The growing use of electric vehicles (EVs) may hinder their integration into the electricity system as well as their efficient operation due to the intrinsic stochasticity associated with their driving patterns. In this work, we assume a profit-maximizer EV-aggregator who participates in the day-ahead electricity market. The aggregator accounts for the technical aspects of each individual EV and the uncertainty in its driving patterns. We propose a hierarchical optimization approach to represent the decision-making of this aggregator. The upper level models the profit-maximizer aggregator's decisions on the EV-fleet operation, while a series of lower-level problems computes the worst-case EV availability profiles in terms of battery draining and energy exchange with the market. Then, this problem can be equivalently transformed into a mixed-integer linear single-level equivalent given the totally unimodular character of the constraint matrices of the lower-level problems and their convexity. Finally, we thoroughly analyze the benefits of the hierarchical model compared to the results from stochastic and deterministic models.
Most literature surrounding optimal bidding strategies for aggregators in European day-ahead market (DAM) considers only hourly orders. While other order types (e.g., block orders) may better represent the temporal characteristics of certain sources of flexibility (e.g., behind-the-meter flexibility), the increased combinations from these orders make it hard to develop a tractable optimization formulation. Thus, our aim in this paper is to develop a tractable optimal offering strategy for flexibility aggregators in the European DAM (a.k.a. Elspot) considering these orders. Towards this, we emp…
This paper studies the behavior of a strategic aggregator offering regulation capacity on behalf of a group of distributed energy resources (DERs, e.g. plug-in electric vehicles) in a power market. Our objective is to maximize the aggregator's revenue while controlling the risk of penalties due to poor service delivery. To achieve this goal, we propose data-driven risk-averse strategies to effectively handle uncertainties in: 1) The DER parameters (e.g., load demands and flexibilities) and 2) sub-hourly regulation signals (to the accuracy of every few seconds). We design both the day-ahead and…
We present modeling and analysis of day-ahead spatio-temporal energy markets in which each competitive aggregator aims at making the highest profit by managing a complex mixture of different energy resources, such as conventional generators, storage batteries, and uncertain renewable resources. First, we develop an energy market model in terms of an adjustable robust convex program. This market modeling is novel in the sense that the prosumption cost function of each aggregator, which evaluates the cost to realize an amount of spatio-temporal energy prosumption, is a multi-variable function re…
This paper presents a methodology for strategic day-ahead planning that uses a combination of deep learning and optimization. A noise-driven recurrent neural network structure is proposed for forecasting electricity prices and local inflow to water reservoirs. The resulting forecasters generate predictions with seasonal variation without relying on long input sequences. This forecasting method is employed in a stochastic program formulation of the day-ahead problem. This results in optimal order strategies for a price-taking hydropower producer participating in the Nordic day-ahead market. Usi…
The increasing diffusion of distributed energy generation systems requires the development of new control paradigms for the coordination of micro-generators, storage systems, and loads aimed at maintaining the efficiency and the safe operability of the electricity network. MicroGrids (MGs) are an interesting way to locally manage groups of generation devices, but they cannot singularly provide a significant contribution to sustain the main electricity grid in terms of ancillary services, such as the availability of a minimum amount of power reserve for the frequency regulation. For these reaso…
This paper presents a method to handle renewable source and load uncertainties in Dynamic Day-ahead Optimal Power Flow (DA-OPF) using post-optimal analysis of linear programming problem. The method does not require the uncertainty distribution information to handle it. A new Participation Factor (PF) to distribute changes caused by uncertainty has been developed based on the current optimal basis. The proposed PF takes care of all the constraints and ensures optimality with uncertain renewable generation and load using Sensitivity Analysis (SA) and Individual Tolerance Ranges (ITR) for individ…
Industrial electricity consumers with flexible demand can profit by adjusting their load to short-term prices and by providing balancing services to the grid. Markets which support this kind of short-term position adjustment are the day-ahead market and balancing markets. We propose a formulation for a combined optimization model that computes an optimal distribution of flexibility between the balancing and day-ahead markets. The optimal solution also includes the specific bids for the day-ahead and balancing markets. Besides the expected profits of each market and their individual bidding lan…
This paper proposes a hybrid CCGT model for day-ahead market clearing, in order to enhance operation flexibility of CCGTs in practice. The proposed hybrid model, by taking benefits of combined offers on configurations and individual PTs from MPs, can reflect physical operation features of CCGTs more accurately. A comprehensive review on CCGT models in literature is conducted, and their advantages and shortcomings are analyzed. The mapping relationship between the two most investigated models, i.e., CFBM and CPBM, is then revealed and constructed for deriving the proposed hybrid model. Tighteni…
