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IEEE TRANSACTIONS ON POWER SYSTEMS 1

Hourly Electricity Demand Response in the

Stochastic Day-Ahead Scheduling of Coordinated
Electricity and Natural Gas Networks
Xiaping Zhang, Mohammad Shahidehpour, Fellow, IEEE, Ahmed Alabdulwahab, and Abdullah Abusorrah

Abstract—This paper studies the role of hourly economic de- Index of natural gas supply contracts.
mand response in the optimization of the stochastic day-ahead Index of nodes in natural gas network.
scheduling of electric power systems with natural gas transmission
constraints. The proposed coordinated stochastic model (referred Index of buses in electric network.
to as EGTran) considers random outages of generating units Index of triangle.
and transmission lines, and random errors in forecasting the
day-ahead hourly loads. The Monte Carlo simulation is applied to Variables:
create multiple scenarios for representing the coordinated system
uncertainties. The nonlinear natural gas network constraints are Status indicator of generating unit at time .
linearized and incorporated into the stochastic model. Numerical Generation dispatch of a unit at time .
results demonstrate the benefits of applying the hourly economic
demand response for enhancing the scheduling coordination of Start up and shut down cost of a unit at time .
natural gas and electricity networks. It is demonstrated that Cost function of generating unit .
electricity demand response would offer a less volatile hourly load
profile and locational marginal prices, and less dependence on Cost of natural gas contract at time .
natural gas constraints for the optimal operation of electric power Natural gas consumption of contract at time
systems. The proposed model for EGTran could be applied by
grid operators for the hourly commitment and dispatch of power
.
system units. Gas delivery amount of supplier at time .
Index Terms—Hourly demand response, mixed-integer pro- Gas load of load at time .
gramming, natural gas transmission system, stochastic secu- Load demand in the th block of the stepwise
rity-constrained unit commitment. demand bid at bus at time , in MW.
Adjustable load at bus at time , in MW.
NOMENCLATURE State of curtailment at bus at time , 1 when
curtailed and 0 otherwise.
Index: ON time of load at bus at time , in hour.
Index of scenarios. OFF time of load at bus at time , in hour.
Index of hours. Binary indicator variable of the th triangle.
Index of generating units. Power flow through branch .
Index of natural gas suppliers. Bus voltage angle.
Index of natural gas loads. Natural gas flow from node to .
Index of electricity transmission branches. Pressure of node.
Index of buses. Constants:
Probability of scenario .
Manuscript received September 07, 2014; revised November 09, 2014; ac- Number of scenarios.
cepted December 30, 2014. This work was supported in part by the Grant No.
Gr/34/6 from the Deanship of Scientific Research (DSR) at King Abdulaziz Number of load buses.
University in Saudi Arabia . Paper no. TPWRS-01217-2014. Number of time periods.
X. Zhang is with the Galvin Center for Electricity Innovation at Illinois In-
stitute of Technology, Chicago, IL 60616 USA. Reactance between bus and .
M. Shahidehpour is with the Galvin Center for Electricity Innovation at Illi-
nois Institute of Technology, Chicago, IL 60616 USA, and also with the Renew- Power flow limits of branch .
able Energy Research Group, King Abdulaziz University, Jeddah, Saudi Arabia. Fuel function coefficient of gas-fired unit.
A. Alabdulwahab and A. Abusorrah are with the Electrical and Computer
Engineering Department and affiliated with the Renewable Energy Research Number of natural gas suppliers.
Group, King Abdulaziz University, Jeddah, Saudi Arabia.
Color versions of one or more of the figures in this paper are available online Number of natural gas loads.
at http://ieeexplore.ieee.org. Price of natural gas for contract .
Digital Object Identifier 10.1109/TPWRS.2015.2390632

0885-8950 © 2015 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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2 IEEE TRANSACTIONS ON POWER SYSTEMS

