You are on page 1of 22

Modeling the Unit Commitment

Problem with Uncertainty


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

INFORMS Annual Meeting


Seattle, WA, Nov 7th, 2007
Motivation

X Decision making in power systems is complex

Š Large scale, nonlinear systems


Š Multi-period discrete decisions
Š Uncertainty

X Changing conditions in power industry require

more efficient management of uncertainty

X Improved optimization and modeling capabilities

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

X Unit commitment problem

X Economic dispatch problem

X Sources of uncertainty

X Stochastic programming with reserve


requirements

X Simulation study results

X Summary and Work in Progress

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

X Objective: select the generators to be used in


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

X Multi-period constraints, e.g., minimum


operating time

X Mixed integer problem

X Time horizon: two days

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

X Objective: select the production level of each

scheduled generator for each hour of the

period of study so as to minimize the total

operation costs

X Model is formulated so that all variables are

continuous

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

X Departure from load forecast


Š continuous
Š predictable

X Unreliable equipment
Š network and generation outages
Š discrete events

⇒ The unit commitment decision needs to


be flexible and robust

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

X AR(1) stochastic load model:

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


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

X Markov chain model for each generator’s


reliability
1–a
a on off

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

X Reserve requirements, Ref. [1], [2]

X Stochastic Programming, Ref. [3] - [5]

X Stochastic Programming with reserve

requirements (proposed)

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

X Reserve is spare generating capacity to meet


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

X Requirements depend on
Š weather dependency of load,
Š generation unreliability

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

9 Have widespread use in the industry

9 Do not significantly augment the size of the UC

8 The sources of uncertainty are not explicitly


considered

8 The resulting policy may not be economically


efficient

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

9 Stochastic programming allows the explicit


modeling of the sources of uncertainty and of
the decision process

8 The computational cost of the decision


increases w.r.t. a deterministic formulation

The objective function is the expected cost over


a few representative scenarios

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

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

commitment scenario dispatch time


decision realization decision

X In the traditional stochastic approach,


Š reserve requirements are dropped

Š feasibility is guaranteed by allowing load shedding at a


high cost

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

9 Recognizes the limited representation of the

uncertainty in the “pure” Stochastic UC

9 Allows the synergy of both methods

9 Enables a trade-off between computational

costs and solution efficiency

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

XThe implementation is based on AREVA’s


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

XUtilizes AIMMS stochastic programming


capabilities, Ref. [6]

XSolution engine: CPLEX 10.1

XIEEE Reliability Test System, Ref. [7]

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

1. Construct scenarios for the UC formulation

2. Solve the unit commitment problem for


various reserve levels

3. Assess the efficiency of the different UC


decisions using Monte-Carlo simulation:

Š sample load and/or generation state and solve for


production levels with fixed commitment

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

expected cost reduction: 2.3%


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

XNeither “pure strategy” is the most efficient

XA proper combination of stochastic


programming and reserve requirements leads
to superior solutions

XThe range of reasonable reserve


requirements is enlarged with a stochastic
model

XOptimal reserve requirements are reduced

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

expected cost reduction: 0.3%


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

X We have described different approaches for


dealing with uncertainty in the UC decision

X Stochastic Unit Commitment with reserve


requirements yields the lowest expected
costs of operation

X Work in progress and future work:


wind generation uncertainty

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

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


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

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

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


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

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

Pablo A. Ruiz paruiz@ieee.org


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

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