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Application of Fuzzy Logic to Priced-based Unit Commitment under Price Uncertainty

H. Daneshi, Member, IEEE, A.K. Srivastava, Senior Member, IEEE, A. Daneshi

Abstract This paper proposes a new formulation for the price based unit commitment (PBUC) of electric power generators under a deregulated electricity market. The methodology is developed from the viewpoint of a generating company (GENCO) wishing to maximize its own profit and to hedge its risk as a participant in the market. The problem is expressed as a mixed integer programming (MIP) optimization model in which the expected profit is maximized while the uncertainty of forecasted market price is modeled as a fuzzy variable. The volatility of market price is identified by certain fuzzy definitions pertaining to market volatility. The proposed model can be solved using a standard mixed integerprogramming (MIP) solver. Case studies with 36 units are presented in this paper. We study the impact of uncertainty in forecasted parameters in PBUC solution and compare the results with those of crisp PBUC model. Index Termsmixed-integer programming (MIP), fuzzy mixed-integer programming (FMIP), priced based unit commitment (PBUC), unit commitment (UC), Fuzzy system.

PFi0 ,t

Profit from bilateral contract of a unit at t Minimum generating capacity of unit i Maximum generating capacity of unit i

Pi ,min
Pi ,max

MU i , MDi Minimum ON/OFF time of a unit RU i , RDi Ramping up/down limit of a unit TU i ,0 , TC i ,0 Number of hours a unit has been on/off at UTi , DTi

A E F x, c y, d b h
S

I. NOMENCLATURE

the beginning of the scheduling period Number of hours a unit need to remain on/off at the beginning of the scheduling period m n matrix q p matrix q n matrix p vectors n integer vectors m vectors q vectors integer set II. INTRODUCTION

T I i t PFi ,t

Number of hours for the scheduling period Number of generating units Denote a unit Hour index Profit of unit i at t Market price for energy at t Market price for spinning reserve at t Market price for non-spinning reserve at t Generation of a unit at t Spinning reserve of a unit at t Non-spinning reserve of a unit at t Purchase of energy for a unit at t Unit status indicator (1: ON, 0: OFF) Startup indicator Shutdown indicator Bilateral contract of a unit

tg
tsr tnr
Pi ,t

Ri ,t
N i ,t Bi ,t

ui ,t
y i ,t

z i ,t
Pi0 ,t

Hossein Daneshi is with the Electric Power and Power Electronic Center at Illinois Institute of Technology, Chicago, IL, 60616, USA (e-mail: danehos@iit.edu) Anurag K Srivastava is with the Department of Electrical and Computer Engineering at Mississippi State University, USA (e-mail: srivastava@ece.msstate.edu)

NIT commitment (UC) in the regulated power industry refers to optimizing generation resources to satisfy load demand at least cost [1]. In restructured power system, the UC is used by individual generation company (GENCO), and refers to optimizing generation resources in order to maximize the GENCOs profit. It is called Price Based Unit Commitment (PBUC). In PBUC, satisfying load is no longer an obligation and the objective would be maximizing the profit from trading energy and ancillary services (AS) in the market. In this new paradigm, the signal to enforce a units ON/OFF status and generation dispatch would be the price. In day-ahead market GENCO runs PBUC based on forecasted energy and AS price, and price uncertainty need to be considered as they have direct impact on the expected profit [2- 12]. In comparing conventional unit commitment problem with PBUC, it is illogical to assume that maximizing the profit is essentially the same as minimizing the cost. Profit does not only depend on cost but on revenue minus cost. If the incremental revenue is larger than the incremental cost, we may generate more energy for attaining more profit. The distinct feature of PBUC is that all market information is reflected in market price. In competitive markets, electricity market price is usually predicted associated with some degree

