1326 IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, VOL. 19, NO.
3, JULY 2022
Dynamic Pricing and Prices Spike Detection for
Industrial Park With Coupled Electricity and
Thermal Demand
Jiang Wu, Member, IEEE, Longkun Wu, Zhanbo Xu , Member, IEEE, Xiaoyi Qiao,
and Xiaohong Guan , Fellow, IEEE
Abstract— This paper presents a dynamic pricing mecha-
nism in the industrial park with demand response programs.
A Lagrangian relaxation based dynamic pricing model for
electricity and thermal coupled industrial park is formulated,
taking into account energy balance, feeder exchange and other
systems operating constraints. Considering two-markets clear-
ing mechanism and two types of demand response programs,
a dynamic prices prediction model is proposed by long short-
term memory (LSTM) technique. Based on the prediction model,
we proposed a real-time prices spike detection model for indus-
trial park, which can detect prices spike hourly by history
data and give rolling prices spike warning for next short-term
operating horizon. Simulation experiments validate the theoretic
results and show the effectiveness of the dynamic prices spike
detection model.
Note to Practitioners—This paper focuses on the dynamic
pricing mechanism and prices spike detection for the customers
in the industrial park. We improve the pricing model based
on the Lagrangian relaxation method and develop a dynamic
prices prediction model to handle the uncertainty in real-time.
Furthermore, we develop a prices spike detection mechanism,
which can achieve rolling detect whether the electricity and
thermal prices may exceeded the threshold in the next short-term
operating horizon. This technique can give the customers a prices
spike early warning service and let them to reschedule their own
strategy to minimize their operation cost with respect to the
uncertainties in the energy price. Experimental results show that
the proposed prices spike detection mechanism can issue spike
warnings correctly in most supply-demand mismatching cases.
Index Terms— Industrial park, dynamic pricing, demand
response, Lagrangian relaxation, LSTM.
I. I NTRODUCTION
C URRENTLY, microgrid technology is considered as
one of the key methods for improving the reliability,
flexibility and resilience of distributed power grid [1]–[3].
Manuscript received 10 June 2021; revised 22 September 2021; accepted
14 December 2021. Date of publication 18 January 2022; date of current
version 5 July 2022. This article was recommended for publication by
Associate Editor Q.-S. Jia and Editor M. Dotoli upon evaluation of the
reviewers’ comments. This work was supported in part by the National Natural
Science Foundation of China under Grant 61773308, Grant 61803297, and
Grant 62122062; and in part by the National Key Research and Development
Program of China under Grant 2016YFB0901900. (Corresponding author:
Zhanbo Xu.)
The authors are with the MoE Klinns Laboratory and the Systems Engi-
neering Institute, Xi’an Jiaotong University, Xi’an 710049, China (e-mail:
zbxu@sei.xjtu.edu.cn).
Color versions of one or more figures in this article are available at
https://doi.org/10.1109/TASE.2021.3139825.
Digital Object Identifier 10.1109/TASE.2021.3139825
1545-5955 © 2022 IEEE. Personal use is permitted, but republication/redistribution requires IEEE permission.
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As a community-scale microgrid, industrial park is usually
integrated with self-schedule units, energy intensive enter-
prises, large commercial buildings and renewable distributed
generators for climate friendly requirement [4], all of which
should be managed by the operator of industrial park, who
needs to match the energy supply and demand in the park
and enable end-use customers to enjoy low-cost energy prices.
Local system cost or price should be calculated and published
in real-time. Furthermore, the coupled electricity and thermal
demand also improves the difficulty of system operation.
Recently, the market structure and trading mechanism of
local energy system similar to the industrial park has been
getting more and more attention. Renani et al proposed a
framework for the day-ahead transactive market in distribu-
tion energy system, in which the independent system oper-
ator (ISO) is responsible for the secure operation of bulk
power systems by interacting with large GenCos and loads
as well as individual system operators that would link retail
customers to bulk power systems at the wholesale market
level [5]. Lezama et al evaluated a fully integrated transac-
tive system for local energy market by, first, modeling the
energy resource management problem of a microgrid under
uncertainty considering flexible loads and market participation,
second, modeling a wholesale market and a local market,
and, third, coupling these elements into an integrated trans-
active energy simulation [6]. Nizami et al proposed a nested
transactive energy market methodology, based on the two-
stage optimization-based scheduling model, for the effective
utilization of demand-side flexibility of small-scale residential
consumers [7].
In addition, the setting of pricing mechanism is considered
as an important means to improve energy utilization efficiency
and play flexibility characteristics of the industry park. Taking
marginal cost, refers to the increased cost of the system by
increasing one unit power supply, as spot price has good
economic signal function, reflects the real cost of power
production, is conducive to the economic benefits of power
system, and is widely used in power market [8], [9]. And
the real-time pricing (RTP) based on marginal cost can be
priced according to the actual energy consumption of the
energy system, which has great advantages compared with the
traditional pricing method [10]–[15].
There have been some studies on the dynamic pricing of
smart grids. For example, dynamic pricing problem of the
WU et al.: DYNAMIC PRICING AND PRICES SPIKE DETECTION FOR INDUSTRIAL PARK
social welfare maximization of the smart grid system with
multiple residences and a single service provider was consid-
ered in [16]. Qian et al developed a dynamic pricing algorithm
based on simulated annealing for non-cooperative customers’
smart grid systems [17]. In a similar context, Chen et al
modeled the dynamic pricing problem as a Stackelberg game,
in which the service provider decided the retail price, and each
selfish customer decides his plan for home appliances based
on the price [18]. Joe-Wong et al developed an incentive-based
dynamic pricing scheme, which allowed service providers to
determine the incentives for customers who shift their appli-
ance usage from peak hours to off-peak hours [19]. In recent
years, the game theory method of studying dynamic pricing
problems has been extended to many types of games, such as
multi-stage games in timetable systems [20], auction games
between service providers and customers, and the company’s
two-level game [21].
Demand response (DR) has been widely used in integrated
energy systems as an important scheduling method. DR can
be defined as the behavior that the user’s normal consumption
pattern changes when the electricity price changes [22]. There
are two main ways for end-use customers to respond by
changing energy cost or energy use behavior. The first is
that customers reduce electricity consumption during peak
energy prices without affecting energy use behavior in other
periods [23], [24]. The result of this demand response is that
end-use customers reduce their energy consumption comfort
on a certain level. The second type of user’s response to high
electricity prices is load shifting, that is, end-use customers
transfer their energy demand during peak electricity price to
non-peak hours [25], [26].
Dynamic pricing considering demand response is a popular
research direction, there are many researchers attempting to
predict the demand response of end-use customers at a specific
price to establish an appropriate energy price. According to its
predict methods of demand response, it can be mainly divided
into traditional methods and artificial intelligence methods.
Traditional methods: Byung-Gook Kim et al studied a
dynamic pricing and energy consumption scheduling problem
in the microgrid and proposed an estimator that uses the
history of the price and the total consumption to estimate
the arrival and demand rates [27]. The price elasticity of
demand is used in [28] to analyze the change of electricity
consumption with electricity price, starting from the price
demand response model of internal users, aiming to shift the
peak of the load. Li et al studied the demand response problem
of power companies in the real situation of uncertainty and
limited communication, and used linear regression to estimate
the overall response of consumers [29]. Bahrami et al studied
the long-term load scheduling problem, then modeled the
change of price information and load demand as a Markov
decision process, and characterized the interaction between
users as a partially observable random game. Finally, Markov
perfect equilibrium (MPE) of the completely observable ran-
dom game with inexhaustible information approximated the
users’ optimal scheduling strategy [30]. Gilanifar et al studied
the problem of power load prediction of smart city and
proposed a Bayesian spatiotemporal Gaussian process model
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1327
[31], which can utilize the interdependence between different
internetworks in load forecasting.
Artificial intelligence methods: Xu et al used neural net-
work to learn user’s demand response [32]. Considering the
situation where the user’s demand response is unknown, long
and short term memory neural network is used to learn the
users’ demand response, and reinforcement learning is used
to determine the final prices [33]. Remani studied a price
disaster recovery scheme for smart housing and proposed
residents’ load scheduling and distribution scheme on the basis
of considering residents’ preference for renewable energy such
as photovoltaic (PV) [34]. In order to deal with the uncertainty
brought by renewable energy, reinforcement learning is intro-
duced to solve the uncertain decision problem. Khezeli and
Bitar proposed an online learning method that used a linear
demand function to simulate the customers response at a given
price and continuously learned the parameters of the demand
function [35].
In addition, some scholars have also studied the detect-
ing and decision-making problems of power systems with
unconventional power generation and load. For example,
Zhou et al established a new data-driven event detection
method, namely hidden-structure semi-supervised-machine
(HS3M) [36].
In our previous work, we proposed an individualized energy
pricing strategy in an industry park [37]. For the indus-
try park, the energy demand side usually includes some
factories, which consume electrical and thermal energy in
production processes at the same time, such as printing
and dyeing factory, tire factory. In supply side, otherwise-
wasted heat from electricity generation is put to some pro-
ductive use [38]. Therefore, the electricity and thermal sup-
ply and demand in the park is coupled. By analyzing the
marginal cost of energy supply, the individualized time-
of-use electricity and thermal coupled prices in the park
were formulated.
This paper focuses on the real-time dynamic prices pre-
diction in industrial park with coupled demand, and proposes
Lagrangian relaxation based pricing mechanism and demand
response program. In order to overcome the uncertainty
brought by dynamic pricing, this paper establishes a dynamic
prices prediction model based on long-short-term-memory
neural network, which can fit the process of demand response
and CHP pricing to give the predicted value of future dynamic
pricing in the next few hours. In order to better simulate the
actual situation of the park, the demand response model of the
park is established, and the dynamic pricing simulation model
of the park is established to generate relevant data. Then, the
training and verification of dynamic prices prediction model
are realized. Finally, a prices spike detection and early warning
method is established.
Focuses on the dynamic pricing of industrial park, our three
key contributions are as follows:
1) We proposed a Lagrangian relaxation based dynamic
pricing mechanism for electricity and thermal coupled indus-
trial park.
2) We proposed a dynamic pricing prediction model based
on LSTM. It can fit the process of demand response and CHP
1328 IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, VOL. 19, NO. 3, JULY 2022