We examine the problem of clearing day-ahead electricity market auctions where each bidder, whether a producer or consumer, can specify a minimum profit or maximum payment condition constraining the acceptance of a set of bid curves spanning multiple time periods in locations connected through a transmission network with linear constraints. Such types of conditions are for example considered in the Spanish and Portuguese day-ahead markets. This helps describing the recovery of start-up costs of a power plant, or analogously for a large consumer, utility reduced by a constant term. A new market…
In the face of extreme events, e.g., hurricanes, the transmission systems, especially the transmission lines, are affected across time and space. To mitigate these impacts on the day-ahead market from a probabilistic perspective, a resilient unit commitment (UC) problem is formulated as a two-stage robust optimization (RO) problem. In the first stage, the status, energy, and reserves of generators are pre-scheduled to minimize the operational cost, responding to the worst line failure scenario in the operating day. The failure, operation status, and repair of transmission lines are depicted by…
The rising share of volatile renewable generation increases the demand for flexibility in the electricity grid. Flexible capacity can be offered by industrial energy systems through participation on either the continuous intraday, day-ahead, or balancing-power markets. Thus, industrial energy systems face the problem of where to market their flexible capacity. Here, we propose a method to integrate trading on the continuous intraday market into a multi-market optimization for flexible industrial energy systems. To estimate the intraday market revenues, we employ option-price theory. Subsequent…
We consider the process of bidding by electricity suppliers in a day-ahead market context where each supplier bids a linear non-decreasing function of her generating capacity with the goal of maximizing her individual profit given other competing suppliers' bids. Based on the submitted bids, the market operator schedules suppliers to meet demand during each hour and determines hourly market clearing prices. Eventually, this game-theoretic process reaches a Nash equilibrium when no supplier is motivated to modify her bid. However, solving the individual profit maximization problem requires info…
It is well-known that a market equilibrium with uniform prices often does not exist in non-convex day-ahead electricity auctions. We consider the case of the non-convex, uniform-price Pan-European day-ahead electricity market "PCR" (Price Coupling of Regions), with non-convexities arising from so-called complex and block orders. Extending previous results, we propose a new primal-dual framework for these auctions, which has applications in both economic analysis and algorithm design. The contribution here is threefold. First, from the algorithmic point of view, we give a non-trivial exact (i.e…
Constructing Deployment Scenarios for Reserve Deliverability via Adaptive Robust Optimization
Department of Electrical and Electronic Engineering, Imperial College London（帝国理工学院电气电子工程系）；UCL Energy Institute, University College London（伦敦大学学院能源研究所）
Load forecasting is one of the most important and studied topics in modern power systems. Most of the existing researches on day-ahead load forecasting try to build a good model to improve the forecasting accuracy. The forecasted load is then used as the input to generation scheduling with the ultimate goal of minimizing the cost of generation schedules. However, existing day-ahead load forecasting models do not consider this ultimate goal at the training/forecasting stage. This paper proposes a task-based day-ahead load forecasting model labeled as LfEdNet that combines two individual layers …
We present three large-scale hydropower planning models implemented in our open-source software framework StochasticPrograms.jl developed using the Julia programming langugage. The framework provides an expressive syntax for formulating stochastic programming models and has distributed capabilities that can handle large-scale instances. The three models describe different case studies of the hydroelectric power plants in the Swedish river Skellefteälven. The models are two-stage stochastic programs with sampled scenarios that describe uncertain electricity prices and local water inflows. The f…
There is an intrinsic value in higher integration of multi-carrier energy systems (especially gas and electricity), to increase operational flexibility in the electricity system and to improve allocation of resources in gas and electricity networks. The integration of different energy carrier markets is challenging due to the existence of physical and economic dependencies between the different energy carriers. We propose in this paper an integrated day-ahead multi-carrier gas, electricity and heat market clearing which includes new types of orders and constraints on these orders to represent …
Forschungszentrum Jülich GmbH（于利希研究中心）；RWTH Aachen University（亚琛工业大学）；Technical University of Berlin（柏林工业大学）；JARA-ENERGY（于利希-亚琛研究联盟能源部）
We present a specialized scenario generation method that utilizes forecast information to generate scenarios for day-ahead scheduling problems. In particular, we use normalizing flows to generate wind power scenarios by sampling from a conditional distribution that uses wind speed forecasts to tailor the scenarios to a specific day. We apply the generated scenarios in a stochastic day-ahead bidding problem of a wind electricity producer and analyze whether the scenarios yield profitable decisions. Compared to Gaussian copulas and Wasserstein-generative adversarial networks, the normalizing flo…
