1260 IEEE TRANSACTIONS ON SUSTAINABLE ENERGY, VOL. 8, NO.

3, JULY 2017

Day-Ahead Self-Scheduling of a
Transmission-Constrained GenCo With Variable
Generation Units Using the Incomplete
Market Information
Yahya Kabiri Renani, Mehdi Ehsan, and Mohammad Shahidehpour, Fellow, IEEE

Abstract—In this paper, a self-generation scheduling method kjmmin Lower bound of the bidding strategy of unit m of
for a power generation company (GenCo) with renewable genera- GenCo j.
tion units is presented. In the proposed method, locational market
prices (LMPs) are calculated using the incomplete information on Ns Number of scenarios.
competing market participants by simulating the ISO’s market Pjmmax Maximum generation power limit of mth unit of
clearing program and considering the effect of physical limitations GenCo j at hour t.
of transmission lines. The errors associated with forecasted LMP Pjmmin Minimum generation power limit of mth unit of
and renewable production are modeled in the GenCo’s generation GenCo j at hour t.
scheduling using a robust optimization approach. The scheduling
problem is modeled as a mixed-integer linear programming which P̄jrmen,t. Forecasted renewable production of mth unit of
is solved by a CPLEX solver in GAMS. An eight-bus system is em- GenCo j at hour t.
ployed to illustrate the applications of the proposed method. The P̂jrmen,t. Maximum possible deviation of uncertain production
numerical results show the efficiency of proposed method to reduce of mth unit of GenCo j at hour t.
the GenCo’s financial risks pertaining to uncertain parameters in prs Probability of scenario s.
a competitive electricity market.
R1j m Risk aversion index associated with error on day-
Index Terms—GenCo’s self-generation scheduling, renewables, ahead LMP for mth unit of GenCo j.
forecast errors, transmission constraints, incomplete information. R2j m Risk aversion index associated with forecast error on
the production of renewable resource of mth unit of
NOMENCLATURE
GenCo j.
Indices: sdcj m Shut-down cost of mth unit of GenCo j.
d Index for demand. succold
jm Cold start-up cost of mth unit of GenCo j.
g Index for generation. suchot Hot start-up cost of mth unit of GenCo j.
jm
i Index for iteration. tcold Minimum down time of mth unit of GenCo j that lead
jm
j Index for GenCos. cold start.
l Index for transmission lines. Uj Number of generation units of GenCoj.
m Index for generation units of GenCos. XJ K Reactance of line l between bus J and K.
s Index for scenarios. α Constant value to control the iteration step of kj m .
t Index for hour. π̄j m ,t Forecasted day-ahead LMP for mth unit of GenCo j
Parameters: at hour t.
Flm ax Upper flow limits on line l. π̂j m ,t Maximum possible deviation of uncertain price for
kjmmax Upper bound of the bidding strategy of unit m of mth unit of GenCo j at hour t.
GenCo j. Variables:
Manuscript received August 18, 2016; revised December 1, 2016; accepted ERj Expected payoff of GenCo j.
February 15, 2017. Date of publication February 23, 2017; date of current DTj m ,t Down time of mth unit of GenCo j at hour t.
version June 17, 2017. Paper no. TSTE-00590-2016. Fl,t Power flow on line l at hour t.
Y. Kabiri Renani and M. Ehsan are with the Center of Excellence in Man-
agement and Control of Power System, Department of Electrical Engineer- Ij m ,t Binary variable that indicate on-off state of mth unit
ing, Sharif University of Technology, Tehran 11365-11155, Iran (e-mail: of GenCo j at hour t.
kabiri_yahya@ee.sharif.edu; ehsan@sharif.edu). kj m Bidding strategy of unit m of GenCo j.
M. Shahidehpour is with the Robert W. Galvin Center for Electricity In-
novation, Illinois Institute of Technology, Chicago, IL 60616 USA (e-mail: LM Pj m Locational marginal price for mth unit of GenCo j
ms@iit.edu). OCjRmen,t. Operation cost of renewable resources of mth unit of
Color versions of one or more of the figures in this paper are available online GenCo j at hour t.
at http://ieeexplore.ieee.org.
Digital Object Identifier 10.1109/TSTE.2017.2672690 OF Objective function.

1949-3029 © 2017 IEEE. Personal use is permitted, but republication/redistribution requires IEEE permission.
See http://www.ieee.org/publications standards/publications/rights/index.html for more information.

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KABIRI RENANI et al.: DAY-AHEAD SELF-SCHEDULING OF A TRANSMISSION-CONSTRAINED GENCO 1261