Contracted amount of take or pay gas
contract .
Set of gas-fired generating units.
Set of nodes connected with
Set of node pair for pipeline from
node to node .
Minimum and maximum of natural gas
load.
Minimum and maximum pressure.
Minimum and maximum of gas injection.
Number of blocks of energy demand.
Marginal benefit of the th block of the bid,
in $/MW.
Maximum load at bus at time .
Expected price-responsive load .
Minimum and maximum curtailed load.
Pick-up or drop-off rate of load, MW/min.
Minimum ON/OFF time of load, hour.
Max energy change at bus
scheduling horizon.
Load participation factor.
Number of triangles .
Constants in the th triangle.
Node-gas supplier incidence matrix.
Node-gas load incidence matrix.
Bus-generator incidence matrix.
Bus-electrical load incidence matrix.
Bus-branch incidence matrix.
I. INTRODUCTION
readily available. This supply situation often happens during
cold seasons when natural gas companies supply the natural gas
for heating purposes to residential customers with fixed natural
. gas transmission services. Such conditions necessitate appro-
priate strategies for mitigating the increasingly intense natural
gas transmission constraints [4]. The hourly economic demand
response would play a major role in such cases as grid operators
optimize the stochastic security- constrained hourly schedule
with natural gas constraints.
Demand-side participation could offer an effective option in
critical circumstances when the natural gas supply to distributed
generating plants becomes scarce. Demand-side participation
includes on-site storage and demand response [5]. We specifi-
cally consider the application of hourly economic demand re-
sponse in this study. The participating consumers would re-
duce their hourly demands voluntarily in response to electricity
market prices [6]. In restructured power systems, nodal prices
may vary with time and location, so customers could adjust
their load profiles corresponding to price volatilities. Customers
could shift less critical loads to hours with more moderate prices
in the or curtail loads, though the second option is usually undesirable.
Hourly demand response could change the hourly load profile,
reduce peak load periods, and provide an economic operation
schedule [7]. The impact of price-based demand response on
market clearing and locational marginal prices of power systems
using network-constrained unit commitment model is quantita-
tively analyzed in [8]. The economic demand response offers an
important strategy for mitigating intense natural gas constraints
faced by power system operators.
The natural gas transmission capacity may not always be
fully available for serving gas-fired power plants because it
would have certain obligations for serving residential and com-
mercial loads. When natural gas and electricity transmission
flows reach their peaks at the same time (e.g., Northeastern
U.S. cold winter peaks in 2013), the natural gas supply to
power plants might be curtailed and fuel price spikes could

