800
2, MAY 2012
Robust Unit Commitment With Wind
Power and Pumped Storage Hydro
Ruiwei Jiang, Student Member, IEEE, Jianhui Wang, Member, IEEE, and Yongpei Guan, Member, IEEE
Abstract—As renewable energy increasingly penetrates into
power grid systems, new challenges arise for system operators to
keep the systems reliable under uncertain circumstances, while
ensuring high utilization of renewable energy. With the naturally
intermittent renewable energy, such as wind energy, playing more
important roles, system robustness becomes a must. In this paper,
we propose a robust optimization approach to accommodate wind
output uncertainty, with the objective of providing a robust unit
commitment schedule for the thermal generators in the day-ahead
market that minimizes the total cost under the worst wind power
output scenario. Robust optimization models the randomness
using an uncertainty set which includes the worst-case scenario,
and protects this scenario under the minimal increment of costs. In
our approach, the power system will be more reliable because the
worst-case scenario has been considered. In addition, we introduce
a variable to control the conservatism of our model, by which we
can avoid over-protection. By considering pumped-storage units,
the total cost is reduced significantly.
Index Terms—Generation scheduling, pumped-storage, robust
optimization, wind uncertainty.
NOMENCLATURE
A. Sets
Set of buses.
Set of transmission lines linking two buses.
Set of generators at bus .
B. Parameters
Number of time periods in planning horizon, with
each period to be one hour.
Line flow distribution factor for transmission line
linking bus and bus due to the net injection
at bus .
Transmission capacity on transmission line
linking bus and bus .
Manuscript received February 19, 2011; revised June 15, 2011 and September
14, 2011; accepted September 19, 2011. Date of publication November 03,
2011; date of current version April 18, 2012. This work was supported in part by
the U.S. National Science Foundation under CAREER Award CMMI0748204
and by the U.S. Department of Defense under Office of Naval Research Young
Investigator Award N000141010749. Paper no. TPWRS-00147-2011.
R. Jiang and Y. Guan are with the Department of Industrial and Systems
Engineering, University of Florida, Gainesville, FL 32611 USA (e-mail:
guan@ise.ufl.edu).
J. Wang is with the Argonne National Laboratory, Argonne, IL 60439 USA
(e-mail: jianhui.wang@anl.gov).
Color versions of one or more of the figures in this paper are available online
at http://ieeexplore.ieee.org.
Digital Object Identifier 10.1109/TPWRS.2011.2169817
0885-8950/$26.00 © 2011 IEEE
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 27, NO.
Start-up cost for thermal generator at bus .
Shut-down cost for thermal generator at bus .
Minimum-up time for thermal generator at bus .
Minimum-down time for thermal generator at
bus .
Ramp-up limit for thermal generator at bus .
Ramp-down limit for thermal generator at bus .
Minimal output of electricity if thermal generator
at bus is on.
Maximal output of electricity if thermal generator
at bus is on.
Forecasted mean wind power output at bus in
period .
Upper limit of the confidence interval for the wind
power output at bus in period .
Lower limit of the confidence interval for the
wind power output at bus in period .
Initial water reserve inventory of pumped-storage
unit at bus .
Target water reserve inventory of pumped-storage
unit at bus at the end of planning horizon.
Efficiency of the pumping cycle of the pumped
storage station. It is dimensionless and represents
the ratio of energy absorbed into storage to energy
taken from the power system % .
Efficiency of the generating cycle of the
pumped storage station. It is dimensionless and
represents the ratio of energy injected into the
power system to the energy drawn from storage
%.
Demand at bus in time period .
C. Decision Variables
Binary decision variable to indicate if thermal
generator at bus is on in time period .
Binary decision variable to indicate if thermal
generator at bus is started up in period .
Binary decision variable to indicate if thermal
generator at bus is shut down in period .
JIANG et al.: ROBUST UNIT COMMITMENT WITH WIND POWER AND PUMPED STORAGE HYDRO
Amount of electricity generated by thermal
generator at bus in period .
Actual wind power output at bus in period .
Total amount of electricity absorbed by
pumped-storage units at bus in period .
Total amount of electricity generated by
pumped-storage units at bus in period .
Water reserve inventory of the pumped-storage
unit at bus at the end of period .
Binary decision variable to indicate if the wind
farm output at bus reaches its upper bound in
time period .
Binary decision variable to indicate if the wind
farm output at bus reaches its lower bound in
time period .
Dual variables corresponding to the economic
dispatch constraints. See Section III-A for details.
I. INTRODUCTION
IND power has maintained increasing penetration into
W power systems in the past several years. Large amounts
of wind power has sophisticated implications on power system
operations. The system operators have the obligation to balance
the system to take the most advantage of wind power. How-
ever, due to the inherent uncertainty and variability in wind, the
fluctuation in wind power has a great impact on system oper-
ations. Various wind power forecasting techniques have been