Pj m ,t Scheduled output power of mth unit of GenCo j at characteristics. The GenCos would consider a probability den-
hour t. sity function for day-ahead LMPs in order to model LMP fore-
Pjrmen,t. Scheduled output power of renewable resources of cast errors for devising bidding strategies. In [6], the formu-
mth unit of GenCo j at hour t. lation of the price-based unit commitment (PBUC) problem
RC Robust Component. for a GenCo with thermal, combined-cycle, cascaded-hydro,
SDj m ,t Binary variable that indicate shut down of mth unit and pumped-storage units was presented. The hourly PBUC
of GenCo j at hour t. solution was based on the mixed-integer programming (MIP)
SDCj m ,t Shut-down cost of mth unit of GenCo j at hour t. method. The paper exhibited the MIP efficiency with enhanced
SUj m ,t Binary variable that indicate startup of mth unit of modeling capabilities to achieve a globally optimal PBUC so-
GenCo j at hour t. lution as compared with Lagrangian relaxation method (LRM).
SU Cj m ,t Start-up cost of mth unit of GenCo j at hour t. In [7], a mixed-integer linear programming (MILP) approach
T Cj Total cost of GenCo j. was proposed to maximize the thermal unit generation payoff
θJ,t Voltage angle of starting bus of transmission line l for trading energy and spinning reserves with electricity mar-
at hour t. kets. A perfect market competition was assumed and forecasted
θK ,t Voltage angle of ending bus of transmission line l hourly LMPs were used for the day-ahead market. Reference
at hour t. [8] addressed the day-ahead thermal generation scheduling as a
λ1j m ,t Dual variables associated with (17). multi-objective optimization problem which considered opera-
λ2j m ,t Dual variables associated with (18). tion and emission costs as well as the power system reliability.
μ1j m Dual variables associated with (15). In recent years, renewable energy resources have played a
μ2j m Dual variables associated with (16). critical role in the variability of a typical GenCo’s hourly gen-
πj m ,t Uncertain LMP for mth unit of GenCo j at eration profile [9], [10]. The day-ahead forecast errors for the
hour t. availability and the price of variable generation assets would
ω1j m ,t Variable between 0 and 1 to model the LMP vio- have a significant effect on a GenCo’s hourly scheduling and
lation. payoff. So, it is imperative for a GenCo to minimize its fi-
ω2j m .t Variable between 0 and 1 to model the violation nancial risk by modeling the potential uncertainty pertaining
of renewable resources production from forecasted to generation and transmission resources when the generation
value. self-scheduling is considered.
Matrix and vectors: There are several numerical techniques in the literature for
considering power system uncertainties. Some of these tech-
B Susceptance matrix. niques require a probability density function (PDF) or member-
Pd /Pg Vector of bus load/generation. ship function (MF) for applying probabilistic and possibilistic
θ Vector of bus voltage angles. approaches. The authors in [11] used fuzzy sets for representing
forecast errors of hourly loads, available water, wind speed, and
I. INTRODUCTION
solar irradiation in hourly generation scheduling. In [8], uncer-
N RESTRUCTURED power systems, hourly market prices
I determine the commitment status and the amount of a
GenCo’s generation resources that could be made available to
tainties associated with generation unit outages and load forecast
errors were considered for managing reliability indices such as
loss-of-load-probability (LOLP) and expected-unserved-energy
the electricity market [1]. So, an accurate price forecasting by a (EUE). Others utilized various battery scheduling methods for
GenCo can play an important role in a GenCos’ self-scheduling managing a GenCo’s self-scheduling [12].
considering volatile and uncertain resources in electricity mar- The robust optimization approach uses intervals for repre-
kets [2]. However, the incomplete information available to mar- senting uncertain parameters while the information gap decision
ket participants corresponding to the hourly locational marginal making theory (IGDT) uses forecasted data to find maximum
prices (LMPs) of electricity, power network constraints and ran- deviations of uncertain parameters that would guarantee specific
dom outages of generation facilities and transmission network, values for objective functions [13]. Authors of [14]–[16] applied
availability of variable resources, and opponents’ bidding strate- robust optimization to the hourly unit commitment problem. In
gies could have a major impact on a GenCo’s financial risk [17], [18], IGDT was used to represent prevailing forecast errors
evaluation. in a GenCo’s self-scheduling.
A GenCo can maximize its payoff by estimating its oppo- This paper proposes a GenCo’s self-scheduling method in
nents’ bidding strategies and utilizing the incomplete infor- which individual GenCos forecast the hourly LMPs by simu-
mation to forecast LMPs in a competitive market [3], [4]. lating the ISO’s market clearing process. The transmission line
Accordingly, GenCos can self-schedule their local genera- outages as well as the variability of renewable resources are also
tion resources using forecasted LMPs, determine their opti- considered in the LMP calculation. In our study, we do not con-
mal schedule for supplying local demands, and submit their sider PDFs for representing uncertain parameters. Rather, the
offers to the ISO who will collect all market data and use a robust optimization method is utilized to maximize a GenCo’s
complete information strategy to clear the day-ahead electricity payoff considering an interval for the variability of renewable
market. unit production and hourly LMPs.
The authors in [5] investigated a bidding strategy for In the first iteration, GenCos use the ISO’s historical LMPs
price-taking GenCos which was based on generation unit to schedule their generation resources. Then, the GenCo uses