978-1-4244-6547-7/10/$26.00 2010 IEEE

of uncertainty. There are different approaches to handle the uncertainties in competitive electricity market: probabilistic, stochastic and fuzzy systems. Fuzzy sets have been successfully applied to power system operation and planning to simulate uncertainties [13- 22]. The application of fuzzy approach in unit commitment and economic dispatch has been addressed in the literature. Two approaches are presented in [13] to solve UC and handle risk introduced due to uncertainty of wind generation. The fist approach uses fuzzy optimization process which is solved using the regular MIP technique. In the second approach uncertainty in wind generation in considered by adding additional reserve requirement. Reference [14] presents a fuzzy mixed integer programming to solve UC problem in which load, spinning reserve and production cost are modeled by fuzzy rules. Another approach using fuzzy dynamic programming is proposed for unit commitment in [15]. In this approach the error in forecasted data is taken into account using fuzzy set notations. A hybrid algorithm is proposed by Mantawy in [16] to solve UC problem. The fuzzy approach is used to model the uncertainties and soft limit constraints of the UC. The genetic algorithm is used to solve the combinatorial optimization problem of the UC. Reference [17] presents a fuzzy optimization based approach to solve UC problem. In this approach load demand, reserve requirements, and production cost are expressed by fuzzy set notations, while unit generation limits, ramp rate limits, and minimum up/down limits are handled as crisp constraints. A fuzzy optimization based algorithm is then, developed to find the optimal solution by using fuzzy operations and if-then rules. Some heuristics such as dividing hourly load and generating units into levels are used to speed the solution. Twofold simulated annealing (twofold-SA) method is used for the optimization of fuzzy unit commitment formulation in [18]. In the proposed method, simulated annealing (SA) and fuzzy logic are combined to obtain SA acceptance probabilities from fuzzy membership degrees. Fuzzy load is calculated from error statistics and an initial solution is generated by a priority list method. The initial solution is decomposed into hourlyschedules and each hourly-schedule is modified by decomposed-SA using a bit flipping operator. Hybrid models for solving unit commitment problem have been proposed in [19]. The expert system (ES) combines both schedules of units to be committed based on any classical or traditional algorithms and the knowledge of experienced power system operators. The proposed ES receives the input, i.e. the unit commitment solutions from a fuzzy-neural network. To take into account the uncertainty in load demands, a fuzzy decision making approach has also been developed to solve the unit commitment problem and to train the artificial neural network. The generation cost obtained and the computational time required by the proposed model has been compared with the existing traditional techniques such as dynamic programming (DP), ES, fuzzy system (FS) and genetic algorithms (GA). In this paper a hybrid fuzzy mixed integer programming (FMIP) is modeled to solve PBUC problem under price uncertainties. It is assumed that an appropriate forecasting tool is available to forecast next-day hourly prices and estimate their associated probability density function. The uncertainty

of forecasted price is fuzzified. Then, the FMIP problem, in which, some parameters are fuzzy numbers is converted into an equivalent MIP problem by introducing an auxiliary variable and using minimum aggregation of all fuzzy sets. Finally, we have a problem of finding an optimal solution point satisfying the constraints and the objective function. The contribution of this work is novel application of fuzzy mixed integer programming in price based unit commitment. The rest of this paper is outlined as follow: Section III presents PBUC formulation. In section IV, the PBUC formulation based on FMIP is discussed including a brief introduction of MIP and fuzzy system. The developed concept is illustrated in section V by examples, and at the end the conclusions are drawn in section VI. III. PBUC FORMULATION In deregulated power system, GENCO intends to maximize its profit. Generation scheduling is formulated based on forecasted market price for energy and AS as follow:
Max
t =1i =1

[Re venue(i, t ) Cost (i, t )]

T I

(1)

The objective is to maximize GENCOs profit which is defined as the revenue minus cost. To maximize the profit, we may generate more energy with increased cost, if the incremental revenue is larger than the incremental cost. Profit function for a unit can be defined as:
sr nr PFi ,t = tg [ Pi ,t Pi0 ,t u i ,t Bi ,t ] + t Ri ,t + t N i ,t

+ PFi0 ,t Ci ,t ( P i ,t + Ri ,t + N i ,t )

(2)

Where the first term represents revenue from selling energy, ancillary services and bilateral contract; the second term represents the operating cost for providing energy and AS. The total cost includes the start-up, shut-down and operating cost of a unit. The optimization problem is subject to unit constraints based on generators special requirements. A generator may have minimum and maximum generation limit (3), minimum ON/OFF time limit (4-a) and (4-b), ramping limit (5-a) and (5-b), and all other constraints that need to be considered.
Pi ,min .ui ,t Pi ,t Pi ,max .ui ,t , i ,t
UTi t =1

(3)

( 1 ui ,t ) = 0,
j =t +1

yi ,t +

max{T ,t +MUt 1 }

(4-a)
1, i ,t = UTi + 1,...,T
i

zi , j

UTi = MAX{ 0, MIN [ T ,( MUi TU i ,0 )ui ,0 ]}, Pi ,t +1 Pi ,t RUi ( 1 yi ,t ) + Pi ,min yi ,t , i ,t Pi ,t Pi ,t +1 RDi ( 1 zi ,t ) + Pi ,min zi ,t , i ,t