2) The IEO and its end-use customers act as price takers.

All of their bidding behaviors will not change the wholesale
market prices.
3) Similar to reference [25], we simplify the elasticity of
user demand response in our model.
An electricity and thermal coupling mathematical model of
the industrial park is established as follows:
The objective function is to minimize the daily energy
supply cost of the park, including the operating cost of thermal
power units and the cost of purchasing electricity from the
grid, as well as the revenue from selling excess electricity to
Fig. 1. The local market structure.
the grid, as shown in (1):
 
pricing, and give the predicted value of real-time dynamic min Ci (Pi,t , Hi,t ) + ρt (Pgrid,t
in
− Pgrid,t
out
) (1)
t i t
pricing.
3) Based on the above dynamic pricing prediction model, where i is the unit number (i = 1, 2), t is the time period
we proposed a real-time prices spike detection model for number (t = 1, 2, 3, · · · 24), Pi,t is power generation of unit i
industrial park, which can detect prices spike hourly by history at time t (MW), Hi,t is thermal supply flow of unit i at time
data and give rolling prices spike warning for next short-term t (t), Ci (P, H ) is the cost function of unit i , ρt is the power
in
operating horizon. purchase price for scheduling period t (CNY/kW·h), Pgrid,t is
out
The rest of the paper is organized as follows: the off-grid power at time t (MW), Pgrid,t is the in-grid power
Section II introduces the mathematical model of the indus- at time t (MW)
trial park and formulates the Multi-markets Clearing Mecha- The constraints of the industrial park mathematical model
nism. In Section III, we propose a dynamic prices prediction include:
model based on LSTM. In Section IV, we develop a prices • Power generation balance equation
spike detection method. In Section V, we evaluate the per-  
formance of the proposed models through numerical tests. Pi,t + PtP V + Pgrid,t
in
= D ej,t + Pgrid,t
out
(2)
Section VI concludes the paper. i j

