Skip to main content
SpringerLink
Log in
Book cover

The Next Generation of Electric Power Unit Commitment Models pp 117–138Cite as

A Stochastic Model for a Price-Based Unit Commitment Problem and Its Application to Short-Term Generation Asset Valuation

  • Chapter

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 36))

Abstract

In this paper, we model the unit commitment problem as a multi-stage stochastic programming problem under price and load uncertainties. We assume that there are hourly spot markets for both electricity and fuel consumed by the generators. In each time period, the operator needs to determine which units are to be scheduled so as to maximize the profit while meeting the demand. Assuming that the price and load uncertainties can be represented by a scenario tree, we develop a unit decommitment method using dynamic programming to solve this problem. When there is only one unit under consideration, we show that a scenario tree can be converted to a lattice that allows branch recombination, which may greatly reduce the size of state space. This one-unit problem can be used to value a generation asset over a short-term period. In conclusion, we present our numerical results.

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   189.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   249.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   249.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. C.L. Tseng. On Power System Generation Unit Commitment Problems, Ph.D. Thesis, University of California at Berkeley, 1996.

    Google Scholar 

  2. W.G. Chandler, P.L. Dandeno, A.F. Gilmn, and L.K. Kirchmayer. Short-range operation of a combined thermal and hydroelectric power system. AIEE Trans., 733: 1057–1065, 1953.

    Google Scholar 

  3. C.K. Pang and H.C. Chen. Optimal short-term thermal unit commitment. IEEE Trans. Power Apparatus Syst., 95(4): 1336–1342, 1976.

    Google Scholar 

  4. C.K. Pang, G.B. Sheble, and F. Albuyeh. Evaluation of dynamic programming based methods and multiplearea representation for thermal unit commitments. IEEE Trans. Power Apparatus Syst., 100(3): 1212–1218, 1981.

    Google Scholar 

  5. A.J. Wood and B. F. Wollenberg. Power Generation, Operation and Control. New York: Wiley, 1984.

    Google Scholar 

  6. A. Turgeon. Optimal unit commitment. IEEE Trans. Autom. Control, 23(2): 223–227, 1977.

    Google Scholar 

  7. A. Turgeon. Optimal scheduling of thermal generating units. IEEE Trans. Autom. Control, 23(6): 1000–1005, 1978.

    Article  MATH  Google Scholar 

  8. T.S. Dillon. Integer programming approach to the problem of optimal unit commitment with probabilistic reserve determination. IEEE Trans. Power Apparatus Syst., 97(6): 2154–2164, 1978.

    Google Scholar 

  9. J.A. Muckstadt and S. A. Koenig. An application of Lagrangian relaxation to scheduling in power-generation systems. Oper. Res., 25(3): 387–403, 1977.

    Article  MATH  Google Scholar 

  10. D.P. Bertsekas, G.S. Lauer, N.R. Sandell Jr., and T.A. Posbergh. Optimal short-term scheduling of large-scale power systems. IEEE Trans. Autom. Control, 28(1): 1–11, 1983.

    Article  MATH  Google Scholar 

  11. J.F. Bard. Short-term scheduling of thermal-electric generators using Lagrangian relaxation. Oper. Res., 36(5): 756–766, 1998.

    MathSciNet  Google Scholar 

  12. S. Takriti, J.R. Birge, and E. Long. A stochastic model for the unit commitment problem. IEEE Trans. Power Syst., 11(3): 1497–1508, 1996.

    Article  Google Scholar 

  13. R.T. Rockafellar and R.J.-B. Wets. Scenarios and policy aggregation in optimization under uncertainty. Math. Oper. Res., 16(1): 119–147, 1991.

    MathSciNet  MATH  Google Scholar 

  14. P. Carpentier, G. Cohen, J.-C. Culioli, and A. Renaud. Stochastic optimization of unit commitment: a new decomposition framework. IEEE Trans. Power Syst., 11(2): 1067–1073, 1996.

    Article  Google Scholar 

  15. C.C. Carøe and R. Schultz. A Two-Stage Stochastic Program for Unit Commitment under Uncertainty in a Hydro-Thermal Power System. Working paper, University of Copenhagen, Institute of Mathematics, Denmark, 1998.

    Google Scholar 

  16. C.A. Li, R.B. Johnson, and A.J. Svoboda. A new unit commitment method. IEEE Trans. Power Syst., 12(1): 113–119, 1997.

    Google Scholar 

  17. C.L. Tseng, S.S. Oren, A.J. Svoboda, and R.B. Johnson. A unit decommitment method in power system scheduling. Elec. Power Energy Syst., 19(6): 357–365, 1997.

    Google Scholar 

  18. C.L. Tseng, C.A. Li, and S.S. Oren. Solving the unit commitment problem by a unit decommitment method. J. Optimization Theory Appl., 105(3), 2000 (in press).

    Google Scholar 

  19. C.L. Tseng and G. Barz. “Short-term generation asset valuation.” In Proc. 32nd Hawaii International Conf. Syst. Sci. (CD-ROM), Maui, Hawaii, Jan 5–8, 1999.

    Google Scholar 

  20. M. Hsu. Spark spread options are hot! Electricity J., 11(2): 28–39, 1998.

    Google Scholar 

  21. G. Barz. Stochastic Financial Models for Electricity Derivatives. Ph.D. Thesis, Stanford University, 1999.

    Google Scholar 

  22. C.L. Tseng. Valuing the operational real options of a power plant using discrete-time price trees. Submitted to Elect. Power Energy Syst.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. University of Maryland, Maryland, USA

    Chung-Li Tseng

Authors
  1. Chung-Li Tseng
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. The Johns Hopkins University, USA

    Benjamin F. Hobbs

  2. Rutgers University, USA

    Michael H. Rothkopf

  3. Federal Energy Regulatory Commission, USA

    Richard P. O’Neill

  4. Electric Power Research Institute, USA

    Hung-po Chao

Rights and permissions

Reprints and permissions

Copyright information

© 2002 Kluwer Academic Publishers

About this chapter

Cite this chapter

Tseng, CL. (2002). A Stochastic Model for a Price-Based Unit Commitment Problem and Its Application to Short-Term Generation Asset Valuation. In: Hobbs, B.F., Rothkopf, M.H., O’Neill, R.P., Chao, Hp. (eds) The Next Generation of Electric Power Unit Commitment Models. International Series in Operations Research & Management Science, vol 36. Springer, Boston, MA. https://doi.org/10.1007/0-306-47663-0_7

Download citation

  • DOI: https://doi.org/10.1007/0-306-47663-0_7

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-0-7923-7334-6

  • Online ISBN: 978-0-306-47663-1

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation