Price-Based Commitment Decisions in the Electricity Market PDF
Preview Price-Based Commitment Decisions in the Electricity Market
Advances in Industrial Control Springer-Verlag London Ltd. Other titles published in this Series: Modeling and Advanced Control for Proces Industries, Applications to Paper Making Processes Ming Rao, Qijun Xia and Yiquan Ying Modelling and Simulation of Power Generation Plants A.W. Ordys, A.W. Pike, M.A. Johnson, R.M. Katebi and M.J. Grimble Model Predictive Control in the Process Industry E.F. Camacho and C. Bordons Hoo Aerospace Control Design: A VSTOL Flight Application R.A. Hyde Neural Network Engineering in Dynamic Control Systems Edited by Kenneth Hunt, George Irwin and Kevin Warwick Neuro-Control and its Applications Sigeru Omatu, Marzuki Khalid and Rubiyah Yusof Energy Efficient Train Control P.G. Howlett and P.J. Pudney Hierarchical Power Systems Control: Its Value in a Changing Industry Marija D. Ilic and Shell Liu System Identification and Robust Control Steen T0ffner-Clausen Genetic Algorithms for Control and Signal Processing K.F. Man, K.S. Tang, S. Kwong and W.A. Halang Advanced Control of Solar Plants E.F. Camacho, M. Berenguel and F.R. Rubio Control of Modern Integrated Power Systems E. Mariani and S.S. Murthy Advanced Load Dispatch for Power Systems: Principles, Practices and Economies E. Mariani and S.S. Murthy Supervision and Control for Industrial Processes Björn Sohlberg Modelling and Simulation of Human Behaviour in System Control Pietro Carlo Cacciabue Modelling and Identification in Robotics Krzysztof Kozlowski Spacecraft Navigation and Guidance Maxwell Noton Robust Estimation and Failure Detection Rami Mangoubi Adaptive Internal Model Control Aniruddha Datta Eric Allen and Marija Ilic Price-Based Commitment Decisions in the Electricity Market With 43 Figures Jp Springer Dr. Eric Allen New York Power Pool, 3890 Carman Road, Schenectady, NY 12303, USA Dr.Marija Ilic Dept. of Electical Engineering and Computer Science, M.I.T., 77 Massachusetts Avenue, 10-059, Cambridge, MA 02139, U.S.A. British Library Cataloguing in Publication Data Allen, Eric Price-based commitment decisions in the electricity market 1. Electric power - Economic aspects 2. Electric power production - Economic aspects 3. Electric utilities - Decision making I. Title II. Ilic, Marija 333.7'9323 Library of Congress Cataloging-in-Publication Data Allen, Eric, 1971- Price-based commitment decisions in the electricity market / Eric Allen and Marija Ilic. P. cm — (Advances in industrial control) Includes bibliographical references and index. ISBN 978-1-4471-1162-7 ISBN 978-1-4471-0571-8 (eBook) DOI 10.1007/978-1-4471-0571-8 1. Electric power — Purchasing — Decision making — Mathematical models. 2. Electric utilities — Rates — Mathematical models. I. Ilic, Marija D., 1951 - . II. Titel. III. Series. HD9685.A2A46 1999 98-41453 333.793,2,0687—dc21 CIP Apart from any fair dealing for the purposes of research or private study, or criticism or review, as permitted under the Copyright, Designs and Patents Act 1988, this publication may only be reproduced, stored or transmitted, in any form or by any means, with the prior permission in writing of the publishers, or in the case of reprographic reproduction in accordance with the terms of licences issued by the Copyright Licensing Agency. Enquiries concerning reproduction outside those terms should be sent to the publishers. © Springer-Verlag London 1999 Originally published by Springer-Verlag London Limited in 1999 The use of registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant laws and regulations and therefore free for general use. The publisher makes no representation, express or implied, with regard to the accuracy of the information contained in this book and cannot accept any legal responsibility or liability for any errors or omissions that may be made. Typesetting: Camera ready by authors 69/3830-543210 Printed on acid-free paper Advances in Industrial Control Series Editors Professor Michael J. Grimble, Professor ofIndustrial Systems and Director Professor. Michael A. Johnson, Professor in Control Systems and Deputy Director Industrial Control Centre Department of Electronic and Electrical Engineering University of Strathclyde Graham Hills Building 50 George Street GlasgowG11QE United Kingdom Series Advisory Board Professor Dr-Ing J. Ackermann DLR Institut fUr Robotik und Systemdynamik Postfach 1116 D82230 Weming Germany Professor J.D. Landau Laboratoire d'Automatique de Grenoble ENSIEG, BP 46 38402 Saint Martin d'Heres France Dr D.C. McFarlane Department of Engineering University of Cambridge Cambridge CB2 1QJ United Kingdom Professor B. Wittenmark Department of Automatic Control Lund Institute of Technology PO Box 118 S-221 00 Lund Sweden Professor D.W. Clarke Department of Engineering Science University of Oxford Parks Road Oxford OX1 3PJ United Kingdom Professor Dr -Ing M. Thoma Westermannweg 7 40419 Hannover Germany Professor H. Kimura Department of Mathematical Engineering and Information Physics Faculty of Engineering The University of Tokyo 7-3-1 Hongo Bunkyo Ku Tokyo 113 Japan Professor A.J. Laub College of Engineering -Dean's Office University of California One Shields Avenue Davis California 95616-5294 United States of America Professor J.B. Moore Department of Systems Engineering The Australian National University Research School of Physical Sciences GPO Box4 Canberra ACT 2601 Australia Dr M.K. Masten Texas Instruments 2309 N orthcrest Plano TX 75075 United States of America Professor Ton Backx AspenTech Europe B.V. DeWaal32 NL-5684 PH Best The Netherlands Dedicated to my parents, Owen and Candace, my family, and God, for their love and support. E.H.A. To my troubled homeland. With faith, love, and hope. M.D.1. SERIES EDITORS' FOREWORD The series Advances in Industrial Control aims to report and