Incorporating Fuel Constraints and Electricity Spot Prices into the Stochastic Unit Commitment Problem

Samer Takriti (), Benedikt Krasenbrink and Lilian S.-Y. Wu
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Samer Takriti: Enron Research, Enron Building, 1400 Smith Street, Houston, Texas 77002
Benedikt Krasenbrink: Mathematical Sciences Department, IBM Thomas J. Watson Research Center, P.O. Box 218, Yorktown Heights, New York 10598
Lilian S.-Y. Wu: Mathematical Sciences Department, IBM Thomas J. Watson Research Center, P.O. Box 218, Yorktown Heights, New York 10598

Operations Research, 2000, vol. 48, issue 2, 268-280

Abstract: The electric power industry is going through deregulation. As a result, the load on the generating units of a utility is becoming increasingly unpredictable. Furthermore, electric utilities may need to buy power or sell their production to a power pool that serves as a spot market for electricity. These trading activities expose utilities to volatile electricity prices. In this paper, we present a stochastic model for the unit commitment that incorporates power trading into the picture. Our model also accounts for fuel constraints and prices that may vary with electricity prices and demand. The resulting model is a mixed-integer program that is solved using Lagrangian relaxation and Bender's decomposition. Using this solution approach, we solve problems with 729 demand scenarios on a single processor to within 0.1% of the optimal solution in less than 10 minutes. Our numerical results indicate that significant savings can be achieved when the spot market is entered into the problem and when stochastic policy is adopted instead of a deterministic one.

Keywords: Energy deregulation of the electric power industry; Stochastic programming: using a set of scenarios to model uncertainty; Scheduling: unit commitment problem (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (27)

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