N ATURAL gas is becoming rapidly the optimal choice
for fueling new generating units in electricity grid [1].
The additional fleet of natural gas combined-cycle plants has
emerged over the past few years with the retirement of less
environmentally friendly coal generating plants. This transi-
tion is driven by the combination of low natural gas prices,
integration of additional renewable units which depend on
the flexibility offered by natural gas units, and increasingly
inevitable tougher environmental standards in many parts
of the world. In electricity markets, the independent system
operator (ISO) executes security-constrained unit commitment
(SCUC) for minimizing the operation cost on the premise of
satisfying network security constraints. For grid operators, the
interdependence of natural gas and electricity grid operations
is a critical and growing concern, which is exacerbated by the
addition of a large number of natural gas-fired generators [2].
The natural gas supply availability and fuel price volatility
would directly affect the hourly generation dispatch, cost of
supplying the hourly load, and electric power system reliability
[3]. Natural gas-fired power plants usually depend on interrupt-
ible natural gas transmission services, which could be problem-
atic if a sufficient supply of natural gas to power plants is not
occur. The fuel curtailment could lead to natural gas-fired
plant shutdown, higher power system operation costs, and
even jeopardize power system security at zones with a large
number of natural gas-fired units. In such circumstances,
hourly economic demand response would offer several security
options to grid operators for managing outages, and incentives
to customers to flatten their hourly load profiles for economic
purposes. Accordingly, some of the installed natural gas-fired
units which utilize expensive fuel would not be committed or
fully dispatched in the scheduling period, which would further
lead to a more economical solution schedule.
The interdependency issues of electricity and natural gas
transmission systems have received significant attention in
various papers. A coordinated model for assessing the im-
pact of natural gas transmission systems on power system
security was proposed in [9]; the natural gas network was
modeled by daily and hourly limits on pipelines, sub-areas,
plants, and generating units. The coordinated scheduling of
interdependent hydrothermal power system and natural gas
transmission system was considered in [10] by applying Aug-
mented Lagrangian relaxation method. A two-phase nonlinear
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ZHANG et al.: HOURLY ELECTRICITY DEMAND RESPONSE
optimization model was proposed in [11] to model the coordi-
nated operation of natural gas and power systems for reliability
studies. The long-term integrated planning of interdependent
natural gas and electric transmission systems was analyzed
in [12]. The piecewise linear approximation of nonlinear
flow-pressure relations were modeled in the unit commitment
problem [13]. The impact of natural gas contracts and con-
straints on a generating company's midterm risk-constrained
hydrothermal scheduling was studied in [14]. An integrated
model for day-ahead unit commitment model with nonlinear
natural gas transmission constraints was proposed in [15]. A
two-stage midterm stochastic unit commitment model to opti-
mize coordinated water and natural gas supplies was proposed
in [16], which considered system components random outages,
load forecast errors, and water inflow uncertainty.
This paper considers the hourly demand response in the
short-term stochastic model (referred to as EGTran) as an
economic option for optimizing the day-ahead scheduling of
interdependent electricity and natural gas transmission systems.
The natural gas transmission constraints representing the fuel
availability to natural gas-fired generation are introduced in
the hourly dispatch of the stochastic SCUC. The coordinated
system uncertainties include the hourly load forecast errors,
which follow a truncated normal distribution, and forced
outages of generating units and transmission lines, which are
represented by independent Markov processes. The nonlinear
natural gas network constraints are converted into a set of linear
constraints by using a piecewise linear approximation in the
3-D Euclidean space and the resulting problem is formulated
as a mixed integer linear programming (MILP) problem. The
proposed coordinated EGTran model for electricity and natural
gas transmission systems would maximize the total expected
social welfare of stochastic scenarios while satisfying the
prevailing security constraints.
The rest of this paper is organized as follows: The stochastic
simulation is presented in Section II. The coordinated model
is formulated in Section III. Section IV presents and in detail
discusses a 6-bus system and the IEEE 118-bus system. The
conclusion drawn from the study is provided in Section V.
II. STOCHASTIC SIMULATION OF COORDINATED NATURAL
GAS AND ELECTRIC POWER TRANSMISSION SYSTEMS
In this paper, a set of possible scenarios are generated based
on the Monte Carlo simulation method for the modeling of un-
certainties in EGTran. Load forecast errors and random out-
ages of generating units and transmission lines are considered
in all scenarios. Each scenario represents a possible state for the
availability of power system components and an hourly power
system load along with natural gas and power system constraints
for supplying the given hourly load quantities in each scenario.
A sequential Monte Carlo simulation is applied to model
random power system outages in the scheduling period. The
EGTran simulation is based on the sampling of the probability
distribution of the component state duration. We assume the
probability distributions associated with mean time to failure
(MTTF) and mean time to repair (MTTR) are available and the
power system is at the normal state initially [17].
3
We use a two-state continuous-time Markov chain model in
EGTran to represent available and unavailable states of power
system components. In a two-state model, the underlying dis-
tribution functions for representing the duration of operation or
repair state is assumed to be exponential. The repair and failure
rates for the th component in period are represented by and
, respectively. The steady state availability of the th gener-
ating unit is and its unavailability is .
The associated conditional probabilities for the th component
are defined as
We generate a successive series of states by drawing samples
of time to failure or time to repair with exponential
distribution functions for representing generation units and
transmission line outages. A power system state represents
a combination of individual states of components. We apply
in each scenario for repre-
senting component availabilities in which indicates
the th component is available at time and indicates
otherwise.
A low-discrepancy Monte Carlo simulation method Latin hy-
percube sampling (LHS) technique is employed to decrease the
variance of simple Monte Carlo simulation [18]. LHS stratifies
the input probability distributions and the effect is that each
sample (the data of each simulation) is constrained to match
the input distribution very closely. So we can use a relatively
smaller number of samples to reach the same convergence.
The day-ahead load forecast error can be represented by hy-
perbolic distribution function, normal distribution function, or
truncated normal distribution function. The truncated normal
distribution is more practical since it would eliminate extrem-
ities of random loads for large forecast errors. In this paper, a
truncated normal distribution for load forecast errors is repre-
sented by zero mean and a standard deviation that is 5% of the
hourly load forecast. The probability distribution function of the
truncated normal distribution is given as
For the load uncertainty, the scheduling horizon is divided
into several time intervals, and a few scenarios (say ) are gen-
erated in each interval (say ) based on the historical data. The
scenario tree will have scenarios each with a possibility of
.
The computation burden ascends rapidly with the number
of scenarios in large-scale scheduling problems. Therefore, a
scenario reduction method is adopted as a tradeoff between
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4 IEEE TRANSACTIONS ON POWER SYSTEMS

the computation efficiency and the modeling accuracy [19].