developed to forecast the wind power output [1]. Wind power
forecasting usually starts with a large-scale numerical weather
prediction model. Then a variety of physics-based models and
statistical tools such as artificial neural networks (ANN) and re-
gression are used to generate the wind power forecasts. Due to
a number of factors involved in the forecasting process such as
terrain complexity, prediction horizon, and data quality, wind
power forecasting has remained as a very challenging task.
Research has been done to investigate how to represent
the wind power uncertainty in the system operations. Various
methods can be used to accommodate wind power variability
including advanced unit commitment (UC), and balancing
wind power variations with pumped-storage hydro and better
ancillary service procurement [2]–[4]. In this paper, we focus
on how to deal with wind power forecast errors and ensure high
utilization of wind power through advanced UC. An improved
UC model considering wind power uncertainty will lead to
a better UC solution which can withstand the forecast errors
in the real time. There are several methods to represent the
wind power forecasting errors in the UC model. One way is
to accommodate wind power uncertainty through stochastic
UC (for literature on stochastic programming, see [5]; for
its application on stochastic UC, see [6]–[8] and [9], among
others). In such a model, the uncertainty of wind power is
801
captured by a number of wind power scenarios. Each scenario
represents a possible realization of the wind power output. The
difficulty with stochastic UC is that the problem size and com-
putational requirement increases with the number of scenarios
since a large number of scenarios are often required to ensure
the quality of the UC solution. In addition, the accuracy of
the algorithm is sensitive to the scenario generation technique
used. An alternative is to impose the wind power scenarios as
constraints in the UC model [2], [7]. In this case, the UC results
have to satisfy all the wind power variability in the scenarios.
A Benders’ decomposition technique can be used to reduce the
computational requirement. But this method also suffers from
its sensitivity to wind power scenario selection.
Another drawback of stochastic UC is that it is not easy to
represent the wind power “ramp” events in the scenarios, which
refer to the situations where wind power output increases or
decreases significantly during a short period of time due to
fast-moving weather phenomena. The reasons are as follows:
1) those “ramp” events are difficult to predict because such
events may come from a variety of situations such as cold
frontal passage, thunderstorm outflow, and rapid intensification
of an area of low pressure [10], and 2) the normal scenario
generation method usually creates all the scenarios at one time
based on certain distribution assumption without specifying
what scenarios can represent the ramp events. If the ramp event
scenario is defined, it will be difficult to mingle it with the
others and assign an appropriate probability. Wind power ramp
events cause great challenges to power system operations since
the other conventional generators may not be able to follow this
rapid change due to their technical constraints such as ramping
and min on/off constraints. For example, on April 4, 2009, the
Southwestern Public Service (SPS) balancing authority in the
U.S. experienced a drop of wind power output from 650 MW
to 450 MW within one hour and another approximately 140
MW drop in the second hour. While the peak load in that area
was only 3214 MW, this sudden change in wind output could
have disturbed the system operations greatly if this was not
addressed and forecasted properly [10].
In this paper, we present a robust optimization-based UC
model that takes into account the worst scenario of wind
power fluctuation with deterministic loads in all the periods.
The robust optimization (RO) approach has received growing
attention in both research and applications in the last decade.
Instead of making assumptions on specific probability distri-
butions, the RO approach puts the random problem parameters
in a predetermined uncertainty set containing the worst-case
scenario. The way of defining the uncertainty makes the RO
approach more applicable than the traditional approaches.
On one hand, the decision makers can easily construct the
uncertainty set from the historical data or estimate it with a
confidence interval, rather than betting on the probability dis-
tributions. On the other hand, the robust counterpart, obtained
by replacing the random parameters by their uncertainty sets in
the deterministic formulation, usually remains computationally
tractable even for medium or large scale problems in practice.
In view of this, the RO approach has recently been applied in
various fields including network flows [11], [12], production
planning problems [12], evacuation transportation planning
802
problems [13], portfolio management problems [14], and con-
tingency-constrained unit commitment problems [15], among
others. In this paper, we employ the RO approach to hedge
the wind power output uncertainty. Specifically, the uncertain
wind power output in each period is within an interval defined
by its lower and upper bounds and can be obtained based on
the historical data or estimated with a confidence interval. This
