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