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# Modeling the Unit Commitment

## Problem with Uncertainty

Pablo A. Ruiz
Eugene Zak
C. Russ Philbrick
Kwok W. Cheung

## INFORMS Annual Meeting

Seattle, WA, Nov 7th, 2007
Motivation

##  Large scale, nonlinear systems

 Multi-period discrete decisions
 Uncertainty

## X Improved optimization and modeling capabilities

2 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Outline

## X Economic dispatch problem

X Sources of uncertainty

requirements

## X Summary and Work in Progress

3 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Unit Commitment Problem (UC)

## X Objective: select the generators to be used in

each hour of the period of study so as to
minimize the total operation costs

operating time

## X Time horizon: two days

4 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Economic Dispatch Problem

operation costs

## X Model is formulated so that all variables are

continuous

5 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Sources of Uncertainty

## X Departure from load forecast

 continuous
 predictable

X Unreliable equipment
 network and generation outages
 discrete events

## ⇒ The unit commitment decision needs to

be flexible and robust

6 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Models for

## L(t ) = l(t ) + ∆ (t ) load = forecast + error

∆ (t ) = φ ∆ (t − 1) + ε (t ) error auto-regression
∆ (1) = ε (1) initial error

## X Markov chain model for each generator’s

reliability
1–a
a on off

7 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
How to Deal with Uncertainty

## X Stochastic Programming with reserve

requirements (proposed)

8 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Reserve Requirements

## X Reserve is spare generating capacity to meet

uncertain demand or prepare for outages
X Requirements are chosen to
 meet minimum reliability levels,
 provide a trade-off between operating costs and
risks

X Requirements depend on
 generation unreliability

9 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Reserve Requirements

considered

## 8 The resulting policy may not be economically

efficient

10 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Stochastic Programming

## 9 Stochastic programming allows the explicit

modeling of the sources of uncertainty and of
the decision process

## 8 The computational cost of the decision

increases w.r.t. a deterministic formulation

## The objective function is the expected cost over

a few representative scenarios

11 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Stochastic Programming Formulation of the
UC Problem

X Two-stage decision:
Stage 1 Stage 2
study period

## commitment scenario dispatch time

decision realization decision

## X In the traditional stochastic approach,

 reserve requirements are dropped

##  feasibility is guaranteed by allowing load shedding at a

high cost

12 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Stochastic Programming with Reserve
Requirements (proposed)

## costs and solution efficiency

13 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Implementation and Test System

## XThe implementation is based on AREVA’s

e-terracommit (RSC) software, used by most
electricity market operators in the world

## XUtilizes AIMMS stochastic programming

capabilities, Ref. [6]

## XIEEE Reliability Test System, Ref. [7]

14 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Numerical Studies: Methodology

## 2. Solve the unit commitment problem for

various reserve levels

## 3. Assess the efficiency of the different UC

decisions using Monte-Carlo simulation:

##  sample load and/or generation state and solve for

production levels with fixed commitment

15 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Impacts of Generation Unreliability

## expected cost reduction: 2.3%

(error: 0.3%)
16 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Impacts of Generation Unreliability:
Conclusions

## XA proper combination of stochastic

to superior solutions

## XThe range of reasonable reserve

requirements is enlarged with a stochastic
model

## XOptimal reserve requirements are reduced

17 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung

## expected cost reduction: 0.3%

(error: 0.02%)
18 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
Summary and Work in Progress

## X We have described different approaches for

dealing with uncertainty in the UC decision

## X Stochastic Unit Commitment with reserve

requirements yields the lowest expected
costs of operation

## X Work in progress and future work:

wind generation uncertainty

19 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
References

## [1] A. J. Wood and B. F. Wollenberg, Power Generation, Operation and

Control, 2nd ed., John Wiley & Sons, New York, NY, 1996.
[2] L. L. Garver, “Power generation scheduling by integer programming
– development of theory,” IEEE Transactions on Power Apparatus
and Systems, vol. PAS-81, Feb 1963, pp. 730 – 735.
[3] R. Wiebking, “Stochastische Modelle zur optimalen Lastverteilung
in einem Kraftwerksverbund,” Mathematical Methods of Operations
Research, vol. 21, no. 6, Dec 1977, pp. B197 – B217.
[4] P. Carpentier, et al., “Stochastic optimization of unit commitment: a
new decomposition method,” IEEE Transactions on Power Systems,
vol. 11, no. 2, May 1996, pp. 1067 – 1073.

20 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung
References

## [5] M. Nowak, R. Schultz and M. Westphalen, “A stochastic integer

into hydro-thermal unit commitment,” Optimization and Engineering,
vol. 6, no. 2, June 2005, pp. 163 – 176.
[6] J. Bisschop and M. Roelofs, AIMMS The Language Reference,
Paragon Decision Technology B.V., Haarlem, The Netherlands, 2007,
[online] http://www.aimms.com.
[7] Reliability Test System Task Force, “The IEEE Reliability Test
System – 1996,” IEEE Transactions on Power Systems, vol. 14, Aug
1999, pp. 1010 – 1020.

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Contact Information

## Pablo A. Ruiz paruiz@ieee.org

Eugene Zak eugene.zak@areva-td.com
C. Russ Philbrick russ.philbrick@areva-td.com
Kwok W. Cheung kwok.cheung@areva-td.com

22 > Modeling the Unit Commitment Problem with Uncertainty – Nov 7, 2007 – P. A. Ruiz, E. Zak, C. R. Philbrick and K. W. Cheung