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1262 IEEE TRANSACTIONS ON SUSTAINABLE ENERGY, VOL. 8, NO. 3, JULY 2017

an incomplete set of information on competing market partici- Subject to:

pants to calculate hourly LMPs by simulating the ISO’s market  cold
sucj m ; if DTj m ,t > tcold
clearing program. The simulation considers forecast errors for SU Cj m ,t = jm
(3)
j m ; if DTj m ,t < tj m
suchot cold
the hourly LMPs and variable renewable energy. The GenCos
apply the LMPs to calculate the new self-schedules. The iter- SDCj m ,t = SDj m ,t . sdcj m (4)
ative process between the GenCo and the simulated ISO will
continue until the final LMPs and the GenCo’s self-schedule are Pjmmin ≤ Pj m ,t ≤ Pjmmax (5)
calculated. The final self-schedule will be submitted as an offer SDj m ,t + SUj m ,t ≤ 1 (6)
to the ISO’s day-ahead market.
The rest of the paper is organized as follows. The GenCo’s Ij m ,t = Ij m ,t−1 + SUj m ,t − SDj m ,t (7)
scheduling is formulated in Section II. Section III presents and
analyses the simulation results. The derived conclusion from B. Case 2 - GenCo’s Self-Scheduling Considering
this study is provided in Section IV. Forecast Errors
We model the GenCo’s payoff optimization using the robust
optimization method in which forecast errors associated with
II. FORMULATION OF GENCO’S STRATEGIC PROBLEM hourly LMP and variable renewable energy are considered. The
The formulation of the GenCo’s self-scheduling problem is forecast errors are represented by an interval without applying
developed considering the following cases: any probability distributions. The worst case is considered in
the robust optimization in which the optimal solution is robust
against forecast error variations (i.e., self-scheduling will reside
Case 1: GenCo’s self-generation scheduling by disregarding the
in an optimal region with a high probability [19], [13]). Consider
forecast errors of hourly LMPs and variable renewable energy.
that forecast errors are expressed as:
This assumption could result in a lower GenCo’s payoff.
Case 2: Same as Case 1 for LMP calculations, except forecast πj m ,t ∈ {πj m ,t | |πj m ,t − π̄j m ,t | ≤ π̂j m ,t } (8)
errors are now considered. This case, as we consider forecast    
errors, will culminate in more practical results than those Pjrmen,t. ∈ Pjrmen,t. | Pjrmen,t. − P̄jrmen,t.  ≤ P̂jrmen,t. (9)
presented in Case 1.
where πj m ,t , π̄j m ,t , π̂j m ,t are LMP forecast, mean forecast
Case 3: Same as Case 2, except the ISO’s market clearing pro-
value, and the maximum forecast error at hour t, respectively,
cess is also simulated by a GenCo for LMP calculations, us-
which correspond with Pjrmen,t. , P̄jrmen,t. , P̂jrmen,t. . Since uncertain
ing the incomplete information on other GenCos. An iterative
parameters stated in (8) and (9) can be altered in an interval,
process between GenCo and the simulated ISO will be con-
the payoff optimization problem is formulated as (1) subject to
sidered to determine the GenCo’s bidding strategy using the
(2)–(9).
incomplete information, forecast errors, and the variability of
We linearize the optimization problem using a commercial
wind energy.
programming tool such as GAMS. So, the objective function
(1) is linearized using the first order Taylor series around the
In the following, the LMP solutions are formulated for the forecasted values, which is rewritten as:
above cases. 24 
 Uj
max OF = πj m ,t .Pj m ,t + π̄j m ,t .P̄jrmen,t.
P j m ,I j m
t=1 m =1
A. Case 1 - GenCo’s Scheduling Without Considering  
Forecast Errors + π̄j m ,t . Pjrmen,t. − P̄jrmen,t. + P̄jrmen,t. . (πj m ,t − π̄j m ,t ) − T Cj
(10)
The GenCo’s scheduling is modeled as an optimization
problem for maximizing the GenCo’s day-ahead payoff. The Subject to (2)–(9).
corresponding payoff is defined as GenCo’s market revenue Here, a positive robust component (RC) is defined in (11) for
minus its self-generation generation cost. The GenCo’s gener- representing GenCo’s forecast errors:
ation cost includes fuel and startup/shutdown costs as stated 24 
 Uj
 
below: RC = ω1j m ,t .π̂j m ,t . Pj m ,t + P̄jrmen,t.
t=1 m =1
24 
 Uj

  + ω2j m .t . P̂jrmen,t. . π̄j m ,t (11)

max OF = π̄j m ,t . Pj m ,t + P̄jrmen,t. − T Cj
P j m , t ,I j m , t
t=1 m =1 where ω1j m ,t and ω2j m ,t are positive variables that are less
(1) than 1.
24  The maximized RC is subtracted from OF to represent
 Uj
 
T Cj = Ij m ,t . aj m Pj m ,t 2 + bj m Pj m ,t + cj m the worst case forecast error. So, the GenCo’s self-generation
t=1 m =1 scheduling problem is expressed as:
+ SU Cj m ,t + SDCj m ,t + OCjRmen,t. (2) max Z (12)
P j m , t ,I j m , t

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KABIRI RENANI et al.: DAY-AHEAD SELF-SCHEDULING OF A TRANSMISSION-CONSTRAINED GENCO 1263

Subject to: C. Case 3 - GenCo’s Simulation of the ISO’s Market Clearing

24 
 Uj A GenCo would simulate the ISO for calculating the LMPs
 
Z≤ π̄j m,t . Pj m,t + P̄jrm,t
en .
− T Cj − max RC ahead of its self-scheduling. In this process of simulating the
ω 1 j m , t ,ω 2 j m , t
t=1 m =1 ISO, the GenCo does not have the complete information on
(13) other GenCos’ offers. In this case, we model the GenCo’s
Equations (2)–(7) self-scheduling problem as an incomplete game to analyze