where D ej,t is electricity load of user j during scheduling

II. M ATHEMATICAL M ODEL AND
period t (MW). This is the electricity load balance con-
P ROBLEM F ORMULATION
straint, it means the total electricity consumption of all
A. Local Market Architecture of Industrial Park end-use customers should equal to electricity supplied by
Regarding the design of the proposed local market archi- the energy supply side.
tecture [5]–[7], the discussed industrial park energy opera- • Thermal load balance equation
tor (IEO) in this paper is a platform that enables market  
activities for end-use customers, coordinates with local and Hi,t = D hj,t (3)
wholesale markets to improve resource allocation efficiency, i j
and interacts with the grid ISO to determine demand bid
where D hj,t
is thermal load of user j during scheduling
awards. The proposed framework comprising the local market
period t (t/h). This is the thermal load balance constraint,
architecture is depicted in Fig. 1.
it means the total thermal consumption of all end-use
Three major responsibilities of the IEO within this structure
customers should equal to thermal supplied by the energy
are:
supply side.
1) To receive demand requirements from the end-use cus-
• Thermoelectric unit output power constraints
tomers, combine them, and offer an aggregated demand to
1) Extraction condensing thermoelectric unit [39]:
the ISO.
2) To receive the day-ahead schedule from the ISO, solve ai,l Pi,t + bi,l Hi,t  ci,l (4)
a resource scheduling problem with local demand response
bids for its service territory, and publish local energy market where ai,l , bi,l , ci,l is the coefficient of the condensing
clearing prices. thermoelectric unit i on the l line segment of the feasible
3) To perform real-time resource scheduling and implement region.
two-settlement process to end-use customers. The feasible domain diagram is shown in [37].
2) Back pressure thermoelectric unit [40]:
B. Mathematical Model
Pimin  Pi,t  Pimax (5)
To ensure the performance of the real-time market clearing
Hi,t
prices prediction model, three assumptions are made below: = ki = const (6)
1) The investment cost of the PV panels is not considered, Pi,t
so the operating cost of PV power generation is assumed to where Pimin is minimum generating power of thermoelec-
be 0 CNY/kW·h. tric unit i (MW), Pimax is maximum generating power of

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WU et al.: DYNAMIC PRICING AND PRICES SPIKE DETECTION FOR INDUSTRIAL PARK
thermoelectric unit i , (MW), k is the fixed thermoelectric
ratio of thermoelectric.
• On/off grid power constrains
0  Pgrid,t
in
 Smax
0  Pgrid,t
out
 Smax
Based on the above optimization model, the formulas for
real-time electricity prices and real-time thermal prices in the
industrial park are as follows:
ρte = −λet
ρth = −λht
where Smax is maximum capacity of grid-connected trans-
former (MW), ρte is the real-time electricity price of the
park during the scheduling period t (CNY/kW·h), ρth is the
real-time thermal price of the park during the scheduling
period t (CNY/kW·h), λet and λht are Lagrange multipliers for
constraints (2) and (3).
The values of ρte and ρth can be solved by Lagrange
relaxation and sub-gradient methods. The solution details are
shown in [37]. In the pricing mechanism, the electricity and
thermal coupling relationship on the demand side is described
by the electrothermal characteristic constraints of energy con-
suming equipment. On the supply side, the energy supply cost
function C is coupled by electricity and thermal. Therefore,
the electricity price and thermal price, based on Lagrange
multipliers of load balance constraints, are interrelated and
can be obtained at the same time by solving this model.
C. Dynamic Pricing Mechanism
In our previous research, we established an hourly electricity
and thermal pricing mechanism based on marginal cost, called
CHP pricing model [37]. Given the day-ahead electricity and
thermal load and PV power generation of the park, by calcu-
lating the marginal cost of electricity and thermal, we can get
hourly electricity and thermal pricing results.
In fact, the actual electricity and thermal load of end-use
customers in the industrial park is affected by many factors,
and directly using day-ahead value to give electricity and
thermal prices is not enough to represent the actual load. So the
pricing mechanism designed in [37] does not adequately reflect
the actual load situation of the industrial park. To address this
problem, this paper designs a new dynamic pricing mecha-
nism based on Lagrangian relaxation [41] and sub-gradient
method [42].
According to the mathematical model established in
section II-B, we can find that the marginal cost at a certain
moment is only related to the electricity and thermal load and
PV power generation at the current moment. Then, setting
the electricity and thermal prices according to the real-time
energy consumption and PV conditions of the industrial park
can solve the problem that the hourly pricing cannot match
the actual load and PV power generation in the case.
The process of pricing based on the actual electricity and
thermal load and PV power generation data of the industrial
park is called dynamic pricing mechanism. The dynamic pric-
ing mechanism is based on the actual load and PV conditions,
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1329
(7)
(8)
Fig. 2. Market clearing mechanism in industrial park.
(9)
(10) which are unpredictable, so dynamic pricing has a certain
degree of uncertainty.
To overcome this shortcoming, we have formulated the
following trading scene.
D. Multi-Markets Clearing Mechanism
The proposed market clearing mechanism in industrial park
is shown in Fig. 2. In day-ahead market, the electricity and
thermal pricing algorithm(Equ. (1)-(10)) is used after receiving
the offered electricity and thermal demand.
Demand Response (DR) can be defined as the change of
usage by end-use customers from their normal consumption
patterns in response to the change of electricity or thermal
price over time. Furthermore, DR can be also defined as the
incentive payments designed to induce lower energy use when
the wholesale market price is too high or the system reliability
is jeopardized [43]. In this paper, two types of DR program are
considered: shiftable demand response and deferrable demand
response. The detailed model will be discussed in the next
section.
Real-time market clearing, which can also be calculated
by Equ.(1)-(10), enables consumers to settle electricity and
thermal demand in real-time. The real-time prices can change
throughout the operating day based on the re-offered demand
with DR, local PV power generation and net power flow.
Following are the whole trading scenarios:
1) In the day-ahead market, end-use customers report the
scheduled demand D eD A and D hD A to the IEO.
2) The IEO calculates the hourly marginal cost according to
the scheduled demand and the predicted PV power generation
PDPAV , then releases the clearing prices ρ Dh A and ρ De A of the
day-ahead market, which are the estimated value of the next
day’s energy prices.
3) In order to save energy costs, end-use customers in the
industrial park have a certain probability to make demand
response based on the energy prices released by the IEO.
4) After demand response, the real-time energy demand
D eRT and D hRT will be different from the scheduled demand.
In addition, the real-time PV power generation is not com-
pletely consistent with the predicted value, then the IEO will
formulate dynamic prices ρ hRT and ρ eRT hourly in the real-time
market according to the real-time demand and PV data.
As discussed above, the IEO calculates the local energy
prices based on wholesale prices and local distributed gen-
eration costs. We also assume that the industrial park is
considered as a price-taker in wholesale market. The end-use
customers in the industrial park can respond to the day-ahead
1330 IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, VOL. 19, NO. 3, JULY 2022