The scenario reduction algorithms would determine a scenario
subset and assign new probabilities to the preserved scenarios
such that the corresponding reduced probability measure is
the closest to the original measure in terms of a certain prob-
ability distance. Simultaneous backward and fast forward
reduction algorithms are introduced in [20]. In our work, we
used SCENRED for the scenarios reduction, which is a tool
provided by General Algebraic Modeling System (GAMS) and Fig. 1. Stepwise demand response bidding curve.
contains several reduction algorithms. The GAMS outcome
would present a smaller number of scenarios with a reason-
able approximation of the original system. After reduction, B. System and Units Constraints
scenarios are retained and a weight is assigned to each 1) Power Balance Constraint:
scenario that reflects the possibility of its occurrence. The
sum of probabilities for all scenarios is equal to one, that is
(2)
.
The natural gas price for generators is fixed within a day if we
choose a spot market for natural gas. Therefore, the gas price 2) Generating Unit Constraints: Physical constraints on ca-
uncertainty is not considered in our day-ahead optimal sched- pacity limits, ramp rate limits, startup/ shutdown characteristics,
uling. However, in a midterm optimal scheduling or long-term min ON/OFF time, etc. [21].
planning, the natural gas price would play a very critical role 3) Power Transmission Constraints: Constraint (3) shows
because the gas price usually exhibits a high correlation with the power balance at each bus. Constraint (4) represents the
the weather and the season. power flow from bus to bus , which is limited by the trans-
mission line capacity (5). Constraint (6) sets the voltage angle
of the reference bus to zero:
III. FORMULATION OF EGTRAN
Hourly economic demand response is introduced into the pro- (3)
posed stochastic model of EGTran for managing the interde- (4)
pendency of power systems with natural gas transmission con-
straints. EGTran would determine the hourly unit commitment (5)
and economic demand response schedules for maximizing the (6)
expected social welfare while meeting the prevailing electricity
and natural gas constraints. The frame of the model is described
as follows: C. Demand Response Constraints
Max: Expected Social Welfare We consider price responsive loads for the demand response
s.t. program via price-sensitive load consumption curves. The price
1) Power system and generator units constraints responsive load participants can control the energy consumption
2) Hourly demand response constraints in response to the market prices by curtailing or shifting loads
3) Natural gas fuel and network constraints to other operating hours [22]. A price responsive load bid con-
sists of several blocks of stepwise hourly energy consumption
A. Objective Function quantity and corresponding prices as shown in Fig. 1.
Here, OA, OB, and OC represent the scheduled load by
The EGTran objective (1) is to maximize the expected so-
market operator, expected price responsive load ( ), and
cial welfare over the entire scheduling horizon. The first term of
maximum load ( ), respectively. The scheduled load by
the objective function represents the customer gross surplus, the
market operator is the sum of block demands at bus at time .
second term is the contract cost of natural gas supply to gas-fired
is the adjustable load, which is defined as the difference
units, and the third term is the generation cost of other thermal
between the expected price responsive load and the scheduled
units which includes fuel cost, start-up, and shut-down cost.
load.
is assigned to each scenario which reflects the possibility of oc-
The correlation between block demand and adjustable load at
currence. The joint objective function for scenarios represents
each period is given as
the scenario-based approximation of uncertainties applied to the
original power system:
(7)

The constraints on adjustable load are expressed as

(1)
(8)
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ZHANG et al.: HOURLY ELECTRICITY DEMAND RESPONSE
where indicates the status of demand response at bus at
time in scenario , 1 means the load is shifted while 0 means
the scheduled load is equal to the expected load. is pos-
itive when the load is shifted out from bus at hour while
it is negative when load is shifted to bus at hour . Both ad-
justable load and its status are decision variables in
the model.
The total curtailment for each price responsive load at bus
in the scheduling horizon is limited to a predefined amount.
The setting value of the right term would indicate whether the
load is curtailed or shifted in the scheduling horizon. By setting
to 0, the curtailed load at certain time periods will be fully
shifted to other periods:
(9)
The adjusted load between two successive periods is
restricted by load pick-up/drop-off rates (10). The load
pick-up/drop-off rates represent the ramping capability for
restored/curtailed loads, which is correlated with customer load
characteristics:
(10)
The minimum on/off times in (11) indicate that a specific load
is supplied or curtailed in the scheduling horizon. Minimum
on time defines the number of consecutive hours that the load
would be supplied after it is restored. Minimum off time rep-
resents the minimum number of consecutive hours that a load
would be off after it is curtailed:
(11)
D. Natural Gas System Constraints
1) Natural Gas Fuel Constraints for Gas-Fired Units:
Gas-fired unit is the largest industrial consumer of natural gas
system which links the natural gas system with the electric
power system. A power plant that owns the gas-fired units may
sign firm or flexible contracts with natural gas suppliers. For
each gas-fired unit, we model the natural gas supply contract
as flexible contract in this model. Constraints (12)–(15) would
provide the coupling between the electric power and the natural
gas system operations. The fuel cost of each natural gas-fired
unit depends on its natural gas consumption and the price
of natural gas (12). Here, the natural gas consumption is de-
termined by the hourly generation dispatch of natural gas-fired
units (13). Each natural gas supply contract for supplying
natural gas-fired units is considered as a natural gas load in the
natural gas network model (14). Equation (15) indicates that
the natural gas consumption by a gas-fired unit cannot exceed
the contracted amount in a natural gas day:
(12)
(13)
(14)
5
(15)
2) Natural Gas Network Constraints: There are certain
similarities between electricity and natural gas transmission
systems. Both are designed to supply end users through their
respective transmission system. The natural gas transmission
system is comprised of natural gas wells, storage facilities,
transmission pipelines (high pressure) and distribution pipelines
(low pressure), and natural gas customers. As one of the largest
and most complex nonlinear systems, the natural gas transmis-
sion system can be represented by its steady state and dynamic
characteristics [23]. The steady state mathematical model
comprised of a group of nonlinear equations is presented in our
stochastic day-ahead scheduling model. From the mathematical
viewpoint, the steady-state natural gas problem will determine
the state variables including nodal pressures and flow rates in
individual pipelines based on the known injection values of
natural gas supply and load.
Supply and Load: : Natural gas suppliers are gas well and
storage facilities which provide the natural gas through its trans-
mission network. Supplies are modeled as positive gas injec-
tions at related nodes. The lower and upper limits of gas sup-
pliers at each period are given as
(16)
Natural gas consumers are classified into industrial, commer-
cial, and residential loads with different priorities. Natural gas-
fired power plants are industrial customers which use natural
gas to generate electricity. The priority of residential load is
higher than that of industrial loads in the natural gas scheduling
horizon. Natural gas loads are represented as negative injections
at related nodes with lower and upper limits:
(17)
Flow Conservation: The steady-state natural gas injection
at each node is equal to the flow extracted from the node. The
flow conservation (18) ensures the nodal balance at the natural
gas transmission system:
(18)
Pipeline: Natural gas is delivered to customers via
pipelines. The pipelines include passive pipeline (regular) and
active pipeline. The compressors in active pipelines would
increase the pressure difference between the corresponding
nodes for increasing the transmission capacity. Natural gas
flows in pipelines are dependent on factors such as the length
and diameter of pipelines, operating temperatures, pressures,
type of natural gas, altitude change over the transmission path,
and the roughness of pipelines.
In the proposed EGTran model, we consider the regular
pipeline for simulating the natural gas pipeline system. The
natural gas flow between gas nodes and is a quadratic
function of the pressure at the two end nodes:
(19)
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6 IEEE TRANSACTIONS ON POWER SYSTEMS