(4-b) (5-a) (5-b)

Detail formulation of objective function and constraints are presented in [2] and [7]. In this paper, we focus on data uncertainty in PBUC problem and present a fuzzy model to simulate the variations because of imprecise data. Energy and AS prices are usually predicted and considered

as crisp value in PBUC problem. However, in a real power system, these parameters are associated with a degree of uncertainty that induces risk for GENCO. The volatility of the price must also be analyzed. The GENCO must include them in the decision making process. FMIP is used to solve the problem. IV.
FUZZY MIXED INTEGER PROGRAMMING

function are forecasted market price. First, we convert equation (6) into an equivalent crisp problem. Then, following equivalent parametric MIP model can be used:
Max S .t . z = cx + dy ( c ) 1 Ay b Ex + Fy h x 0 [ 0 ,1] yS
j ( c j ) , and ( c ) are

(7)

A. Mixed Integer Programming The process of determining the optimal schedule of the unit is a complex challenge. Mathematically PBUC is a decision problem with an objective to be maximized with respect to a series of prevailing equality and inequality constraints. The problem is a mixed-integer problem and includes a large number of integer and continuous variables. A common way of solving MIP problem is to relax some coupling constraint and decompose it into several sub problems. Many commercial packages such as CPLEX, LINDO, OSL and XPRESS-MP exist in the market, and research packages such as MINTO, ABACUS, MIPO and BC-OPT have been successfully applied to UC problems [7-12]. The advantages of MIP formulation are:
The global optimality instead of near global optimum. More accurate measure of optimality. An improved modeling of constraints. The capability and adaptability of modeling. There is no heuristic approach.

where c = ( c1 ,c2 ,...,cn ) , ( c ) = inf j

the membership function of ( cx ) and j ( c j ),j , are the membership function of c j . The problem given by equation (7) is equivalent to:
Max z = cx + dy j ( c j ) 1 j

S .t . Ay b Ex + Fy h x 0 [ 0 ,1]

(8)

Furthermore, adding more constraints is easy and nonlinearities of the problem can be accurately incorporated by using piecewise linear approximation, and no significant efforts are needed to change the algorithm. In using a MIP formulation, the developers focus is on problem definition rather than algorithm development. The main obstacle for applying MIP to large-scale practical problems has been the required computational effort. However, recent advances in both computer hardware and software have revived the application of MIP to large-scale power system problems.

B. Fuzzy Mixed Integer Programming A model for uncertainty in the hourly forecasted prices is proposed in this section. This model provides a fuzzy characterization of these prices that has a definitive impact on the scheduling result of PBUC problem. We consider here only the case of fuzzy numbers with linear membership function. A FMIP problem with imprecise coefficients in the objective function is formulated as: ~ ~x + d Max z = c y Ay b (6) S .t. Ex + Fy h x0 yS
In the proposed model, imprecise coefficients in objective

The solution is fuzzy for each ( 1 ) -level cut of the fuzzy objective set; it has an grade of preference. This is a problem of finding a point which satisfies the constraints and the objective with the maximum degree. The objective will optimize while coefficients have varying degree. By solving (8) optimal establishes a compromise between degree of risk and the total profit. This problem is FMIP and can be easily solved using a standard MIP solver. Detailed algorithm is shown below: Step 1: Formulate the original FMIP model for PBUC problem. Step 2: Specify the corresponding linear membership functions for all fuzzy coefficients. Step 3: Introduce the auxiliary variable , and then transform the original FMIP problem into an equivalent crisp MIP form using minimum aggregation of all fuzzy sets. Step 4: Solve the crisp MIP problem and obtain the solution.

