Market operations in electric power systems

✍ Scribed by M. Shahidehpour, H. Yamin, Zuyi Li

• Publisher: Wiley-IEEE Press
• Year: 2002
• Tongue: English
• Leaves: 548
• Edition: 1st
• Category: Library

✦ Synopsis

An essential overview of post-deregulation market operations in electrical power systems

Until recently the U.S. electricity industry was dominated by vertically integrated utilities. It is now evolving into a distributive and competitive market driven by market forces and increased competition. With electricity amounting to a $200 billion per year market in the United States, the implications of this restructuring will naturally affect the rest of the world.

Why is restructuring necessary? What are the components of restructuring? How is the new structure different from the old monopoly? How are the participants strategizing their options to maximize their revenues? What are the market risks and how are they evaluated? How are interchange transactions analyzed and approved? Starting with a background sketch of the industry, this hands-on reference provides insights into the new trends in power systems operation and control, and highlights advanced issues in the field.

Written for both technical and nontechnical professionals involved in power engineering, finance, and marketing, this must-have resource discusses:

• Market structure and operation of electric power systems
• Load and price forecasting and arbitrage
• Price-based unit commitment and security constrained unit commitment
• Market power analysis and game theory applications
• Ancillary services auction market design
• Transmission pricing and congestion

Using real-world case studies, this timely survey offers engineers, consultants, researchers, financial managers, university professors and students, and other professionals in the industry a comprehensive review of electricity restructuring and how its radical effects will shape the market.