ω1j m ,t ≤ R1j m (14) the opponents’ offers in a competitive market [20]. To solve
t the GenCo’s incomplete game problem, the opponents’ un-
 known information is modeled using certain types of opera-
ω2j m,t ≤ R2j m (15) tion scenarios corresponding to cost functions. GenCo’s op-
t
ponents are selected from hypothetical populations containing
0 ≤ ω1j m ,t ≤ 1 (16) opponents’ types which linked by joint probability distribu-
tion functions [21], [22]. In each scenario, LM Pj m,s repre-
0 ≤ ω2j m,t ≤ 1 (17)
sents a dual variable in the following optimal power flow (OPF)
Equation (12) shows a bi-level optimization problem. The problem [23]:
inner optimization is defined as linear programming. So, using
 
Ng Uj 24
the duality principle for the lower-level optimization, one can 
convert the bi-level problem to a single optimization problem. min [Ij m,t,s . aj m,s Pj m,t,s 2
j =1 m =1 t=1
Because of the convexity of proposed linear functions, the du-
ality gap is zero and the primal solution is the same as that of + bj m,s Pj m,t,s + cj m,s )
dual.
The lower-level optimization problem with its dual form is + SU Cj m,t,s + SDCj m,t,s + OCjRm,t,s
en .
] (24)
stated as:
Subject to (3)–(7) and:
max RC (18)
ω 1 j m , t ,ω 2 j m , t
B.θs = Pg,s − Pd (25)
Subject to: (14)–(17).
(θJ,t,s − θK ,t,s )
Considering the dual variables μ1j m , μ2j m , λ1j m,t , λ2j m,t for Fl,t,s = , ∀l = 1, 2, ..., Nl (26)
(14)–(17), respectively, the dual problem is defined as: XJ K
⎧ Uj ⎫ |Fl,t,s | ≤ Flm ax , ∀ l = 1, 2, . . . , Nl (27)
⎪  ⎪
⎪
⎨ (μ1j m . R1j m + μ2j m . R2j m )⎪
⎬
=1 Pjmmin ≤ Pj m,t,s ≤ Pjmmax
min m
μ 1 j m ,μ 2 j m ,λ1 j m , t , λ2 j m , t ⎪
⎪ 24 
Uj ⎪
⎪
⎩+ (λ1j m,t + λ2j m,t ) ⎭ j = 1, 2, . . . , Ng , m = 1, 2, . . . . (28)
t=1 m =1
(19) Here, the GenCo maximizes its expected day-ahead payoff.
Subject to: The incomplete offer information pertaining to the GenCo’s op-
 
λ1j m,t + μ1j m ≥ π̂j m,t . Pj m,t + P̄jrm,t
en .
(20) ponents is modeled considering Ns possible scenarios associated
with opponents’ types, each with its corresponding probability
λ2j m,t + μ2j m ≥ P̂jrm,t
en .
. π̄j,t (21) prs . Therefore, the forecasted LMP used in (23) is replaced
The corresponding dual of RC is a minimization problem with the LM Pj m,s . So, by considering all possible scenarios
which is subtracted from the upper-level objective function. and their joint probabilities, the self-scheduling of GenCoj is
Accordingly, the optimal self-scheduling problem is formulated formulated as follow:
as:
max Z (29)
P j m , t , s ,I j m , t , s ,μ 1 j m , s ,μ 2 j m , s ,λ1 j m , t , s ,λ2 j m , t , s
max Z (22)
P j m , t ,I j m , t ,μ 1 j m ,μ 2 j m ,λ1 j m , t ,λ2 j m , t
Subject to:
Subject to: ⎡ ⎤
24  
24 
Uj  
 Uj
  ⎢ LM Pj m,s . Pj m,t,s + P̄j m,t,s ⎥
r en .
Z≤ π̄j m,t . Pj m,t + P̄jrm,t
en .
⎢t=1 m =1 ⎥

N ⎢ ⎥
⎢ 
s
t=1 m =1
Uj
⎥
Z≤ prs . ⎢− (μ1j m,s . R1j m,s + μ2j m,s . R2j m,s )⎥

Uj ⎢ m =1 ⎥
s=1 ⎢ 24 U j ⎥
− (μ1j m .R1j m + μ2j m .R2j m ) ⎣   ⎦
m =1 − (λ1j m,t,s + λ2j m,t,s ) − T Cj,s
t=1 m =1
24 
 Uj
(30)
− (λ1j m,t + λ2j m,t ) − T Cj (23) and (2)–(7), (20)–(21) for each scenario.
t=1 m =1 Accordingly, the GenCo calculates the ISO’s expected LMPs
Equations (2)–(7) and (20)–(21). and expected hourly production of its generating units as well

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1264 IEEE TRANSACTIONS ON SUSTAINABLE ENERGY, VOL. 8, NO. 3, JULY 2017

Fig. 2. The 8-bus network.