(20)
(21)

where is the pipeline constant that depends on the temper-

ature, length, diameter, friction, and natural gas compositions.
Similar to electric transmission lines with bus voltage limits,
the natural gas network would maintain the nodal pressure (21)
within the prescribed limits for customers.
In (19), the natural gas flow is formulated as a nonlinear func-
tion of natural gas flow and nodal pressure. A fast forward sub-
stitution method which results from Newton-Raphson method
could be applied which requires a large number of iterations for
an approximation solution that is sensitive to the initial natural
gas operating point [15]. If the initial point is not close to the
global optimal point, the final solution may be a local optima.
The nonlinear pipeline flow rate constraints would have a signif-
icant impact on the computation burden in the stochastic model.
In EGTran, we convert the natural gas flow (19)–(20) into a
set of linear constraints by using a piecewise linear approxima-
tion in a 3-D Euclidean space, which is briefly discussed below.
Given a node pair , the feasible region of node pressure
is expressed as

(22)

The piecewise linear approximation would divide the feasible

region (22) into convex polytopes (triangles). A plane in a 3-D
Euclidean space is then generated in each polytope to represent
the relationship between the natural gas flow and the nodal pres- Fig. 2. Stochastic SCUC with natural gas transmission constraints.
sure. The natural gas flow when is expressed as

A few scenarios are retained by scenario reduction and each sce-

nario represents a possible state for the electric power system.
(23) The stochastic SCUC solution would provide the gas consump-
where , , and are constants in the th triangle; and tion by natural gas-fired units. Accordingly, the natural gas net-
are node pressures in the th triangle; and is binary indicator work subproblem would check the natural gas transportation
variable. The following linear constraints are introduced based feasibility in each scenario. If any violation is encountered, nat-
on the above notations: ural gas network constraints are fed back to the master problem
for a revised SCUC solution. This process will be repeated until
(24) a feasible solution of the coordinated system is obtained for all
scenarios.
(25) IV. NUMERICAL SIMULATIONS OF THE EGTRAN MODEL
(26) We use two case studies consisting of a 6-bus power system
with 6-node natural gas system and the IEEE 118-bus system
(27) with 10-node natural gas system to test the proposed model. The
proposed coordinated model stated in (1)–(28) is solved using
the ILOG CPLEX 11.0 in Microsoft VisualC#.NET on an Intel
(28)
Xeon Server with 64 GB of RAM.