setting contains the worst possible scenario of wind power
fluctuation for a pre-specified set of quantiles. Our proposed
method aims to provide a robust unit commitment schedule
for the day-ahead market that minimizes the total cost under
the worst disturbance the wind power fluctuation can cause to
the system in the real time, while ensuring high utilization of
wind power. This problem can be formulated as a two-stage
min-max problem with the objective of minimizing the total
cost under the worst wind power output scenario. In this paper,
we apply the Benders’ decomposition algorithm to obtain a
robust unit commitment solution for the day-ahead market, and
a Monte Carlo sampling approach to obtain an upper bound of
the optimal objective value for the problem with the purpose
of evaluating the solution quality. The algorithm can automati-
cally simulate the worst scenario where the wind power output
changes between upper and lower bounds and has the greatest
impact on system operations. Hence, the ramp events which
represent the inter-hour change in wind power can be modeled.
In the remaining part of this paper, we describe the mathe-
matical formulation in Section II. In Section III, we develop
the solution approach to solve the problem. Case studies and
computational results are shown in Section IV, and finally, in
Section V, we conclude our research.
II. MATHEMATICAL FORMULATION
In this section, we build a two-stage robust optimization for-
mulation to deal with the ramp events for the uncertain wind
power outputs. In our setting, we model the random wind power
output with an uncertainty set. We assume the uncertain wind
power output is within an interval with the forecasted
mean value to be . The interval can usually be
obtained based on the historical data or an interval forecast for
the wind power output. We can use quantiles to help us define
the interval if quantiles are known. For instance, we can set
and equal to the .95- and .05-quantiles of the random
wind power output, respectively. In this way, we might curtail
the excess wind power if the wind power output is larger than
.95-quantile, and curtail partial loads if the wind power output
is less than .05-quantile. We can ensure at least 95% of the wind
power output will be utilized. Under our setting, for each bus
in period , the actual wind power output can run freely in
the range . It can be observed that the worse-case sce-
nario is at or for all and , and we are
apparently overconservative. Since small deviations which can
be balanced by dispatching other online conventional generating
units up or down will not cause serious issues to the system op-
eration, we focus on the extreme cases where huge fluctuations
of wind power output between the hours occur (ramps), which
is defined as the possible worst case in the paper. To adjust the
degree of conservatism, we employ an integer (between 0
and ) to restrict the number of time periods that allow to
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 27, NO. 2, MAY 2012
be far away from its forecasted value (i.e., deviations are
very large). In practice, the planning horizon equals 24 for
the real-time market. If , then is forced to be close
to (e.g., the deviations are small and we put them equal in
the formulation) throughout the next 24 hours. If , then
can take any value in in any arbitrary 12 hours,
but is assumed to be close to in the remaining 12 hours. It
can be observed that we become more conservative as in-
creases, and we can view as the “budget of uncertainty.” In
practice, the system operators can control the system robustness
by adjusting the value of . For example, in the event that a
weather front comes through, the system operators can define a
certain number of hours when the actual wind power output will
significantly deviate from the forecasted values. The algorithm
can automatically simulate the worst scenario where the wind
power output changes between upper and lower bounds and has
the greatest impact on system operations.
In our model, the main objective is to derive a robust unit
commitment schedule. For instance, through selecting the
budget of uncertainty (i.e., ), this model can guarantee that
the robust optimal solution is feasible with a high probability
under wind power output uncertainty. Based on the bound
derived in [16, formulation (20)], the robust optimal solution is
feasible with probability approximately greater than 95% if
exceeds , where represents the number of random
variables. Hence, in our case, it states that .
Thus, we can decide the number of periods with big deviations
(or equivalently, the budget of uncertainty ) by the feasibility
probability guarantee, which can be further selected by the
power system operators.
Once the budget of uncertainty is given, it is easy to observe
that there exists an optimal solution in which reaches its
boundary or meets its forecasted value. Accordingly, we let
and represent if the wind power output reaches its upper
bound , its lower bound , or meets its
forecasted value . For notation brevity, we let
and . The uncertainty set
can be described as
(1)
Based on this uncertainty set description, we can provide the
robust optimization formulation to address the wind power un-
certainty as follows [denoted as formulation ]:
(2)
(3)
JIANG et al.: ROBUST UNIT COMMITMENT WITH WIND POWER AND PUMPED STORAGE HYDRO 803

(4) least units of time), start-up and shut-down constraints [(5),

(5) (6)], generation capacity constraints (8), ramping constraints
[(9), (10)] (in this paper, ramping constraints combine ramp-rate
(6) limit restriction when a generator is on and first-hour (last-hour)
minimum generation restriction as described in [17]), system
(7) power balance constraints (11), transmission constraints (12),
and hydro water inventory balance constraints (13) (the units
where for power generation and water reserve level are unified to be
MWh as described in [18]). Besides, constraints (14) and (15)
describe the upper and lower bounds of electricity absorbed and
generated by the pumped-storage units, and constraints [(16),
(17)] give the initial and target water inventory level for the
(8) pumped-storage units. Finally, constraints [(18), (19)] ensure
that the pumped-storage units cannot absorb and generate elec-
tricity simultaneously within any specific time period, by intro-
(9) ducing a binary variable to indicate whether the unit at bus
absorbs or generates electricity in time
period .

(10)
III. SOLUTION METHODOLOGY

(11) For the proposed formulation, we need to solve a

min-max-min problem, which could not be solved directly
by a commercial software such as CPLEX. Therefore, efficient
algorithms should be developed to solve the problem. If we
use a scenario-based approach, e.g., enumerating all possible
(12) outcomes of that could lead to the worst-case scenario for
the problem, then there are outcomes. For each outcome,
(13) we need to consider separate economic dispatch constraints
corresponding to the outcome. Thus, the problem size is huge
(14) and in the remaining part of this section, we develop a decom-
(15) position algorithm to solve the problem.
(16)
A. Second-Stage Problem Transformation
(17)
In practice, the fuel cost is a quadratic function and
(18)
can be approximated by a -piece piecewise linear function as
follows:
(19)

In the above formulation, the objective function (2) consists of (20)

start-up, shut-down, and operating costs (the operating costs for
absorbing or generating power by pumped storage hydros are Furthermore, constraints [(18), (19)] make the second-stage
usually very low and therefore not considered in this model). As problem a mixed integer program, which significantly increases
shown mathematically, we will make the unit commitment deci- the difficulty in solving to optimality. In view of this,
sions in the first stage, which represents the unit com- we first relax constraints [(18), (19)] and solve to get a
mitment for the day-ahead market, while in the second stage, lower bound of the optimal objective value. By dualizing the re-
we decide how much electricity to be generated by the thermal, maining constraints in , we can transform the second-stage
wind, and hydro, which corresponds to the economic dispatch in problem as follows [denoted as formulation ]:
the real time. Note that, in the formulation, wind power gener-
ation amounts are subject to uncertainty. They
are not deterministic, but random variables described by the un-
certainty set . Our objective is to minimize the total costs under
the worst-case scenario in terms of the uncertain wind power
output in the real time. The hourly UC constraints listed above
include the minimum-up and -down time constraints [(3), (4)]
(e.g., constraints [(3)] represent if a generator is turned on, it (21)
should be kept on for at least units of time; constraints [(4)]
represent if a generator is turned off, it should be kept off for at
804 IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 27, NO. 2, MAY 2012

(22) (34)

where (34) is the replacement of (27).