and real-time local energy prices. They can get the updated
local prices but cannot influence wholesale market prices in
real time.
The uncertainty of end-use customers’ demand and PV
power generation may cause the dynamic pricing results in the
real-time market to deviate from the day-ahead pricing esti-
mates. Excessive electricity and thermal price will bring cost
loss to end-use customers. To solve this problem, we propose
a dynamic prices prediction model and a prices spike detection
method to detect whether extreme pricing is likely to occur in
the next few hours. If so, a spike warning of prices will issue
to end-use customers.
III. DYNAMIC P RICES P REDICTION M ODEL
A. Problem Formulation
According to the description in sectionII-C, we know that
dynamic pricing has certain uncertainty, but the estimated
value of the electricity and thermal load and prices are known,
assuming that the PV power generation is known, how can we
use these three values to get the dynamic pricing results? In
this section, a dynamic prices prediction model is established
to solve this problem. Fig. 3. Dynamic prices prediction model based on LSTM.
According to the previous description, the actual load is
different from the day-ahead load estimate due to the end- the training data set and testing data set of the above dynamic
use customers’ demand response, and the dynamic prices are prices prediction model.
therefore different from the day-ahead prices. Therefore, there In the following two sections, we will solve the above two
are two main steps to use the day-ahead load to estimate the problems respectively.
actual dynamic prices of the next day:
Step 1: End-use customers change their demand based on
the previous price estimate and the real-time electricity and B. Dynamic Prices Prediction Model Based on LSTM
thermal load can be obtained. In sectionII-C, we set up a electricity and thermal coupled
Step 2: The energy supply side will formulate dynamic dynamic pricing model, in this section we will establish a
prices based on real-time electricity and thermal load and PV dynamic prices prediction model. Given the day-ahead pricing
power generation value. estimation and PV power generation forecast, we will get the
According to this description, if a model can simultaneously approximate value of real-time dynamic prices. This model
fit the demand response and CHP pricing process, then it will is based on the data-driven neural network model, which can
be possible to fit the dynamic pricing result based on the apply for other heuristic pricing methods so long as the pricing
day-ahead pricing estimation, day-ahead load estimation, and method can calculate the day-ahead price as the input of the
PV power generation. model.
LSTM stands for long-short-term-memory neural network, We designed a neural network based on LSTM to fit the
which has good effects on fitting and predicting with time mapping relationship which is shown in (11), and the structure
series data, and its superiority has been widely recog- of the network is shown in Fig. 3.
nized [44]. It needs to be emphasized that the energy supply
f : (ρ De A , ρ Dh A , Pt,in
PV
) → (ρ eRT , ρ hRT ) (11)
side does not know the specific situation of the user demand
response. Since the demand response on the demand side is The input of the neural network is day-ahead energy prices
a time-related process, the demand response results at each and PV power generation data at τ times, which form an input
moment are related to the current price and the load of other matrix after normalization and is input into LSTM block step
moments, so if you want to use day-ahead pricing estimation by step. Batch normalization in the vertical direction is used
and day-ahead load estimation to fit the demand response to normalize the output of LSTM block, which can speed
process, LSTM is a good choice. Therefore, this section will up the parameter convergence [45]. The second LSTM layer
establish a dynamic prices prediction model based on LSTM. outputs its hidden state vector h, which is connected to a fully
In order to establish a dynamic prices prediction model connected network with two layers to be further processed.
based on LSTM, we mainly face the following two problems. The final output of network is the predicted real-time dynamic
1) How to design the structure of the neural network to get energy prices.
a good fitting effect on dynamic pricing while reducing the The loss function is the mean square error of the predicted
amount of calculation as much as possible. value and the true value, and the Adam optimizer is used for
2) How to design a strategy pool to simulate the actual error back propagation.
dynamic pricing process of the industrial park, and generate The training process of the model is as follows:

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WU et al.: DYNAMIC PRICING AND PRICES SPIKE DETECTION FOR INDUSTRIAL PARK
Step 1: Get ρ Dh A , ρ De A and PDPAV and ρ hRT , ρ eRT from the
training set.
Step 2: ρ De A , ρ Dh A and PDPAV are taken as the inputs of the
dynamic prices prediction model, and then the output ρ eRT  ,
ρ hRT  is compared with the real prices ρ eRT , ρ hRT , and the error
is back-propagated.
Step 3: Update neural network weights.
Step 4: Determine whether the loss value has dropped to a
specified threshold; if not, return the first step.
Our dynamic prices prediction model uses an embedding
mechanism for mapping the day-ahead energy prices to
real-time energy prices and adds the LSTM layer to capture
the interactions that shape the system’s aggregated long-term
behavior of demand response. During the off-line (training)
phase, the LSTM model enables the consistency between
prior pricing and posterior pricing. Therefore, during the on-
line (test) phase, we only need the learned temporal demand
response behavior to support prices spike detection.
The temporal demand response behavior and strategy pool
generation models are formulated in the next section.
C. Strategy Pool Generation
The main purpose of this section is to generate the data
for the training and testing of the dynamic prices prediction
model. It mainly consists of two steps: The first step is
to design the overall simulation model and determine the
relationship between the input and output. The second step
is to design the demand response model of the industrial park
based on the pricing mechanism. The rest, such as the CHP
pricing model, have been described in section II-C and will
not be repeated in this section.
1) Simulation Model: Each piece of data in the training set
and test set is generated according to the following steps:
Step 1: Giving the value of D eD A and D hD A ;
Step 2: Determine the predicted value of PV power gener-
ation PDPAV based on historical PV data of the industrial park;
Step 3: Use CHP pricing model to calculate the value of
ρ De A and ρ Dh A ;
Step 4: Solve the demand response model based on the
above information and get the real-time load D eRT and D hRT
of the next day;
Step 5: Use the CHP pricing model again to get real-
time dynamic pricing ρ eRT and ρ eRT ;
Step 6: Add ρ De A , ρ Dh A , PDPAV , ρ eRT , ρ hRT to data set.
Day-ahead energy prices are the estimate of the real-time
prices, which will help end-use customers schedule their next
day load to reduce energy costs. Demand response is one of
the key steps of the above simulation model, to establish the
mathematical model of demand response, the next section will
classify the load of industrial parks.
2) Load Classification: For end-use customers in the indus-
trial park, the load can be roughly divided into three categories:
base load, shiftable load, and deferrable load.
Base load is a fixed load for end-use customers to maintain
daily operation. This type of load mainly includes basic
lighting, refrigeration equipment, heating equipment and other
basic operation of the energy required. End-use customers
generally have base load.
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1331
Flexible load includes two types: shiftable load and
deferrable load. A single user may have several segments of
flexible load or have no flexible load.
Deferrable load is generally load such as electricity for
factory production, electric car charging, and electricity for
residents’ washing. Such load has a certain degree of flexibility
and only needs to be completed within a specific period of
time.
The shiftable load is generally a certain production process
or a certain continuous electricity and thermal behavior. Once
this type of load starts, it must continue with a specific power
curve until the end of the load task. However, the start time of
the task can be delayed or advanced, as long as all procedures
are completed within a certain period of time.
After receiving the day-ahead price information, the end-use
customers adjust the flexible load in order to obtain more eco-
nomic benefits. Based on the energy consumption constraints,
end-use customers will arrange the shiftable load to the time
of the low price, while the deferrable load will be advanced or
delayed. In this way, end-use customers complete the demand
response to the day-ahead price to obtain the lowest power
cost.
Consider that end-use customers in the industrial park have
three types of load: base load, deferrable load, and shiftable
load. End-use customers in the park do not necessarily have
these three types of load at the same time. Most of them only
have 2-3 types of load. In addition, a user may have multiple
periods of time to deferrable or shiftable load. Suppose there
are K end-use customers in the industrial park, considering
that their power consumption characteristics are different,
so each user has specific three types of load constraints.
3) Mathematical Model of Demand Response: Taking the
lowest total energy cost of end-use customers as the objective
function, we establish a price-based demand response mathe-
matical model for the park as follows:
1) Objective function
 
min ρe,t Pk,t + ρh,t Hk,t (12)
t k
In the above formula, ρe,t is the incentive electricity price of
time t, Pk,t is electricity load of user k at time t after demand
response. ρh,t is the incentive thermal price of time t, Hk,t is
thermal load of user k at time t after demand response.
2) constraints:
(1) electricity load balance constraint:
Pk,t = Pk,t,s + Pt,k,m + Pt,k,d (13)
(2) Thermal load balance constraint:
Hk,t = Hk,t,s + Ht,k,m + Ht,k,d (14)
In the above formula, Pk,t,s and Hk,t,s are the base electricity
and thermal load of user k at time t, Pk,t,m and Hk,t,m are
deferrable electricity and thermal load of user k at time t,
Pk,t,d and Hk,t,d are shiftable electricity and thermal load of
user k at time t.
The above two formulas indicate that before and after the
demand response, the total sub-load on the demand side at
1332 IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, VOL. 19, NO. 3, JULY 2022

each moment should be equal to the sum of the base load, the (6) Suppose user k has Q shiftable thermal load, the interval
deferrable load, and the shiftable load at that moment. of the initial moment of the shiftable thermal load of the q
1 Deferrable load constraints: segment is [χk,q , δk,q ], interval length is Nk,q . The thermal load
(3) Suppose user k has I deferrable electricity load, at the nth hour in the shiftable load is Hk,q,n , Ht,k,q represents
the deferrable electricity load interval of the i segment is the shiftable thermal load of user k’s qth segment thermal load
[αk,i , βk,i ], The total amount of deferrable electricity load is at time t, Ht,k,d represents the total shiftable thermal load of
E k,i , then the end-use customers’ electricity load satisfies the user k at time t. Bk,q,t is a binary variable which represents
following constraints: whether user k exists qth shiftable thermal load at time t, 1 if
βk,i
it exists, 0 otherwise. Then the shiftable thermal load satisfies
 the following constraints:
E k,i = Pt,k,m (15)
t+Nk,q −1
t=αk,i 
Pt,k,min  Pt,k,m − Pt,k,M  Pt,k,max (16) (Bk,q,t − Bk,q,t−1 )Nk,q  Bk,q,T ,
T =t
Pt,k,M is deferrable electricity load of user k at time t before when 1  t  24 − Nk,q (24)
demand response, Pt,k,max and Pt,k,min are the maximum and 
t
minimum changes of the deferrable electricity load of the user Ht,k,q = Hk,q,r , r = Bk,q,T (25)
k at the time t relative to the corresponding time before the T =1
demand response. 
N
(4) Suppose user k has J deferrable thermal load, the Ht,k,d = Ht,k,q (26)
deferrable thermal load interval of the j segment is [αk, j , βk, j ], q=1
The total amount of deferrable thermal load is Tk, j , then the Bk,q,t = 0, t < χk,q (27)
user’s electricity load satisfies the following constraints: δk,q

βk, j Bk,q,t > 0 (28)


Tk, j = Ht,k,m (17) t=χk,q

t=αk, j The above is the demand response mathematical model

Ht,k,min  Ht,k,m − Ht,k,M  Ht,k,max (18) considering the base load, the shiftable load, and the deferrable
load. The user’s demand response can be obtained by solving
Ht,k,M is deferrable thermal load of user k at time t before the model on the premise that planned load reported by
demand response. Ht,k,max and Ht,k,min are the maximum and end-use customers and day-ahead clearing prices are known.
minimum changes of the deferrable thermal load of the user Finally we get the real-time electricity and thermal load after
k at the time t relative to the corresponding time before the demand response.
demand response.
2 Shiftable load constraints:
IV. P RICES S PIKE D ETECTION M ETHOD
(5) Suppose user k has L shiftable electricity load, the
interval of the initial moment of the shiftable electricity load In the previous section, we established a dynamic prices
of the l segment is [χk,l , δk,l ], interval length is Nk,l , The prediction model, given the day-ahead value of the electricity
electricity load at the nth hour in the shiftable electricity load and thermal price and PV power generation, the result of the
is Pk,l,n , Pt,k,l represents the shiftable electricity load of user dynamic pricing can be calculated. In this section we will
k’s l segment electricity load at time t, Pt,k,d represents the build a spike detection model based on the dynamic prices
total shiftable electricity load of user k at time t. Bk,l,t is prediction model.
a binary variable which represents whether user k exists lth The prices spike detection method is used to predict the
shiftable electricity load at time t, 1 if it exists, 0 otherwise. prices of electricity and thermal for the next 4 hours hour by
Then the shiftable electricity load satisfies the following hour, and judge whether the prices exceed a certain threshold.
constraints: If so, a spike warning will be issued to inform the end-use
t+Nk,l −1
customers to take corresponding measures in advance to avoid
 cost losses.
(Bk,l,t − Bk,l,t−1 )Nk,l  Bk,l,T ,
PV power generation, as one of the inputs of the dynamic
T =t
when 1  t  24 − Nk,l (19) prices prediction model, has certain uncertainty, which is often
difficult to be predicted in advance. Noted that the amount of

t
Pt,k,l = Pk,l,r , r = Bk,l,T (20) PV power generation is closely related to solar radiation, and
T =1 the change of solar radiation within a day is regular. If the

N PV data available on that day is used, the forecast accuracy
Pt,k,d = Pt,k,l (21) of future dynamic pricing will be greatly improved. Therefore,
l=1 the algorithm for spike warning at time T is shown as follows:
Bk,l,t = 0, t < χk,l (22) Algorithm 1 is the entire algorithm of prices spike detection
δk,l
 at time T. In the actual dynamic pricing process, the energy
Bk,l,t > 0 (23) supply side will calculate according to the above algorithm
t=χk,l hour by hour and determine whether to issue a spike warning.

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WU et al.: DYNAMIC PRICING AND PRICES SPIKE DETECTION FOR INDUSTRIAL PARK 1333

Algorithm 1 Price Spike Detection at Time T

Require:
A , t = 0, 1, · · · 23;
PV
Day-ahead PV data, Pt,D
Real-time PV data before time T, Pt,RT PV
, t = 0, 1, · · · T ;
Day-ahead electricity price, ρt,D A , t = 0, 1, · · · 23;
e

Day-ahead thermal, ρt,D h

A , t = 0, 1 · · · 23;
Thermal price threshold ρth h
;
Electricity price threshold ρth e
;
Ensure:
Prices spike detection result STe , STh ;
1: Set Pin,t PV
= 0, t = 1, 2, · · · 24;
2: for t = 0 to 23 do
3: if t  T then
4: PV
Pin,t = Pt,RTPV
;
5: else
6: PV
Pin,t = Pt,D PV
A;
7: end if
8: end for
9: Set i nput = [Pin,t PV
, ρ De A , ρ Dh A ]; Fig. 4. Electricity and thermal load of four end-use customers.
10: Use i nput as the input of the dynamic prices prediction
model to get the output out; TABLE I
11: Get ρ eRT  ,t , ρ hRT  ,t from out, t = T + 1, T + 2, T + 3, T + 4; T HE M EAN A BSOLUTE P ERCENTAGE E RROR OF P RICING R ESULTS
12: if ρ eRT  ,T +1 > ρth e
or ρ eRT  ,T +2 > ρthe
or ρ eRT  ,T +3 > ρth
e
or
ρ RT  ,T +4 > ρth then
e e

13: STe = 1,issue a electricity price spike warning;