Equations (1)–(28) represent the stochastic EGTran problem for
integrating the hourly demand response into the natural gas net-
work model. The EGTran problem is converted into an MILP
unit commitment problem and natural gas network subproblem
as shown in Fig. 2. Here, the input data including hourly load
forecast and the forced outages of generating units and trans-
mission lines are used to generate a large number of scenarios.
A. Six-Bus System
The 6-bus system depicted in Fig. 3 has three natural gas-
fired units, seven transmission lines, and three loads. The unit
startup and shutdown costs are assumed negligible and equal
to zero in this case. We consider the same fuel price for the
three gas-fired units. The 6-node natural gas system is given
in Fig. 4, which has 5 pipelines, 2 natural gas suppliers, and
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ZHANG et al.: HOURLY ELECTRICITY DEMAND RESPONSE
Fig. 3. Six-bus power system.
Fig. 4. Six-node natural gas system.
5 natural gas loads. Natural gas Loads 1, 5, 3 are determined
by the hourly generation dispatch of natural gas-fired units 1,
2, and 3. Natural gas loads 2 and 4 represent other kinds of gas
loads. The test data for electricity and natural gas systems are
provided in motor.ece.iit.edu/data/Gastranssmion6_1.xlsx.
Three cases are presented to illustrate the hourly economic
demand response applied to the stochastic day-ahead scheduling
of electric power systems with natural gas transmission con-
straints.
Case 1: Deterministic base case without considering the
hourly demand response.
Case 2: Hourly demand response is introduced into the
model.
Case 3: Stochastic conditions are considered in Case 2.
These cases are discussed as follows.
Case 1: The hourly demand response is not considered in
this case. Natural gas transmission constraints are based on the
linear model discussed in Section III. The hourly commitment
schedule is shown in Table I in which the hour 0 represents
the initial state. When we ignore natural gas constraints, the
cheapest unit 1 is committed during the entire scheduling
horizon, while the expensive units 2 and 3 are only committed
between hours 11 and 20. However, the expensive unit 2 is
committed between hours 1 and 23 when the natural gas trans-
mission constraints are enforced. The total generation dispatch
of cheapest unit 1 is decreased from 4529.8 MWh to 4388.9
MWh. The daily operation cost is increased to $85 687 as com-
pared $81 317 without the natural gas transmission constraints.
Case 2: In this case, hourly demand response is introduced
at all load buses to analyze its impact on the hourly genera-
tion unit scheduling with natural gas transmission constraints.
The load participation factor, which is defined as the ratio of
available price responsive load to the expected price responsive
load, is fixed at 0.2. The total load curtailments in the sched-
uling horizon is set to zero, which means the load can only be
7
TABLE I
HOURLY SCHEDULE OF CASE 1 OF 6-BUS SYSTEM
TABLE II
HOURLY SCHEDULE OF CASE 2 OF 6-BUS SYSTEM
Fig. 5. Hourly dispatch of unit 1 in Cases 1–2.
shifted to other periods within the same scheduling horizon. The
hourly commitment schedule is shown in Table II. Since the de-
mand response has shifted the peak load to other periods, the
expensive generating unit 3 is not committed in the scheduling
horizon. Also the total generation dispatch of unit 2 is decreased
from 405.22 MWh in Case 1 to 244.93 MWh in Case 2 within
the schedule horizon.
The hourly generation dispatch comparison of the cheapest
unit 1 in Cases 1–2 is shown in Fig. 5. Here, unit 1 has a more
volatile schedule when natural gas constraints are considered.
At hour 10, the pressure at nodes 4 and 5 is at its minimum when
natural gas transmission constraints are considered in Case 1,
which resulted in a lower dispatch. In comparison, the unit 1
dispatch is less volatile in Case 2 when the hourly demand re-
sponse is introduced. The daily production cost is reduced to
$80 070 in Case 2, which is lower than that in Case 1. In this
case, the peak load periods are shifted to other periods, which
also reduce locational marginal price (LMP) and transmission
congestion.
Fig. 6 shows that the hourly load profile is more flat when de-
mand response is incorporated. A flat load profile corresponds
to lower LMPs. For comparison, the average LMP profile of
the six buses is shown in Fig. 7 in which the LMPs are higher
 This article has been accepted for inclusion in a future issue of this journal. Content is final as presented, with the exception of pagination.
8 IEEE TRANSACTIONS ON POWER SYSTEMS
Fig. 6. Hourly load profile without and with DR.
Fig. 7. Hourly average LMP in Cases 1–2.
Fig. 8. Hourly gas consumption without and with DR.
between hours 12 and 21 in Case 1. However, the demand re-
sponse in Case 2 has lowered the LMPs as peak loads are shifted
to off-peak hours.
The total natural gas consumption profile of the three units
in case 1 and case 2 is shown in Fig. 8. It presents a similar
profile as electricity load. A peak load appears at hour 17 in
case 2. When the hourly demand response is incorporated, the
natural gas consumption profile could be shaved more flat. The
natural gas-fired power plants are usually supplied as industrial
customers with lower priority in natural gas schedule. So a flat
natural gas consumption profile of gas-fired units would avoid