TABLE I
GENERATION UNIT INFORMATION

Generation units Cost coefficient of generator P m i n (MW) P m a x (MW)

Fig. 1. GenCo’s self-scheduling with variable generation units and incomplete
information. a ($/MW2 h) b ($/MWh) C ($/h)

G1 Wind turbine 0 15
G2 0.13595 25.62 15.73 2.2 22
as its expected payoff as: G3 0.12526 26.39038 12.52 1.8 18
G4 0.18169 24.30912 25.28 2 20

Ns G5 0.10800 26.09650 14 2.5 25
LM Pj m = prs . LM Pj m,s (31) G6 0.09855 24.94 24.20 3 30
G7 0.08945 25.06 18.15 3.5 35
s=1


Ns
Pj m,t = prs . Pj m,t,s (32) TABLE II
INFORMATION ON START-UP AND SHUT DOWN COST OF THERMAL UNITS
s=1


Ns
Thermal units S U C c o l d ($) S U C h o t ($) SDC ($)
ERj = prs .
s=1 G2 910 6.5 6.7
⎡ ⎤ G3 8.5 5.8 61
24 
Uj G4 18.2 12.1 70
⎣ LM Pj m,s . (Pj m,t,s +P j m,t,s ) − T Cj,s⎦
r en .
G5 12.5 9.2 85
G6 15 10 72.5
t=1 m =1
G7 11.8 8 7.2
(33)
The proposed algorithm for the GenCo’s self-scheduling is
shown in Fig. 1. First, GenCo submits its offer based on the iteration as follows:
ISO’s historical LMP data and calculates opponents’ offers by
∂ERj
selecting each opponent’s type. kjnmew = kjold
m + .α (34)
In each iteration, the simulated ISO clears the energy market ∂kjold
m
based on the GenCos’ submitted offers. The GenCo will then
kjmmin ≤ kj m ≤ kjmmax (35)
recalculate its offers based on the simulated ISO’s market clear-
ing results. In a fully competitive electricity market, bidding at
marginal cost is the best strategy for each market participant III. GENCO’S SIMULATION RESULTS
to maximize its revenue. However, practical electricity markets The 8-bus network shown in Fig. 2 is used to examine the
are imperfect and some GenCos may exercise market power. In proposed GenCo’s self-scheduling method. This network has
such cases, GenCos submit strategic offers to maximize their six thermal and one renewable generation units. In our study,
payoff. In strategic bidding, each GenCo devises a proper strat- we assumed a fully competitive market. The information on gen-
egy by bidding lower or higher than or the same as its marginal eration unit cost is presented in Table I (fuel cost of renewable
cost to maximize its payoff. units is negligible). The information on startup cost (SUC) and
To consider a strategic bidding, GenCos submit offers as a shutdown cost (SDC) of generation units are shown in Table II.
function of their marginal costs [21]. Accordingly, the bidding The network has 11 transmission lines as shown in Table III.
strategy of unit m of GenCo j (kj m ) will be updated in each We assume 5 GenCos shown in Table IV submit offers at their

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KABIRI RENANI et al.: DAY-AHEAD SELF-SCHEDULING OF A TRANSMISSION-CONSTRAINED GENCO 1265

TABLE III
INFORMATION ON TRANSMISSION LINES

Line From Bus To Bus Reactance (p.u.) Limit (MW)

1 1 2 0.03 15
2 1 4 0.03 10
3 1 5 0.01 10
4 2 3 0.01 15
5 3 4 0.03 15
6 4 5 0.03 15
7 5 6 0.02 5
8 6 1 0.03 5
9 7 4 0.01 15
10 7 8 0.02 25
11 8 3 0.02 10

Fig. 3. LMPs at generation buses (all forecast errors are considered).

TABLE IV
GENCOS’ GENERATION UNITS

GenCo 1 2 3 4 5

Units G1 , G2 , G7 , G3 G4 G5 G6

TABLE V
FORECASTED LOAD AND RENEWABLE GENERATION IN MW

t L1 L2 L3 L4 L6 P̄ r e n .

1 11.9 8.7 12.2 14.6 23.0 7

2 12.2 8.9 10.8 16.2 21.6 1
3 14.6 10.7 11.9 17.6 21.1 6
4 16.2 11.9 12.2 18.9 20.3 9
5 17.6 12.9 14.6 20.3 18.9 2
6 18.9 13.9 16.2 21.1 17.6 1
7 20.3 14.9 17.6 21.6 16.2 0
Fig. 4. LMPs at generation buses (only LMP error considered).
8 21.1 15.4 18.9 23.0 14.9 1
9 21.6 15.8 20.3 24.3 13.5 3
10 23.0 16.8 21.1 25.7 11.9 9
11 24.3 17.8 21.6 27.0 12.2 5 those shown in Table I. The type coefficients are 1.03 times for
12 25.7 18.8 23.0 25.7 14.6 10
13 27.0 19.8 24.3 24.3 16.2 2 type 2 and 0.97 times for type 3. Considering additional types
14 25.7 18.8 25.7 21.6 17.6 9 of opponents could improve the accuracy of our results but the
15 24.3 17.8 27.0 20.3 18.9 10 simulation could take longer.
16 21.6 15.8 25.7 18.9 20.3 6
17 20.3 14.9 24.3 17.6 21.1 1 The iterative process shown in Fig. 1 will be repeated un-
18 18.9 13.9 21.6 16.2 21.6 6 til the difference between calculated LMPs in two consecutive
19 17.6 12.9 20.3 14.9 23.0 7 iterations is small. The simulation results are presented with
20 16.2 11.9 18.9 13.5 24.3 3
21 14.9 10.9 17.6 13.0 25.7 4 and without considering the uncertainty associated with LMP
22 13.5 9.9 16.2 12.2 27.0 10 and renewable production forecast errors in a GenCo’s self-
23 13.0 9.5 14.9 13.5 25.7 1 scheduling in order to discuss the performance of the proposed
24 12.2 8.9 13.5 14.3 24.3 7
robust optimization method.
The calculated LMPs for the day-ahead are shown in
marginal costs (given in Table I). The GenCo’s day-ahead fore- Figs. 3–6. We update the LMPs by applying a moderately small
casts for system load and renewable generation are presented step size in each iteration, which will result in a convergent LMP
in Table V. The maximum possible forecast errors are 5% for solution. The transmission congestion causes the calculated bus
LMP and 10% for renewable energy. LMPs to vary. Here, the LMP at bus 3 is high because of the
The simulation assumes GenCo1 utilizes the incomplete in- congestion on line 1 that would limit the flow between buses
formation on its opponents. GenCo1 has 4 opponents whose 2 and 3. Therefore, the load in bus 3 is supplied by expensive
incomplete information is modeled by applying 3 types for each generating units, which increases the bus LMP. The low cost
opponent of GenCo1 in order to transform the incomplete in- wind production would significantly reduce the average gener-
formation game to a complete information game [20]–[22]. Ac- ation cost at bus 1. However, the congestion on line 2 would
cordingly, there are 34 = 81 scenarios with equal probabilities limit the flow of low cost wind generation. Therefore, LMPs at
considering all combinations of opponents’ types. The genera- buses 3, 4 and 7 are increased and those at buses 1, 5, and 6 are
tion cost coefficients of thermal units for type 1 are the same as decreased.