14: else
15: STe = 0;
16: end if
A. Electricity and Thermal Coupled Dynamic Pricing
17: if ρ hRT  ,T +1 > ρth h
or ρ hRT  ,T +2 > ρthh
or ρ hRT  ,T +3 > ρth
h
or
ρ RT  ,T +4 > ρth then
h h Firstly, in order to demonstrate the performance of the
18: STh = 1, issue a thermal price spike warning; pricing mechanism to the uncertainty in the PV supply, we ran-
19: else
domly generate three groups of PV power generation data with
20: STh = 0; 10%, 20% and 30% standard deviation based on the actual data
21: end if
on a certain day and solve the pricing problem based on these
22: return STe , STh ;
data. The mean absolute percentage error (MAPE) of energy
price and total energy cost (i.e. the objective function in the
pricing model) is shown in TABLE I. Because electricity and
thermal price is based on the Lagrangian multiplier of load
V. N UMERICAL T ESTING R ESULTS balance constraint, which is solved in dual space, it is not
Numerical testing is performed for a industrial park, which sensitive to the changes in the PV supply. Compared with the
is located in Southeast China, with one CHP unit and 50 total energy cost, the MAPE of electricity and thermal price
industrial/commercial consumers. due to PV uncertainty is within the allowable range. The above
The industrial park has two cogeneration units with a total results show that our pricing model is robust to the uncertainty
installed electricity capacity of 24MW and thermal capac- in the PV supply.
ity of 200 t/h. Power grid implements time-of-use peak- In order to show the difference of dynamic pricing and
valley-flat electricity price. The electricity price is, peak: day-ahead CHP pricing mechanism in [37], we used two
1.0697 (7:00-12:00,17:00-21:00), flat: 0.6418 (12:00-17:00, pricing mechanisms to separately price the electricity and
21:00-24:00), valley: 0.3139 (0:00-6:00), unit: CNY/kW·h. thermal of the industrial park on a certain day.
Method for obtaining energy supply cost from electricity According to article [37], and Section III, both day-ahead
supply and thermal supply is described in [46]. Based on and real-time pricing use energy load and PV power generation
the actual energy consumption data of the industrial park, data as input, and obtain the marginal cost by solving the CHP
we established the quadratic function expression of energy mathematical, which is the basis of electricity and thermal
supply cost with respect to electricity supply and thermal price. The difference is that day-ahead price uses day-ahead
supply. load and PV data as input, real-time price uses the real-time
The curve of electricity and thermal load of four end-use data of the pricing day.
customers in a certain day is shown in Fig. 4, among them, The main difference between day-ahead and real-time data
user A and D are factory users, user B and C are residential is that the values of day-ahead energy load is scheduled
users. load, which is reported by end-use customers according to