(23) Next we employ the Benders’ decomposition algorithm to
solve . We solve the following master problem iteratively by
adding new constraints to cut off the infeasible or non-optimal
solutions [denoted as formulation ]:
(24)
(25)

(26)

(27) (35)

(28)
(36)
where is a linear function and the de-
tailed expression is shown in the Appendix. where constraints (35) represent the selected feasibility cuts
In the above formulation , and are the added to the master program, while constraints (36) represent
dual decision variables for constraints (8), [(9)–(10)], (11), (12), the optimality cuts.
(13), (14), (15), and (20), respectively. The objective of the dual
formulation is represented as (21). Constraints (22), (23), (24), B. Feasibility Cuts
and (25) correspond to the variables and in
. Note that the first term in the objective function is bilinear. We say a first-stage solution is infeasible if
For instance, there are bilinear terms in , implying that the program is un-
the objective function. To linearize these bilinear terms, we let bounded in value. From the duality theory, the unboundedness
. Then we have of indicates the infeasibility of the subproblem
, and thus the set
is empty. Intuitively, it means that given a unit commitment
decision , the load in power grid cannot be satisfied under the
restriction of transmission and generator capacity constraints,
however hard we try. To detect the infeasibility of the
subproblem, we construct the feasibility problem. To formulate
the dual problem, we do not need to consider the objective
function (20), and the corresponding formulation is shown as
follows [denoted as formulation ]:

subject to

(29)

(30)
(31)
(32)
(33)

By defining
, we have the
following mixed-integer-program formulation for the dual of
the second-stage problem of :
JIANG et al.: ROBUST UNIT COMMITMENT WITH WIND POWER AND PUMPED STORAGE HYDRO 805

where is a linear function and the detailed

expression is shown in the Appendix. The feasibility of a given
can be tested as follows:
• If is feasible;
• If , generate a feasibility cut in form of (35) with

where is an optimal solution to , and add the cut

to .

C. Optimality Cuts
In the formulation , since we denote as the optimal value
of the second-stage problem, we should have .
Hence, suppose in the th iteration we solve and obtain
and . If we substitute into and after optimized we have
, then we can claim that is not optimal and add an
optimality cut in the form of (36) with

Fig. 1. Framework of the Benders’ decomposition algorithm.

Third, we solve the optimization problem

with
and fixed.
Finally, suppose that we sample wind power output sce-
narios, namely , then we get a statistical upper
bound

where , and make up an op-

timal solution to .

D. Algorithm Framework
We finish this section with the framework of our algorithm,
as shown in Fig. 1. We first solve without constraints
[(18), (19)] following the procedure described in previous Note that we use Monte Carlo sampling and make an assump-
Subsections A, B, and C, and obtain a robust unit commitment tion of the wind power output distribution only for obtaining an
schedule for the day-ahead market and a lower bound of the upper bound to verify the quality of our proposed solution ap-
optimal objective value. proach. In general, the distribution of the wind power output
Then, we obtain a statistical upper bound of the optimal ob- is not required to obtain the robust unit commitment decisions.
jective value by Monte Carlo sampling of various wind power Note also that constraints [(18), (19)] are considered in the sam-
output scenarios. We sample the wind power output as fol- pling procedure to obtain the statistical upper bound and guar-
lows. For each bus in period , we generate a random variable antee a feasible solution.
rv subject to uniform distribution over [0, 1], and assign
a) and , if ;
b) and , if ; IV. COMPUTATIONAL RESULT
c) and , otherwise. In this section, we present the numerical experiments of
If , we go back to the beginning of this the proposed algorithm on two data sets. First, we introduce a
step and regenerate rv; otherwise, we go to the next step. six-bus system as a case study, and apply the robust optimization
806
Fig. 2. Six-bus system.
TABLE I
GENERATOR DATA
TABLE II
FUEL DATA
approach to provide the operation of the small power grid. Be-
sides, we demonstrate the contribution of the pumped-storage
units to system robustness by comparing the solutions and
values for the cases with and without pumped-storage units.
Second, we apply both deterministic and robust optimization
approaches on a modified IEEE 118-bus system, and compare
their performance under the worst-case scenario for various
data settings. All the experiments are implemented using
CPLEX 12.1, at Intel Quad Core 2.40 GHz with 8 GB memory.
A. Six-Bus System
As shown in Fig. 2, the six-bus system includes four thermal
generators at , and , one wind farm at , one
pumped-storage unit at , and seven transmission lines. The
loads are deterministic with mean values 50 MW at , 80 MW
at , and 250 MW at . The characteristics of the generators
and transmission lines are described in Tables I–III.
For the pumped-storage unit, we assume
MW. Besides, we assume that the efficiency of the
pumped-storage unit is 0.8 on both absorbing and generating
electricity. For the wind farm, we assume that the budget of un-
certainty is 6. That is, we allow six time periods in which the
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 27, NO. 2, MAY 2012
TABLE III
TRANSMISSION LINE DATA
Fig. 3. Wind power output evolution over time.
Fig. 4. Worst-case scenario and water reserve level variation. Curve 1 depicts
the deterministic load; curve 2 depicts the forecasted net load, i.e., the difference
between the load and the forecasted wind power output; curve 3 depicts the
worst-case net load; curve 4 depicts the water reserve level.
wind power output is away from its forecasted value. Further,
the forecasted value and upper and lower limits of wind power
output in each period are shown in Fig. 3, which is provided
by the statistics from National Renewable Energy Laboratory
(NREL).
The robust optimal unit commitment decisions and
pumped-storage operations in the worst-case scenario of
the six-bus system are collected in Table IV. Since the wind
power output can be considered as negative system load, we
can define the net load in a time period as the difference of the
load and the wind power output in this period. If we depict the
net load under worst-case scenario and the corresponding water
reserve level as in Fig. 4, we observe that as time goes, starting
from period 10, is turned on due to net load increment.
We also observe that the pumped-storage absorbs power when
the net load is low (e.g., in periods 1 and 3–6) and generates
power when the net load is high (e.g., in periods 8, 9 and 24
JIANG et al.: ROBUST UNIT COMMITMENT WITH WIND POWER AND PUMPED STORAGE HYDRO 807

