
4000
800
Q (kWh)
Price ($/MWh)
TABLE III.
50
100
0.15
0.2
0.25
0.3
150
0.35
0.5
1.5
Lag k (hour)
2.5
0.4
0.5
1
Lag k (hour)
Coeff.
Estimate
SE
0
1
2
4
748.26
233.72
0.40153
0.11763
-0.23826
0.1461
0.25124
0.11516
MSE : 336
F-statistic vs. constant model: 7.44
tStat
pValue
3.2015
3.4133
-1.6308
2.1816
0.0025097
0.0013678
0.10992
0.0344
Groups
Error
Total
SS
MS
F
6
p-value
Coeff.
1.21 10
10
1.21 10
3.21
3.86 10
3.89 109
10351
3.76 105
3.90 109
10361
SS: Sum of squares; DF: Degree of freedom of error;
MS: Mean square; F: F-statistic.
R2 : 0.332
p-value = 0.000377
1.5
TABLE VII.
TABLE V.
0
4
Estimate
SE
1213.4
293.68
-220.1
52.774
MSE : 281
F-statistic vs. constant model: 17.4
tStat
pValue
4.1316
-4.1707
0.00014688
0.00012965
R2 : 0.27
p-value = 0.00013
TABLE VIII.
Estimate
Coeff.
Estimate
1
2
4
0.40153
-0.23826
0.25124
4
0
-220.1
1961.66
R2 : 0.5124
MSE : 281
0.99
2200
0.95
2000
Predicted Q (MWh)
0.9
Probability
0.75
0.5
0.25
0.1
1800
1600
1400
1200
1000
0.05
800
0.01
600
400
200
200
400
600
600
600
800
IV.
800
1000
1200
2000
2200
2400
R EFERENCES
C ONCLUSION
This paper poses the problem of modeling of price responsive demand at wholesale level. Based on the empirical
Demand Response Delay
[1]
[2]
50
[3]
0
2.5
Delay (hour)
50
2
[4]
100
1.5
150
1
200
0.5
13
13.5
14
14.5
Time (hour)
15
15.5
250
13
16
13.5
14
14.5
Hour
15
15.5
16
R2 from Regressor P
[6]
pvalue by Regressor P
0.35
0.14
[7]
R on Q
R2 on Q Residual
0.3
0.12
0.1
0.2
0.08
pvalue
0.25
0.15
0.1
[8]
[9]
0.06
0.04
0.05
0
13
[5]
[10]
0.02
13.5
14
14.5
Hour
(c) R2 .
15
15.5
16
0
13
13.5
14
14.5
Hour
15
15.5
16
(d) p-value.
Fig. 5. The estimation results and the measurement of the goodness of fit
(Fig. 5(c) Fig. 5(d)). Each point is measured over 30-minute intervals.
[11]