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1334 IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, VOL. 19, NO. 3, JULY 2022
Fig. 5. Day-ahead and real-time prices.
the historical load, and the day-ahead PV power generation
is the predicted value for the next day. Therefore, day-ahead
data cannot represent the real-time energy consumption and
PV power generation of the industrial park on the next day.
Then the pricing results by using day-ahead data and real-
time data are shown in Fig. 5. It can be seen from Fig. 5
that the time period with the largest difference in electricity
prices between the two pricing mechanisms is 7:00-10:00 and
the time period with the largest difference in thermal prices
is 2:00-12:00. This is because the day-ahead load is quite
different from the corresponding real-time load. Note that
in time period 0:00-6:00, 11:00-15:00 and 20:00-23:00, the
results of the two pricing mechanisms are basically equal to
the grid electricity price at the corresponding time. This is
because during this period, the cost of electricity supply from
the grid is lower than the cost of energy supplied by the CHP
unit. Therefore, the park preferentially obtains electricity from
the grid. So the marginal cost of electricity supply is almost
equal to the grid price. In addition, grid electricity prices
are at their peaks in other periods, and the energy supply
cost of cogeneration units is lower than grid power supply,
so the marginal cost during this period is lower than the grid
electricity price.
From the above analysis, it can be seen that due to the
difference between day-ahead and real-time electricity and
thermal load, as well as day-ahead PV power generation is
not completely consistent with real-time PV power generation,
there have been major differences in some periods between
the day-ahead and real-time pricing results. Therefore, the
day-ahead CHP pricing mechanism cannot set a price that
matches the real-time load and PV power generation, which
shows the superiority of the dynamic pricing model.
B. LSTM-Based Real-Time Price Prediction
With Demand Response
In section V-A, we discussed the difference between
day-ahead and real-time energy load. Then we compared the
results of the two pricing mechanisms. However, according to
the trading scenario designed in Chapter III, end-use customers
will make demand respond based on the day-ahead energy
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Fig. 6. The distribution of the three types of load and the changes of the
total load after demand response.
TABLE II
T HRESHOLD FOR E LECTRICITY AND T HERMAL P RICES
price, while the previous section did not consider the impact of
demand response. This chapter discusses the impact of demand
response on user load and dynamic pricing, then verifies the
effectiveness of the designed dynamic prices prediction model.
Fig. 6 shows the distribution of the three types of load and
the changes in the total load after the demand response. It can
be seen from Fig. 6 that in a day’s electricity load, the base
load accounts for the largest proportion. The deferrable load
accounts for the second place, and the shiftable load accounts
for the smallest proportion. Since the base load cannot be
changed, the deferrable load has the greatest impact on the
total load. Therefore, the deferrable load has the greatest
impact on the real-time price, and the shiftable load has a
smaller impact on the real-time price.
According to Fig. 7, there is a big difference between
day-ahead price and real-time price in some periods. The
designed dynamic prices prediction model has a good fitting
effect on real-time price. It is not only the same as the real-time
change trend but also achieves better fitting accuracy.
C. Prices Spike Detection
In this section, we use the data generated by the strategy
pool to train the dynamic electricity and thermal price fitting
model we proposed in section III-B, and then use the trained
model for rolling spike detection and warning. The spike
warning effects of the designed dynamic pricing spike warning
model in the morning, noon and evening are shown in the
following figures.
The threshold we set for electricity and thermal prices are
shown in TABLE II. In addition, we set the probability of
demand response to 90%.
Fig. 8 and Fig. 9 are the spike warning results of
the dynamic prices spike detection model for electricity at
WU et al.: DYNAMIC PRICING AND PRICES SPIKE DETECTION FOR INDUSTRIAL PARK
Fig. 7. The pricing results of the two pricing mechanisms and the fitting
results of the dynamic prices prediction model.
Fig. 8. Electricity prices spike detection result at time 5:00.
Fig. 9. Electricity prices spike detection result at time 12:00.
5:00 and 12:00. It can be seen from Fig. 8 that the designed
dynamic prices prediction model predicts that there will be a
spike electricity price in the next 4 hours after 5:00, so an
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1335
Fig. 10. Thermal prices spike detection result at time 5:00.
Fig. 11. Thermal prices spike detection result at time 12:00.
electricity spike warning is issued. However, according to
Fig. 9, the designed dynamic prices prediction model predicts
there will be no spike electricity price within 4 hours after
12:00, so no electricity spike warning has been issued.
Fig. 10 and Fig. 11 are the spike warning results of the
dynamic prices spike warning model for thermal at 5:00 and
12:00. It can be seen from Fig. 10 that the designed dynamic
prices prediction model predicts that there will be a spike
thermal price within 4 hours after 5:00, so a thermal price
spike warning is issued. Note that according to the day-ahead
thermal price, there is no spike price in the next four hours, but
the prices spike detection method we designed is still correct to
give an early warning of the real-time thermal price spike price
in the next four hours. This shows the superiority of the price
spike detection method we designed. However, according to
Fig. 11, the designed dynamic prices prediction model predicts
there will be no spike thermal price within 4 hours after 12:00,
so no thermal price spike warning has been issued.
The simulation results verify the correctness of the price
spike warnings shown in Fig. 8 to Fig. 11.
1336 IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, VOL. 19, NO. 3, JULY 2022
In addition, we used 30-day test data to verify the prices
spike detection model, which lasted for 600 hours. Among
them, the correct number of spike detection of electricity price
was 557, and the correct rate was 92.83%. The correct number
of spike detection of thermal valence is 482, and the correct
rate is 80.33%.
The above simulation experiment verifies that the dynamic
pricing prediction model we proposed can predict the elec-
tricity and thermal prices in the next four hours with high
accuracy, and the spike detection model we designed can
correctly detect the price spike in the next four hours and issue
spike warnings in most supply-demand mismatching cases at
the right time.
VI. C ONCLUSION
In this work, an electricity and thermal coupling pricing
mechanism for industrial parks based on Lagrange relaxation
is proposed. It can output the pricing results that match the
actual energy load and PV power generation in the industrial
park. On this basis, considering demand response behavior
of end-use customers and the uncertainty of PV power gen-
eration in the actual scenario, we propose a dynamic prices
prediction model based on LSTM. Then we design a prices
spike detection model, which can take advantage of the day-
ahead data, predicting the next short-term operating horizon of
real-time dynamic prices. The numerical testing results verify
the effectiveness of the designed prices spike detection model.
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Jiang Wu (Member, IEEE) received the B.S. degree
in electrical engineering and the Ph.D. degree in
systems engineering from Xi’an Jiaotong University,
Xi’an, China, in 2002 and 2008, respectively.
He is currently an Associate Professor with the
Systems Engineering Institute, Xi’an Jiaotong Uni-
versity. His research interests include stochastic unit
commitment, wind energy, and deregulated electric-
ity markets.
Longkun Wu received the B.S. degree in
aerospace engineering from Central South Univer-
sity, Changsha, China, in 2018. He is currently
pursuing the M.S. degree in systems engineer-
ing with the Systems Engineering Institute, Xi’an
Jiaotong University.
His research interest includes multi-energy collab-
orative optimization of integrated energy systems.
Authorized licensed use limited to: National Chi Nan University. Downloaded on September 24,2022 at 16:44:46 UTC from IEEE Xplore. Restrictions apply.
1337
Zhanbo Xu (Member, IEEE) received the B.E.
degree in electrical engineering and automation from
the Harbin Institute of Technology, China, in 2008,
and the Ph.D. degree in control science and engineer-
ing from Xi’an Jiaotong University, China, in 2015.
He was a Post-Doctoral Scholar with the Berkeley
Education Alliance for Research in Singapore
from 2015 to 2017. He is currently a Profes-
sor with the Systems Engineering Institute, Xi’an
Jiaotong University, Xi’an, China. His research inter-
ests include networked energy systems, including
smart power grid, energy internet, planning and scheduling of cyber-physical
energy systems, building energy management, and smart city.
Xiaoyi Qiao received the bachelor’s degree from
the School of Electrical Engineering, Xi’an Jiaotong
University, Xi’an, China, in 2020, where he is
currently pursuing the master’s degree with the
School of Automation Science and Engineering. His
research interests are collaborative optimization in
power systems and deep reinforcement learning.
Xiaohong Guan (Fellow, IEEE) received the B.S.
and M.S. degrees in control engineering from
Tsinghua University, Beijing, China, in 1982 and
1985, respectively, and the Ph.D. degree in electrical
and systems engineering from the University of
Connecticut in 1993.
He was a Senior Consulting Engineer with Pacific
Gas and Electric from 1993 to 1995. He vis-
ited the Division of Engineering and Applied Sci-
ence, Harvard University, from 1999 to 2000.
From 1985 to 1988 and since 1995, he has been
with Xi’an Jiaotong University, Xi’an, China, and has been the Cheung Kong
Professor of Systems Engineering since 1999. He was the Director of the State
Key Laboratory for Manufacturing Systems from 1999 to 2009, the Dean of
the School of Electronic and Information Engineering from 2008 to 2018, and
the Dean of the Faculty of Electronic and Information Engineering since 2019.
Since 2001, he has also been with the Center for Intelligent and Networked
Systems, Tsinghua University, Beijing, China, where he served as the Head
for the Department of Automation from 2003 to 2008. He is a member of
the Chinese Academy of Sciences. His research interests include economics
and security of networked systems (including power and energy systems and
manufacturing systems) and cyber-physical systems.