encourage technology transfer in control engineering. The rapid development of control technology impacts all areas of the control discipline. New theory, new controllers, actuators, sensors, new industrial processes, computer methods, new applications, new philosophies ... , new challenges. Much of this development work resides in industrial reports, feasibility study papers and the reports of advanced collaborative projects. The series offers an opportunity for researchers to present an extended exposition of such new work in all aspects of industrial control for wider and rapid dissemination. Deregulation of electricity markets is a worldwide activity with leading and distinctive developments occurring in the European and US markets. The immediate impact of these changes is felt in the higher levels of the power production hierarchy where tools to aid short-term economic decision making are needed. At the lower levels of the production control hierarchy the impact is to demand much more flexible unit operation so that the determined short-term goals can be met. Allen and Illic have produced this useful monograph on the decision algorithms needed to determine unit commitment proflles over the shorter time frame of hours and days. The method of dynamic programming has been used and the work covers modelling, cost function and construction, an introduction to dynamic programming and a detailed assessment of its use. The monograph comes complete with programs in Appendix D and with other appendices giving the necessary supporting theory. The research community in power systems engineering should find this comprehensive presentation an extremely valuable feature of the monograph, and it is a welcome addition to the Advances in Industrial Control Series. M.J. Grimble and M.A. Johnson Industrial Control Centre Glasgow, Scotland, UK PREFACE The purpose of writing this book is two-fold: First, the book reports dynamic programming-based methods for distributed decision-making under uncer tainties. In particular, the type of decisions of interest are on-off, rather than continuous. The overall objective is to optimize expected performance; this is done in an intelligent way, since the strategy is changing as more knowledge is gained in real-time about the uncertainties. The decision-making described here is typical of distributed controllers in a large-scale complex system, and reflects the self-adjusting and self-optimizing processes of the distributed de cision makers to the uncertainties created somewhere else on the system. Assumptions typically made about the nature of uncertainties are relaxed; instead, major uncertainties become state variables themselves whose mod els are developed and used in the dynamic programming formulation of the problem. Secondly, solving these theoretical problems is essential for successful decision-making for selling and/or buying products competitively in physical and financial markets. Physical markets are particularly challenging where the inter-temporal effects playa dominant role; for example, an electric power plant could optimize its profit by maximizing its revenue, which requires sell ing when the price of electricity is high, and by minimizing the total operating cost of delivering the committed power by taking into consideration startup and shutdown costs and must-run time constraints. As the electric power industry evolves from being a fully regulated, cost based industry into functionally and corporately separate generation, trans mission and distribution entities, it becomes essential to bid intelligently into short-term (daily) physical electricity markets as well as longer-term financial markets (such as the 18 month futures market). The supply/demand aspect of the deregulated industry is becoming fully competitive and, as such, re quires commitment decision methods similar to the methods used in other competitive industries. This is a significant change compared to the coordi nated least-cost scheduling of generation done in today's industry. Instead, the decisions are motivated by the individual profit/benefit maximization criteria for the anticipated market conditions. xii Preface Depending on the specific electricity market structure in place, the obli gation to supply sufficient power so that the expected demand is fully met is not an explicit constraint. The excess demand leads to the increase in the price of electricity, and this has a self-regulating effect likely to ensure that sufficient supply is committed to meet the required demand. Dynamic efficiency, measured in terms of total social welfare over a finite time, is also optimized through the distributed decision-making described here. This book concerns only tools for the newly evolving electric power in dustry directly relevant for decision-making by suppliers and consumers of electricity. It does not concern real-time operations and planning of the trans mission and distribution systems necessary to facilitate power transactions between sellers and buyers. As such, the methods described in this book should be of direct interest to future generation companies - GENCo's-, load serving entities - LSEs- and, more generally, power marketers. The book describes basic methods for the intelligent selling and buying of electricity so that power producers and consumers optimize their individual profits. At the same time, assuming no market power problems, it can be shown that these decentralized decision-making methods lead to near-optimal systemwide efficiency of the electricity market, in which total expected social welfare is maximized. This is the essence of competitive economics, and the methods developed in this book provide basic formulations for decision making by future GENCo's and LSEs in the competitive electricity markets.
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