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1266 IEEE TRANSACTIONS ON SUSTAINABLE ENERGY, VOL. 8, NO. 3, JULY 2017

TABLE VII
GENCOS’ EXPECTED GENERATION WITH TRANSMISSION LIMITS (ALL
FORECAST ERRORS CONSIDERED)

R Expected generation (MWh)

GenCo1 GenCo2 GenCo3 GenCo4 GenCo5

0% 940.0 322.0 211.8 251.7 434.3

10% 956.0 321.9 202.9 245.4 433.0
20% 933.7 321.7 213.2 253.8 437.0
30% 930.9 321.3 213.6 254.6 439.0
40% 943.9 306.3 230.3 248.6 430.2
50% 930.0 306.6 231.8 256.2 434.7
60% 939.9 307.6 243.0 273.8 394.8
70% 907.6 316.7 249.5 285.2 400.1
Fig. 5. LMPs (only renewable production forecast error considered). 80% 915.8 304.7 278.9 247.2 412.2
90% 912.0 302.7 284.1 251.3 408.6
100% 926.0 306.1 253.0 262.9 411.2

TABLE VIII
GENCOS’ EXPECTED PAYOFFS WITH TRANSMISSION LIMITS (LMP FORECAST
ERROR CONSIDERED)

R Total supply cost ($) Expected payoff ($)

GenCo1 GenCo2 GenCo3 GenCo4 GenCo5

10% 61212.5 5170.0 648.3 228.4 269.6 690.3

20% 61233.5 4995.7 599.1 196.4 230.4 624.5
30% 61235.2 4849.0 535.0 150.9 190.2 555.3
40% 61245.8 4709.5 486.2 144.4 146.5 484.9
50% 61249.8 4565.0 439.6 110.3 111.4 420.4
Fig. 6. LMPs at generation buses (without considering uncertainty).
60% 61282.9 4471.4 412.3 103.9 83.4 333.9
TABLE VI 70% 61308.0 4499.1 499.8 135.2 75.0 312.7
EXPECTED PAYOFF OF GENCOS WITH TRANSMISSION LIMITS (ALL FORECAST 80% 61323.6 4414.6 493.5 137.9 47.3 263.0
ERRORS CONSIDERED) 90% 61398.6 4329.5 458.4 185.8 3.1 232.0
100% 61427.6 4344.8 434.8 190.7 24.6 243.3

R Total supply cost ($) Expected payoff ($)

and the total supply cost are $4313.7, 930 MWh and $61429
GenCo1 GenCo2 GenCo3 GenCo4 GenCo5
respectively. As R is further increased to 100%, the expected
0% 61196.1 5330.0 696.7 288.8 323.7 769.9 payoff, total generation of GenCo1 and the total supply cost are
10% 61246.0 5104.5 648.3 224.3 270.1 693.2 $4022.7, 926 MWh, $61761, respectively. Here, a higher R cor-
20% 61305.1 4869.8 592.9 200.8 239.3 636.5
30% 61344.1 4667.9 529.4 153.3 198.3 569.8 relates with a higher uncertainty and a higher total generation
40% 61368.8 4513.8 504.6 151.6 152.5 494.1 cost. Accordingly, the ISO’s total cost to supply loads will be
50% 61429.0 4313.7 466.9 119.7 114.5 425.7 higher. Considering a larger R in the GenCo’s self-scheduling
60% 61498.3 4172.3 419.8 107.8 86.2 338.3
70% 61608.7 4065.2 423.7 109.4 57.6 292.8 method is equivalent to reducing the GenCo’s financial risk
80% 61698.2 3973.7 392.3 156.7 17.1 262.7 due to uncertainty and increasing the robustness of the self-
90% 61720.3 3984.4 455.8 187.8 9.9 237.8 scheduling. Therefore, a risk averse GenCo considers a larger
100% 61761.0 4022.7 465.4 196.9 33.9 255.8
R (higher level of uncertainty) in its self-scheduling which can
affect its bidding strategy and the market clearing price calcu-
The inclusion of forecast errors would increase the generation lation. A less risk GenCo will impose a higher supply cost on
cost of GenCo1 and result in higher LMPs. In our example, the ISO.
renewable unit size is rather small, so the effect of renewable Tables VIII and IX, and X and XI show the simulation results
production forecast errors on LMPs is minute as compared with where LMP forecast errors and renewable production forecast
that of LMP forecast. errors are considered, respectively. For the maximum R, the
Tables VI and VII show the GenCos’ expected generation expected payoff, total generation of GenCo1 and the total supply
schedule, considering forecast errors associated with LMPs and cost are $4344.8, 931 MWh and $61427.6 respectively when
renewable production. The risk aversion index (R) is an input LMP forecast errors are considered. The results correspond with
data that is defined as the percentage of day-ahead hours when $5167.7, 933.6 MWh and $61572.3 when renewable production
the forecast error is larger than zero. In this case, the expected forecast errors are considered.
payoff, total generation of GenCo1 and the total supply cost Comparing these results with those in Tables VI and VII
are $5330, 940 MWh and $61196.1, respectively when R is show that a lower uncertainty in the GenCo’s self-scheduling
zero. When R is increased to 50% (i.e., errors are nonzero in 12 would reduce the expected total supply cost (0.54% reduction
hours of a day), the expected payoff, total generation of GenCo1 with LMP forecast errors and 0.31% reduction with renewable

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KABIRI RENANI et al.: DAY-AHEAD SELF-SCHEDULING OF A TRANSMISSION-CONSTRAINED GENCO 1267

TABLE IX TABLE XII

GENCOS’ EXPECTED GENERATION WITH TRANSMISSION LIMITS GENCOS’ EXPECTED PAYOFFS WITHOUT UNCERTAINTIES
(LMP FORECAST ERROR CONSIDERED)
GenCo Expected payoff ($)
R Expected generation (MWh)
1 3546.7
GenCo1 GenCo2 GenCo3 GenCo4 GenCo5 2 192.2
3 –35.7
10% 956.0 320.9 204.5 245.7 432.2 4 –65.4
20% 934.9 322.2 212.7 252.7 436.8 5 120.4
30% 932.9 321.4 213.7 254.2 437.1
40% 935.4 306.5 232.5 252.3 432.6
50% 930.6 306.7 232.4 255.5 434.0
60% 943.9 307.6 242.8 272.1 392.8
70% 916.7 316.8 244.2 283.8 397.7
80% 909.5 315.5 248.6 286.7 398.7
90% 916.8 303.6 283.9 244.2 410.2
100% 931.0 305.1 261.0 255.0 407.5

TABLE X
GENCOS’ EXPECTED PAYOFFS WITH TRANSMISSION LIMITS (RENEWABLE
PRODUCTION FORECAST ERROR CONSIDERED)

R Total supply cost ($) Expected payoff ($)

GenCo1 GenCo2 GenCo3 GenCo4 GenCo5

Fig. 7. LMPs at Generation buses (when line 2 is out of service).
10% 61234.9 5262.9 694.3 296.9 324.4 768.8
20% 61270.3 5211.0 689.2 302.9 332.9 773.8
30% 61305.9 5157.2 689.3 303.0 333.5 774.4 TABLE XIII
40% 61340.0 5111.8 693.4 304.7 331.1 771.4 GENCOS’ EXPECTED PAYOFFS WHEN L2 IS ON OUTAGE
50% 61376.1 5072.5 703.4 307.3 328.5 768.4
60% 61412.3 5046.0 705.4 306.6 329.6 774.1
70% 61464.0 5164.1 784.2 340.9 368.7 804.8 R Total supply cost ($) Expected payoff ($)
80% 61500.9 5162.5 792.9 348.1 371.6 808.1
90% 61535.3 5164.1 787.5 343.9 378.3 815.1 GenCo1 GenCo2 GenCo3 GenCo4 GenCo5
100% 61572.3 5167.7 812.4 356.8 373.5 805.9
0% 61605.2 5771.8 720.5 1221.8 165.5 557.4
10% 61641.2 5541.3 650.1 1132.0 105.3 477.1
20% 61681.5 5298.8 591.7 1066.1 70.6 418.1
TABLE XI
30% 61720.4 5115.8 545.7 1021.7 38.0 351.9
GENCOS’ EXPECTED GENERATION WITH TRANSMISSION LIMITS (RENEWABLE
40% 61811.6 5035.9 508.5 990.7 61.2 185.5
PRODUCTION FORECAST ERROR CONSIDERED)
50% 61837.9 4929.0 474.8 983.6 22.6 151.7
60% 61890.4 4824.2 462.3 957.4 19.8 137.9
70% 61925.6 4678.5 420.0 903.4 0.5 120.5
R Expected generation (MWh)
80% 61974.6 4771.9 414.6 887.6 20.0 192.0
GenCo1 GenCo2 GenCo3 GenCo4 GenCo5 90% 62112.3 4749.2 399.8 847.4 10.7 177.9
100% 62123.8 4657.0 359.8 786.6 26.9 182.3
10% 940.5 320.1 214.8 251.5 433.0
20% 940.5 320.7 215.8 253.2 429.7
30% 940.4 320.6 215.8 253.4 429.7 TABLE XIV
40% 940.6 320.8 216.3 252.7 429.5 GENCOS’ EXPECTED GENERATION WHEN L2 IS ON OUTAGE
50% 940.1 320.9 216.2 252.5 430.1
60% 937.9 320.0 215.8 252.9 433.2
R Expected generation (MWh)
70% 937.0 321.1 214.1 261.0 426.7
80% 935.1 320.5 214.9 262.0 427.4
GenCo1 GenCo2 GenCo3 GenCo4 GenCo5
90% 936.1 319.3 213.7 263.4 427.4
100% 933.6 321.0 216.1 262.8 426.4
0% 757.7 332.3 382.7 189.7 377.4
10% 892.9 334.5 382.9 181.4 368.2
20% 885.7 335.0 382.3 181.9 374.9
30% 883.0 333.0 383.3 185.1 375.5
production forecast errors) and increase the expected payoff of 40% 920.4 306.9 393.5 225.9 313.0
GenCo1’ self-scheduling (8% increase with LMP forecast error 50% 917.8 307.6 393.4 222.4 318.8
and 28.5% increase with renewable production forecast error). 60% 896.5 316.9 394.7 230.8 319.2
70% 895.7 319.5 393.9 227.9 322.8
In practice, a GenCo encounters several uncertainties in self- 80% 857.2 318.9 387.2 239.2 357.1
scheduling. Some of the effective uncertain sources cannot help 90% 862.1 306.1 396.1 221.4 366.2
GenCos make a tradeoff between solution complexity and finan- 100% 854.2 311.4 400.0 233.3 360.9
cial risks. Financial risk in our study indicates that the GenCo’s
payoff will be reduced if the GenCo schedules its generation Table XII shows the financial risk of a GenCo’s self-
units without considering uncertainty. The reduction is due to the scheduling when GenCo1 has not considered any forecast errors.
variations of uncertain parameters from their forecasted values. In this case, the GenCo1’s expected payoff is $3546.7 which is