✦ Table of Contents

MARKET OPERATIONS IN ELECTRIC POWER SYSTEMS......Page 4
Contents......Page 8
Preface......Page 16
1.1 Introduction......Page 18
1.2.1 Objective of Market Operation......Page 19
1.2.2 Electricity Market Models......Page 21
1.2.3 Market Structure......Page 22
1.2.4 Power Market Types......Page 26
1.2.5 Market Power......Page 30
1.2.6 Key Components in Market Operation......Page 31
1.3.1 Information Forecasting......Page 32
1.3.2 Unit Commitment in Restructured Markets......Page 34
1.3.3 Arbitrage in Electricity Markets......Page 35
1.3.7 Transmission Congestion Management and Pricing......Page 36
2.1.1 Applications of Load Forecasting......Page 38
2.1.2 Factors Affecting Load Patterns......Page 39
2.1.3 Load Forecasting Categories......Page 40
2.2.1 Introduction to ANN......Page 42
2.2.2 Application of ANN to STLF......Page 46
2.2.3 STLF using MATLAB’S ANN Toolbox......Page 48
2.3.1 Proposed ANN Architecture......Page 50
2.3.2 Seasonal ANN......Page 51
2.3.3 Adaptive Weight......Page 53
2.3.4 Multiple-Day Forecast......Page 54
2.4.1 Training and Test Data......Page 55
2.4.2 Stopping Criteria for Training Process......Page 59
2.4.3 ANN Models for Comparison......Page 60
2.4.4 Performance of One-Day Forecast......Page 62
2.4.5 Performance of Multiple-Day Forecast......Page 68
2.5.1 Possible Models......Page 70
2.5.2 Sensitivity to Input Factors......Page 71
2.5.3 Inclusion of Temperature Implicitly......Page 72
3.1 Introduction......Page 74
3.2.1 Electricity Price Basics......Page 77
3.2.2 Electricity Price Volatility......Page 78
3.2.3 Categorization of Price Forecasting......Page 80
3.2.4 Factors Considered in Price Forecasting......Page 81
3.3 Electricity Price Simulation Module......Page 82
3.3.1 A Sample of Simulation Strategies......Page 83
3.3.2 Simulation Example......Page 84
3.4 Price Forecasting Module based on ANN......Page 86
3.4.1 ANN Factors in Price Forecasting......Page 87
3.4.2 118-Bus System Price Forecasting with ANN......Page 89
3.5.1 Alternative Methods......Page 94
3.5.2 Alternative MAPE Definition......Page 95
3.6 Practical Case Studies......Page 98
3.6.1 Impact of Data Pre-Processing......Page 99
3.6.2 Impact of Quantity of Training Vectors......Page 101
3.6.3 Impact of Quantity of Input Factors......Page 103
3.6.4 Impact of Adaptive Forecasting......Page 106
3.6.5 Comparison of ANN Method with Alternative Methods......Page 107
3.7.1 Price Spikes Analysis......Page 108
3.7.2 Probability Distribution of Electricity Price......Page 122
3.8.1 Application of Point Price Forecast to Making Generation Schedule......Page 128
3.8.4 Application of Conditional Probability Distribution of Price on Load to Forward Price Forecasting......Page 129
4.1 Introduction......Page 132
4.2 PBUC Formulation......Page 134
4.2.2 Unit Constraints......Page 135
4.3 PBUC Solution......Page 136
4.3.1 Solution without Emission or Fuel Constraints......Page 137
4.3.2 Solution with Emission and Fuel Constraints......Page 146
4.4.2 Derivation of Steps for Updating Multipliers......Page 151
4.4.3 Optimality Condition......Page 154
4.5.1 Different Prices among Buses......Page 156
4.5.2 Variable Fuel Price as a Function of Fuel Consumption......Page 157
4.5.3 Application of Lagrangian Augmentation......Page 158
4.5.4 Bidding Strategy based on PBUC......Page 162
4.6.1 Case Study of 5-Unit System......Page 167
4.6.2 Case Study of 36-Unit System......Page 171
4.7 Conclusions......Page 177
5.2.1 What is Arbitrage......Page 178
5.2.2 Usefulness of Arbitrage......Page 179
5.3.1 Same-Commodity Arbitrage......Page 180
5.3.3 Spark Spread and Arbitrage......Page 181
5.3.4 Applications of Arbitrage Based on PBUC......Page 182
5.4.1 Arbitrage between Energy and Ancillary Service......Page 183
5.4.2 Arbitrage of Bilateral Contract......Page 188
5.4.3 Arbitrage between Gas and Power......Page 191
5.4.4 Arbitrage of Emission Allowance......Page 199
5.4.5 Arbitrage between Steam and Power......Page 203
5.5 Conclusions......Page 205
6.1 Introduction......Page 208
6.2.1 An Instructive Example......Page 209
6.3 Power Transactions Game......Page 212
6.3.1 Coalitions among Participants......Page 214
6.3.2 Generation Cost for Participants......Page 215
6.3.3 Participant’s Objective......Page 218
6.4 Nash Bargaining Problem......Page 219
6.4.1 Nash Bargaining Model for Transaction Analysis......Page 220
6.4.2 Two-Participant Problem Analysis......Page 221