TABLE IV TABLE V
ROBUST OPTIMAL SOLUTION OF THE SIX-BUS COMPUTATIONAL RESULTS FOR AN IEEE 118-BUS SYSTEM UNDER
SYSTEM WITH PUMPED-STORAGE UNITS VARIOUS UNCERTAINTY LEVELS AND HYDRO CAPACITIES—OPTIMAL
VALUES AND WORST-CASE PERFORMANCE

TABLE VI
COMPUTATIONAL RESULTS FOR AN IEEE 118-BUS SYSTEM UNDER
VARIOUS UNCERTAINTY LEVELS AND HYDRO CAPACITIES—OPTIMALITY
GAPS, WORST-CASE VALUE GAPS, AND CPU TIME

to avoid putting online, and in periods 20 and 21 to avoid

putting online). With this observation, we can conclude
that the pumped-storage unit works as a power buffer for the
system, by charging/discharging in accordance with the net load
information. Then, we test the case without pumped-storage
units. For this case, as compared to the previous one with
pumped-storage units, the robust optimal solution turns on
from time periods 20 to 23, and extend the on status for
to periods 8, 9, and 24, in addition to the generator schedule
for the case with pumped-storage; the corresponding optimal
value is 111741.36. We can observe that in the case without
pumped-storage units, the system has to turn on more thermal
generators and for longer time to ensure the robustness, which
might incur larger generation costs and more greenhouse gas
emissions. In other words, the pumped-storage units can act
as substitutes of thermal generators on increasing the system or generate per period by its ratio over the average forecasted
robustness, and at the same time reduce greenhouse gas emis- wind power output. In other words, the pumped-storage unit be-
sions. comes more capable to absorb or generate power as the ratio
increases. Similar to , we allow the ratio to vary within the in-
B. Modified 118-Bus System terval [0, 0.5]. The computational results are shown in Tables V
and VI. In Table V, we provide the following lower and upper
A modified IEEE 118-bus system, based on the one given on- bounds:
line at motor.ece.iit.edu/data, is used to test the proposed algo- 1) Lower bound LB is obtained by applying the robust opti-
rithm. In this experiment, there are 118 buses, 33 thermal gen- mization approach to solve without constraints [(18),
erators, 186 transmission lines, 1 wind farm, and 1 pumped- (19)].
storage unit in the power grid and the time horizon is 24 hours. 2) Upper bound UB is a statistical upper bound obtained by
We assume that the forecasted wind power output follows the Monte Carlo simulation of the wind power output, as dis-
pattern illustrated in Fig. 3. cussed in Section III-D.
We first test the system performance under various uncer- 3) Upper bound WV represents the worst-case value, ob-
tainty levels and hydro capacities. We allow the budget of un- tained by evaluating the performance of the deterministic
certainty to vary within the interval [2, 10]. We measure the optimal solution under the worst-case scenario. In other
upper bound of electricity the pumped-storage units can absorb words, we first solve the deterministic problem, in which
808
TABLE VII
COMPUTATIONAL RESULTS FOR AN IEEE 118-BUS SYSTEM UNDER
VARIOUS WIND POWER PENETRATION LEVELS—OPTIMAL VALUES,
GAPS, AND WORST-CASE PERFORMANCE
the wind power output in each period is fixed at its fore-
casted value, and then generate random large size scenarios
of wind power output to obtain an upper bound as we did
in obtaining UB. In the experiments, we found that the
deterministic optimal solutions are infeasible to for
all the instances. This observation indicates that it would
be risky to overlook the uncertainty of wind power output
and totally rely on the forecasted values. To compare
the performance between these solutions, we introduce
a linear penalty function for any unsatisfied demand or
transmission capacity/ramp-rate limit violations, and the
unit penalty cost is set to be $7947/MWh.
Correspondingly, we calculate the following gaps based on the