to peak simultaneously with residential load and decrease the
chance of inadequate supplies of natural gas.
Case 3: In this case, uncertainties are introduced to the
EGTran model. The load forecasting error follows a truncated
normal distribution with a mean value equal to the load forecast
and standard deviation of 5% of the mean value. Power system
component outages are not considered in this small example.
The hourly demand response is included in the stochastic
model. We created 6561 scenarios initially, which are reduced
to 11 by the scenario reduction technique for computation
efficiency. Table III presents the results including the sum of
TABLE III
COMPARISON OF RESULTS FOR DIFFERENT SCENARIO
random load in the entire scheduling horizon and operation cost
for different scenarios with corresponding probabilities.
The expected operation cost in this case is $79 778, which is
lower than that of the deterministic solution (e.g., $80 070). As
shown in Table III, the scenario cost is also calculated based on
the dispatch of generating unit in various scenarios. The produc-
tion cost varies in scenarios because each scenario represents a
combination of random loads over the entire scheduling period,
which is different from the forecasted value.
The daily production costs in Cases 1–3 are compared in
Fig. 9. In Case 1, the total cost is increased from $81 317 to
$85 687 since the inclusion of natural gas constraints has re-
sulted in a modified hourly dispatch. When the hourly demand
response is considered in Case 2, the total cost is reduced to
$80 070. This is because the hourly demand response has shifted
the peak load to other periods when the supply of natural gas is
less limited. The results show that the hourly demand response
can provide more economic unit dispatch and reduce the pro-
duction cost by shaving the consumption of natural gas at peak
hours. The computation time for 11 scenarios of 6-bus system
is 2078 s while the deterministic solution takes only 229 s.
A higher modeling accuracy can be obtained by including
more scenarios along with a considerably higher computation
burden to solve the EGTran problem. Meanwhile, the lineariza-
tion of pipeline flow rate constraints also brings in ancillary vari-
ables to the problem. So the selection of an appropriate number
of scenarios would represent a tradeoff between the computa-
tion efficiency and the modeling accuracy.
B. Modified IEEE 118-Bus System
The modified IEEE-118 bus system has 54 thermal genera-
tors including 8 natural gas-fired units, 186 branches, and 91
load buses. The total capacity of natural gas-fired units is 725
MW, which is 10% of total generation capacity. The peak load
of 6000 MW occurs at hour 21. Hourly demand programs at all
load buses, and random outages of generating unit and transmis-
sion lines, load forecast errors are considered. The natural gas
transmission system is composed of 10 nodes and 10 pipelines
as shown in Fig. 10. L1-L8 are gas loads consumed by gas-fired
units 1-8, respectively. L9-L12 are fixed residential gas loads.
The test data for electricity and natural gas systems are given in
motor.ece.iit.edu/data/Gastranssmion_118_10.xls.
Table IV presents the deterministic solution and stochastic
solution of three stochastic scenarios with its probabilities. In
this 10-node natural gas system, the cheapest natural gas unit
 This article has been accepted for inclusion in a future issue of this journal. Content is final as presented, with the exception of pagination.
ZHANG et al.: HOURLY ELECTRICITY DEMAND RESPONSE
Fig. 9. Daily production cost comparison for Case 1–3.
Fig. 10. Ten-node natural gas system.
TABLE IV
COMPARISON OF RESULTS FOR DIFFERENT CASES
G6 cannot always operate at full capacity due to the natural gas
node pressure constraints. The pressure at natural gas node 8
has reached its minimum 310Psig during most of the periods,
which would further limit the natural gas supply to unit G6.
Meanwhile, the other cheap unit G4 is located at the same lo-
cation (node 5) where a high priority residential load L11 is lo-
cated. Furthermore, node 5 is distant from the natural gas sup-
plier node. The natural gas consumption of G4 is tightly lim-
ited by the natural gas constraints. However, the hourly de-
mand response program introduces a flat natural gas consump-
tion profile and lowers the LMPs by shifting the peak loads.
So the operation cost does not change much as compared to
$1 699 510 without considering natural gas constraints. Without
considering the random outages and load forecast errors, the de-
terministic daily production cost is $1 701 014.
In the stochastic model when component outages and load un-
certainties are both considered, the expected operation cost for
the three retained scenarios is $1 703 304. The random outage
occurs in scenario 2 for unit 25 at hours 9 and 10. However,
the expensive unit 25 is not committed during the scheduling
horizon, so this outage would not affect the expected operation
9
cost as well as the scenario cost. The scenario cost difference
between three scenarios is mainly caused by the random load
consideration in each scenario.
The computation time for the deterministic problem of the
118-bus system is about 350 s. However, the computation time
increases exponentially in the stochastic model because the sto-
chastic model would introduce additional variables associated
with the number of scenarios. Meanwhile, the linearization of
natural gas pipeline flow would also require a large number of
auxiliary variables to solve the gas distribution problem. Hence,
we reduce the number of stochastic scenarios from 6561 to 3
which would be computed in 10 330 s. In practical cases, we
would offer more scenarios and reduce the computation time
further by applying heuristic rules for representing specific
cases and considering parallel processing that would speed up
the solution process further. We may also resort to enforcing
the natural gas network constraints simply on selected gas-fired
units which are located in gas supply-limited regions.
In addition, several methods for considering the uncertainty
in the unit commitment problem were proposed in recent years
which included interval and robust optimization methods [24],
[25]. One attractive aspect of these methods is that they can
solve the unit commitment problem with less added variables
and more moderate information on potential uncertainties. For
a large-scale power system problem considering its interdepen-
dency with a natural gas system, these recent methods may offer
better alternatives for addressing the computation challenges.
V. OBSERVATIONS
Based on the numerical results, we list our observations:
1) Natural gas transmission constraints could impact the unit
commitment and cause the daily operation cost to increase.
2) Hourly demand response offers a flat load profile by
shifting peak loads to other periods. It could shave the
natural gas consumption, lower LMPs, and reduce the
system operation cost.
3) The stochasticity factor and the nonlinear model of natural
gas flow have increased the computation burden. However,
selecting an appropriate number of scenarios and a sim-
plified gas flow model could speed up the solution as a
tradeoff between the computation efficiency and the mod-
eling accuracy.
VI. CONCLUSIONS
This paper proposed a short-term stochastic model of EGTran
which incorporates the hourly demand response for managing
the interdependency of electricity and natural gas systems. The
paper applies the MIP approach for solving the coordinated
electricity and natural gas model and considers the random out-
ages of generating units and transmission lines, as well as load
forecast errors. The natural gas-fired units would link the two
coordinated systems. The natural gas network is modeled as a
set of hourly linear constraints on fuel contracts, natural gas
suppliers, load pickup/drop-offs, and pipeline flows. The nat-
ural gas transmission constraints could impact the hourly unit
commitment and cause the daily operation cost to increase. The
case studies demonstrate that the hourly demand response is an
effective strategy to lower the hourly LMPs and further reduce
 This article has been accepted for inclusion in a future issue of this journal. Content is final as presented, with the exception of pagination.
10
the operation cost by offering a flat load profile. The coordinated
stochastic model provides an appropriate way to consider the
impact of the system uncertainties. The computation burden in
the stochastic case is increased significantly with the inclusion
of natural gas system constraints. In practical cases, we would
offer more scenarios by simplifying gas constraints on specific
units and periods based on gas supply positions, introducing
heuristic rules for representing specific cases, and applying par-
allel processing that would speed up the solution process.
ACKNOWLEDGMENT
The authors acknowledge and appreciate the technical and fi-
nancial support for the grant number Gr/34/6 provided by DSR.
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Xiaping Zhang received the B.S. and M.S. degrees in electrical engineering
from Shanghai Jiaotong University, China, in 2006 and 2009, respectively. Cur-
rently she is pursuing the Ph.D. degree at the Illinois Institute of Technology,
Chicago, IL, USA.
Mohammad Shahidehpour (F'01) is the Bodine Chair Professor and Director
of Robert W. Galvin Center for Electricity Innovation at the Illinois Institute
of Technology, Chicago, IL, USA. He is also a Research Professor with the
Renewable Energy Research Group, King Abdulaziz University, Jeddah, Saudi
Arabia.
Dr. Shahidehpour is the recipient of the Honorary Doctorate for the Poly-
technic University of Bucharest in Romania.
Ahmed Alabdulwahab received the Ph.D. degree in electrical engineering
from the University of Saskatchewan, Saskatoon, SK, Canada.
He is an Associate Professor in the Department of Electrical Engineering
and Computer Engineering and affiliated with the Renewable Energy Research
Group, King Abdulaziz University, Jeddah, Saudi Arabia. He has been a consul-
tant to the Electricity and Co-Generation Regulatory Authority in Saudi Arabia
and a visiting scientist at Kinectrics and the University of Manchester. His field
of interest includes power system planning and reliability evaluations.
Abdullah Abusorrah received the Ph.D. degree in electrical engineering from
the University of Nottingham, U.K.
He is an Associate Professor in the Department of Electrical Engineering and
Computer Engineering at King Abdulaziz University, Jeddah, Saudi Arabia. He
is the coordinator of the Renewable Energy Research Group and member of the
energy center foundation committee at King Abdulaziz University. His field of
interest includes power quality and system analyses.