6.4.3 Discussion on Optimal Transaction and Its Price......Page 223
6.4.4 Test Results......Page 224
6.5.1 Participants and Bidding Information......Page 232
6.5.2 Basic Probability Distribution of the Game......Page 233
6.5.3 Conditional Probabilities and Expected Payoff......Page 234
6.5.4 Gaming Methodology......Page 235
6.6.1 Solution Methodology......Page 239
6.6.2 Study System......Page 240
6.6.3 Gaming Methodology......Page 242
6.7 Conclusions......Page 247
7.1.1 Asset Valuation......Page 250
7.1.2 Value at Risk (VaR)......Page 251
7.1.3 Application of VaR to Asset Valuation in Power Markets......Page 252
7.2.1 Framework of the VaR Calculation......Page 253
7.2.2 Spot Market Price Simulation......Page 255
7.2.3 A Numerical Example......Page 257
7.2.4 A Practical Example......Page 263
7.2.5 Sensitivity Analysis......Page 275
7.3 Generation Capacity Valuation......Page 284
7.3.2 An Example......Page 285
7.3.3 Sensitivity Analysis......Page 287
7.4 Conclusions......Page 290
8.1 Introduction......Page 292
8.2 SCUC Problem Formulation......Page 293
8.2.1 Discussion on Ramping Constraints......Page 297
8.3 Benders Decomposition Solution of SCUC......Page 302
8.3.1 Benders Decomposition......Page 303
8.3.3 Master Problem Formulation......Page 304
8.4.1 Linearization of Network Constraints......Page 307
8.4.2 Subproblem Formulation......Page 310
8.4.4 Case Study......Page 313
8.5.1 Subproblem Formulation and Solution......Page 320
8.5.2 Case Study......Page 323
8.6 Conclusions......Page 327
9.1 Introduction......Page 328
9.2 Ancillary Services for Restructuring......Page 330
9.3 Forward Ancillary Services Auction – Sequential Approach......Page 332
9.3.1 Two Alternatives in Sequential Ancillary Services Auction......Page 334
9.3.2 Ancillary Services Scheduling......Page 335
9.3.3 Design of the Ancillary Services Auction Market......Page 337
9.3.4 Case Study......Page 339
9.4 Forward Ancillary Services Auction – Simultaneous Approach......Page 351
9.4.1 Design Options for Simultaneous Auction of Ancillary Services......Page 353
9.4.2 Rational Buyer Auction......Page 355
9.4.3 Marginal Pricing Auction......Page 364
9.5.1 AGC Functions......Page 371
9.5.2 AGC Response......Page 373
9.5.3 AGC Units Revenue Adequacy......Page 374
9.5.4 AGC Pricing......Page 375
9.5.5 Discussions......Page 383
9.6 Conclusions......Page 384
10.1 Introduction......Page 386
10.2.1 Postage-Stamp Rate Method......Page 389
10.2.3 MW-Mile Method......Page 390
10.2.4 Unused Transmission Capacity Method......Page 391
10.2.7 Distribution Factors Method......Page 393
10.2.9 Tracing Methods......Page 396
10.2.10 Comparison of Cost Allocation Methods......Page 403
10.3 Examples for Transmission Cost Allocation Methods......Page 404
10.3.1 Cost Allocation Using Distribution Factors Method......Page 405
10.3.2 Cost Allocation Using Bialek’s Tracing Method......Page 406
10.3.3 Cost Allocation Using Kirschen’s Tracing Method......Page 408
10.3.4 Comparing the Three Cost Allocation Methods......Page 409
10.4.1 Locational Marginal Price (LMP)......Page 410
10.4.2 LMP Application in Determining Zonal Boundaries......Page 422
10.4.3 Firm Transmission Right (FTR)......Page 425
10.4.4 FTR Auction......Page 429
10.4.5 Zonal Congestion Management......Page 438
10.5 A Comprehensive Transmission Pricing Scheme......Page 448
10.5.1 Outline of the Proposed Transmission Pricing Scheme......Page 449
10.5.2 Prioritization of Transmission Dispatch......Page 451
10.5.3 Calculation of Transmission Usage and Congestion Charges and FTR Credits......Page 456
10.5.4 Numerical Example......Page 460
10.6 Conclusions......Page 470
APPENDIX A List of Symbols......Page 472
B.1 Derivation of Probability Distribution......Page 478
B.2 Lagrangian Augmentation with Inequality Constraints......Page 479
APPENDIX C RTS Load Data......Page 484
D.1 5-Unit System......Page 486
D.2 36-Unit System......Page 489
D.3 6-Unit System......Page 493
D.4 Modified IEEE 30-Bus System......Page 494
D.5 118-Bus System......Page 496
E.1 Equilibrium in Non-Cooperative Games......Page 500
E.2 Characteristics Function......Page 501
E.3 N-Players Cooperative Games......Page 502
E.4 Games with Incomplete Information......Page 503
F.1 Calculations of Congestion Charges using Contributions of Generators......Page 506
F.2 Calculations of Congestion Charges using Contributions of Loads......Page 510
References......Page 512
Index......Page 526