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Pablo A. Ruiz

Eugene Zak

C. Russ Philbrick

Kwok W. Cheung

Seattle, WA, Nov 7th, 2007

Motivation

Multi-period discrete decisions

Uncertainty

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 Sources of uncertainty

requirements

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)

each hour of the period of study so as to

minimize the total operation costs

operating time

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

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

continuous

predictable

X Unreliable equipment

network and generation outages

discrete events

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

Stochastic Load and Generation Availability

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

∆ (1) = ε (1) initial error

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

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

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

weather dependency of load,

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

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

modeling of the sources of uncertainty and of

the decision process

increases w.r.t. a deterministic formulation

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

decision realization decision

reserve requirements are dropped

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)

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

e-terracommit (RSC) software, used by most

electricity market operators in the world

capabilities, Ref. [6]

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

various reserve levels

decisions using Monte-Carlo simulation:

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

(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

programming and reserve requirements leads

to superior solutions

requirements is enlarged with a stochastic

model

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

Impacts of Load Uncertainty

(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

dealing with uncertainty in the UC decision

requirements yields the lowest expected

costs of operation

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

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

programming model for incorporating day-ahead trading of electricity

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.

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

Contact Information

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

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