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1268
33.45% less than that listed in Table VI, where the payoff was
$5330.
A. Considering the Impact of Network Outages
We consider the impact of power system outages on the
GenCo’s expected payoff and generation scheduling. Here,
transmission line 2 is on outage and the corresponding LMPs
are shown in Fig. 7. Also, the expected payoff and the total
generation of GenCo1 and its opponents, using the incomplete
information, are presented in Tables XIII and XIV, respectively.
When line 2 is on outage, the GenCos’ LMPs and expected self-
generation would result in a higher expected payoff for GenCos
and a higher cost for supplying the ISO’s system load.
IV. CONCLUSIONS
In this paper, a generation self-scheduling method is presented
for a GenCo with thermal and renewable generation units. The
uncertainties associated with LMPs and renewable production
are modeled using a robust optimization technique. For cal-
culating LMPs, the ISO market clearing program is simulated
using an incomplete information game. The incomplete game
is transferred to a complete game by applying 3 types of cost
coefficients for the GenCo’s opponents by providing the joint
probability distribution of the game. The scheduling problem is
modeled as a bi-level optimization problem. The duality prin-
ciple is applied at the lower-level optimization to convert the
bi-level problem to a single optimization problem. In this paper,
the electricity price for the day-ahead electricity market is calcu-
lated by GenCos using a simulation of the ISO market clearing
program. Therefore, the impact of physical limitations of power
systems and transmission network outages on the electricity
LMP can be considered along with forecast errors for variable
resources in self-scheduling methods. This optimization prob-
lem is modeled as an MILP problem in GAMS and solved by
applying the CPLEX solver. The simulation results show that
the proposed method can effectively reduce the financial risk of
considering uncertain parameters in the day-ahead scheduling.
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Yahya Kabiri Renani received the B.Sc. degree in electrical engineering from
the Isfahan University of Technology, Isfahan, Iran, in 2008, and the M.Sc.
degree from the Amirkabir University of Technology, Tehran, Iran, in 2010.
He is currently working toward the Ph.D. degree at the Sharif University of
Technology, Tehran, Iran. He is a Research Associate at the Robert W. Galvin
Center for Electricity Innovation, Illinois Institute of Technology, Chicago,
IL, USA.
Mehdi Ehsan received the B.Sc. and M.Sc. degrees in electrical engineering
from the Technical College of Tehran University, Tehran, Iran, in 1963, and
the Ph.D. and DIC degrees in power engineering from the Imperial College
University London, London, U.K., in 1976. Currently, he is a Professor in the
Electrical Engineering (EE) Department of Sharif University of Technology
(SUT), Tehran, Iran, and the Dean of the Center of Excellence in Management
and Control of the Power System, EE Department, SUT. He has extended
cooperation with research centers in Iran and also abroad.
Mohammad Shahidehpour (F’01) received the Ph.D. degree from the Univer-
sity of Missouri, Columbia, MO, USA, in 1981. He is the Bodine Distinguished
Professor and the Director of Robert W. Galvin Center for Electricity Inno-
vation, Illinois Institute of Technology, Chicago, IL, USA. He is a Research
Professor with King Abdulaziz University, Jeddah, Saudi Arabia, and an Hon-
orary Professor with the North China Electric Power University, Beijing, China,
and Sharif University, Tehran, Iran. He received an Honorary Doctorate from
the the Polytechnic University of Bucharest, Bucharest, Romania. He is a mem-
ber of the US National Academy of Engineering and a Fellow of the American
Association for the Advancement of Science.