The natural gas and electricity systems are now becoming more and more strongly coupled. While gas-fired units (GFUs) are replacing the retired coal plants, the power systems are also increasingly dependent on the flexibilities provided by GFUs to accommodate intermittent renewable energies. The GFUs' capability of power generation relies on the availability of gas resources, which is determined jointly by the capacity of gas suppliers and their associated pipeline networks. However, the gas and electricity markets are operated separately. As a con-sequence, the GFUs actually have to "represen…
Renewable energy sources (RES) has gained a lot of interest recently. The limited transmission capacity serving RES often leads to network congestion since they are located in remote favorable locations. As a result, when poorly scheduled, the intermittent nature of RES may result in high curtailments of the free resource. Currently, grid operators utilize a static network when performing day-ahead scheduling and ignore transmission flexibility. This paper explores the possibility of utilizing network reconfiguration as a corrective action to reduce the transmission congestion and thereby the …
The imbalance costs incurred by a stochastic power producer due to forecast production errors have a significant impact on its total profit and therefore, such an impact needs to be taken into account when evaluating investment decisions. In this paper, we propose a modeling framework to analyze the effect of these imbalance costs on optimal generating expansion decisions of stochastic units. The proposed model is cast as a mathematical program with equilibrium constraints, which allows the explicit representation of both the day-ahead and balancing market-clearing mechanisms. We use the propo…
Strike Price Optimization for ISO New England's Day-Ahead Ancillary Services
Operations Research Center, Massachusetts Institute of Technology（麻省理工学院操作研究中心）；MIT Sloan School of Management（麻省理工学院斯隆管理学院）；ISO New England（新英格兰独立系统运营商）
In this study, we focus on the market clearing problem of Turkish day-ahead electricity market. We propose a mathematical model by extending the variety of bid types for different price regions. The commercial solvers may not find any feasible solution for the proposed problem in some instances within the given time limits. Hence, we design an adaptive tabu search (ATS) algorithm to solve the problem. ATS discretizes continuous search space arising from the flow variables. Our method has adaptive radius and it achieves backtracking by a commercial solver. Then, we compare the performance of AT…
Charging demands of electric vehicles (EVs) are sharply increasing due to the rapid development of EVs. Hence, reliable and convenient quick charge stations are required to respond to the needs of EV drivers. Due to the uncertainty of EV charging loads, load forecasting becomes vital for the operation of quick charge stations to formulate the day-ahead plan. In this paper, based on trip chain theory and EV user behaviour, an EV charging load forecasting model is established for quick charge station operators. This model is capable of forecasting the charging demand of a city-located quick char…
Power system components, particularly electrical substations, may be severely damaged due to flooding, resulting in prolonged power outages and resilience degradation. This problem is more severe in low-elevated regions such as Louisiana. Protective operational actions such as placing tiger dams around substations before flooding can reduce substation vulnerability, damage costs, and energy not supplied cost, thus enhancing power grid resilience. This paper proposes a stochastic mixed-integer programming model for protecting transmission substations one day before flood events using tiger dams…
The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated quantities given the prices. The goal of our auction is to maximize the economic surplus of all participants subject to quantity constraints and price constraints. The price constraints ensure that no one incurs a loss. Only traders who submitted a combinatorial bid might miss a not-realized profit. The resulting problem is a large scale mathematical program with …
This article puts forward a methodology for procuring flexible ramping products (FRPs) in the day-ahead market (DAM). The proposed methodology comprises two market passes, the first of which employs a stochastic unit commitment (SUC) model that explicitly evaluates the uncertainty and the intra-hourly and inter-hourly variability of net load so as to minimize the expected total operating cost. The second pass clears the DAM while imposing FRP requirements. The cornerstone of our work is to set the FRP requirements at levels that drive the DAM decisions toward the optimal SUC decisions. Our met…
In this paper, we propose a two-stage electricity market framework to explore the participation of distributed energy resources (DERs) in a day-ahead (DA) market and a real-time (RT) market. The objective is to determine the optimal bidding strategies of the aggregated DERs in the DA market and generate online incentive signals for DER-owners to optimize the social welfare taking into account network operational constraints. Distributionally robust optimization is used to explicitly incorporate data-based statistical information of renewable forecasts into the supply/demand decisions in the DA…
A high number of electric vehicles (EVs) in the transportation sector necessitates an advanced scheduling framework for e-mobility ecosystem operation as a whole in order to overcome range anxiety and create a viable business model for charging stations (CSs). The framework must account for the stochastic nature of all stakeholders' operations, including EV drivers, CSs, and retailers and their mutual interactions. In this paper, a three-layer joint distributionally robust chance-constrained (DRCC) model is proposed to plan grid-to-vehicle (G2V) and vehicle-to-grid (V2G) operation in day-ahead…