lower and upper bounds:
1) %. It estimates the
optimality gap of the proposed algorithm.
2) %. It estimates the dif-
ference between the performance of the robust and deter-
ministic optimal solutions under the worst-case scenario,
when the linear penalty function is introduced in calcu-
lating WV.
In the experiments, we first observe that statistically our algo-
rithm provides a feasible solution for all instances with
and Ratio . Besides, the optimality gaps are
less than 0.1%, and the CPU times are less than one hour in all
the instances. This result demonstrates that our algorithm can
provide a solution that is very close to the optimal one within
a reasonable amount of time. In other words, it is sufficient to
apply our algorithm to solve large scale problems, and obtain
near-optimal solutions. Second, we observe that WV gap in-
creases with increasing and Ratio decreasing. This observa-
tion indicates that the deterministic optimal solution becomes
worse with the wind power output uncertainty increased and
the usage of pumped-storage units restricted. Hence, it becomes
even more valuable to emphasize the system robustness and the
usage of power buffer, such as the pumped-storage units in our
case, under such circumstances.
Then, we test the system performance under various wind
power penetration levels with fixed and hydro capacity
. Similar to the hydro capacity, we measure the
wind power penetration level by the ratio of the nominal wind
farm output over the forecasted value shown in Fig. 3. We allow
the ratio to run from 0.5 to 1.5 and display in Table VII the
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 27, NO. 2, MAY 2012
Fig. 5. Optimality gaps and worst-case performance under various wind power
penetration levels.
Fig. 6. Optimality gaps and worst-case performance under various transmis-
sion line capacities.
lower and upper bounds of the robust optimal value and the cor-
responding WV gaps under various penetration levels. In ad-
dition, we depict the gaps over different penetration levels in
Fig. 5. From the computational results, we first observe that our
algorithm provides tight lower and upper bounds, which make
LB a reasonable estimate of the robust optimal value. Second, by
comparing LB and WV over various wind penetration levels, we
observe that LB decreases slightly with wind power increasingly
penetrating into the power system, while WV gap grows signif-
icantly. This observation implies that RO methods can generate
reliable unit commitment schedules which are not only immune
against increasing wind power uncertainty, but also take advan-
tage of the low unit costs of wind power.
Finally, we test the instances with various transmission line
capacities with other parameters fixed (e.g., and the hydro
capacity ). Again, we measure the transmission line
capacity by its ratio over the actual value for the given 118-bus
system, and allow the ratio to run from 0.5 to 1.5. We report
the computational results in Table VIII and depict the gaps over
different capacities in Fig. 6. In Table VIII, we list the lower
and upper bounds of the robust optimal objective value and the
corresponding gaps under various transmission capacities. From
the computational results, we first notice that the problem be-
comes infeasible when the transmission line capacity is suffi-
ciently low (e.g., half of the actual value). Second, in view that
JIANG et al.: ROBUST UNIT COMMITMENT WITH WIND POWER AND PUMPED STORAGE HYDRO
TABLE VIII
COMPUTATIONAL RESULTS FOR AN IEEE 118-BUS SYSTEM UNDER
VARIOUS TRANSMISSION LINE CAPACITIES—OPTIMAL VALUES,
GAPS, AND WORST-CASE PERFORMANCE
the bounds we provide are tight, we observe that the robust op-
timal value decreases slightly with increasing transmission line
capacities while WV gap decreases dramatically. This indicates
that RO method is stable for varying transmission line capaci-
ties, while the nominal optimal solution is highly sensitive when
the capacities decrease.
V. CONCLUSION
In this paper, we developed an innovative approach that in-
cludes applying robust optimization concepts and incorporating
pumped-storage units to hedge wind power output uncertainty.
We provided an uncertainty set description that can capture the
wind power “ramp” events and our proposed approach can pro-
vide a robust optimal solution that minimizes the total cost under
the worst disturbance the wind power fluctuation can cause to
the system in the real time, while ensuring high utilization of
wind power. Meanwhile, this robust solution is feasible with a
high probability under wind power output uncertainty. In addi-
tion, by incorporating pumped storage hydro units in the real
time, our robust optimization model contains discrete decision
variables in both the first and second stage problems, and we
developed an algorithm framework that can derive tight lower
and upper bounds of the optimal objective value. Finally, our
computational results verify the tightness of the bounds and the
robustness of our solution under different simulation settings.
APPENDIX
DETAILED EXPRESSION OF AND
Let the decision variables be the dual vari-
ables for constraints (8), [(9)–(10)], (11), (12), (13), (14), (15),
and (20), respectively. Then, the objective function [i.e., ] [5] J. R. Birge and F. Louveaux, Introduction to Stochastic Program-
of the dual problem for
can be written as follows:
809
where is a linear function and it is equal
to
Following the similar procedure above for
with (20) not considered, we
have
.
ACKNOWLEDGMENT
The authors would like to thank the editor and reviewers for
their sincere suggestions on improving the quality of this paper.
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Ruiwei Jiang (S’11) received the B.S. degree in industrial engineering from Ts-
inghua University, Beijing, China, in 2009. He is currently pursuing the Ph.D.
degree in the Department of Industrial and Systems Engineering at the Univer-
sity of Florida, Gainsville, FL.
His research interests include stochastic optimization and power grid security
analysis.
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 27, NO. 2, MAY 2012
Jianhui Wang (M’07) received the Ph.D. degree in
electrical engineering from Illinois Institute of Tech-
nology, Chicago, in 2007.
Presently, he is a Computational Engineer with the
Decision and Information Sciences Division at Ar-
gonne National Laboratory, Argonne, IL.
Dr. Wang is the chair of the IEEE Power & Energy
Society (PES) power system operation methods
subcommittee and co-chair of an IEEE task force
on the integration of wind and solar power into
power system operations. He is an editor of the IEEE
TRANSACTIONS ON SMART GRID, a guest editor of a special issue on Electrifi-
cation of Transportation of the IEEE POWER AND ENERGY MAGAZINE, and a
guest editor of a special issue on Smart Grids, Renewable Energy Integration,
and Climate Change Mitigation—Future Electric Energy Systems of Applied
Energy. He is the technical program chair of the IEEE Innovative Smart Grid
Technologies conference 2012.
Yongpei Guan (M’10) received the B.S. degree in
mechanical engineering and the B.S. degree in eco-
nomic decision science from the Shanghai Jiaotong
University, Shanghai, China, in 1998, the M.S. de-
gree in industrial engineering and engineering man-
agement from the Hong Kong University of Science
and Technology, Hong Kong, China, in 2001, and the
Ph.D. degree in industrial and systems engineering
from the Georgia Institute of Technology, Atlanta,
GA, in 2005.
He is the director of the computational and sto-
chastic optimization lab at the University of Florida, Gainesville, FL. Presently,
his research interests include power grid security and energy policy analysis.