C. Fuzzy Membership Function for Price Fuzzy set theory uses linguistic variables rather than quantitative variables to represent imprecise concepts. In fuzzy set theory, each object X is given a membership function denoted by ( x ) , corresponding to the characteristic function of the crisp set with value ranging between zero and one. In fuzzy set theory, the closer the value of ( x ) to one, the more x belongs to X. Fuzzy sets are defined as functions that map a member of the set to a number between 0 and 1, indicating degree of membership. In this paper, we use forecasted price based on historical data. A comprehensive study for short-term electricity price forecasting is restructured power system is presented in [2]. To capture uncertainty, we assume price is subject to a normal

distribution N ( , ) . The maximum and minimum values and the most possible range of prices can be obtained using the historical database. Here, we have used the standard fuzzy membership function, called triangular fuzzy membership, to represent the uncertain parameters. The mathematical model of membership function is:
xc c = 1 0 xc Otherwise

(9)

Where is the discrepancy factor between actual and forecasted values based on historical data. So, the bigger the the more volatile the price is. The value of could be different for each hour. Fig. 1 depicts the triangular membership function of price. The proposed triangular membership function is replaced in equation (9).
C

price is assumed to be same as base case with fuzzy membership function given by (9). To have a reasonable membership function, historical forecasted price data is analyzed. Then, the discrepancy factor for each hour in a day is computed. Forecasting error is described in linguistic terms (Small (S), Medium (M) and Large (L)) as shown in Table II. Depending on error statistics, in some hours forecasting error is high and in some hour its low. In Fig. 1, discrepancy factor for linguistic terms Small, Medium and Large are assumed to be 4%, 7% and 12% respectively. Table III shows total profit when inaccuracy in forecasting energy and AS prices is taken into account. When compared with base case, FMIP results are in higher profit.
TABLE II: LINGUISTIC PRICE FORECAST ERROR IN A DAY Hour Error Hour Error Hour Error Hour Error 1 2 3 4 5 6 S S S L L L 7 8 9 10 11 12 M M M S S S 13 14 15 16 17 18 S S M M M L 19 20 21 22 23 24 L L L M M S

Membership value

C m in

C ave

C m ax

TABLE II: RESULT COMPARISON Total Profit $ 147,563 Base Case (Crisp PBUC) 168,341 FMIP (Fuzzy PBUC)

Fig. 1: Fuzzy membership function of Energy/AS price

V. CASE STUDIES We present an examples consisting of 36 units to illustrate the proposed fuzzy model. Unit data and forecasted market price are given in [2], Appendix D. In base case, forecasted energy, spinning reserve and nonspinning reserve prices are considered to be crisp parameters as given in Table I. It is assumed that spinning and nonspinning reserve prices are same. The PBUC program developed based on [2] is executed based on forecasted price. Without considering forecasting inaccuracy the total profit is $147,563. In this case, forecasted parameters are limited to their predicted value.
TABLE I: HOURLY ENERGY AND AS PRICE ($/MWH) Hour Energy AS Hour Energy AS 1 13 11.74 11.75 22.01 27.01 2 14 7.7 7.71 23.32 24.42 3 15 1.99 2.08 24 33.12 4 16 0 0.1 29.34 35.59 5 17 3 3.09 28.12 37.24 6 18 14.08 14.09 24.75 33.87 7 19 13.98 15.08 24.51 25.61 8 20 16.29 17.39 21.45 22.55 9 21 18.6 19.7 16.45 17.55 10 22 21 22.1 8.59 9.69 11 23 24.25 25.35 6.21 7 24.4 12 24 25.5 0.5 0.51

The optimization results indicate that the best solution is obtained when we use fuzzy model, which would result in $168,341 profit. The profit with crisp forecasted price is $147,563. Simulation results indicate the trade-off between maximizing GENCOs profit and risk. Based on our proposed model, there are two main factors that would impact the PBUC solution. The first factor is related to degree of uncertainty of forecasted parameters. The second one is related to attitude towards the risk. Now, we want to demonstrate the influence of membership function and chosen tolerance on PBUC solution and total profit. In this section, we apply the uncertainty of price and change the tolerance ( ) in equation (9) and Fig. 1 to see the impact on result. Fig. 2 shows how different values will affect the total profit. It is observed when is increased, the total profit will increase.

Fig. 2: Total profit vs. price forecast percentage error

Now, we model the uncertainty of forecasted price as fuzzy parameters. In order to perform simulations, the forecasted

Therefore, given the attitude of GENCO towards the risk of having high price violation, and towards the total profit, user can define a compromised solution including a definition of price uncertainty. VI. CONCLUSION In this paper, we model PBUC problem under uncertainties in the competitive electricity market. The uncertainty of market prices is modeled by fuzzy sets. This model can be used by GENCOs in competitive markets for unit commitment in order to maximize their own profit. Simulation results shows that profit can be maximized considering uncertainty in price forecasting. It should be mentioned that both the problem formulation and solution methodology can be extended to problems considering other uncertainties, e.g., uncertain fuel price and probability that AS is called and generated. VII. REFERENCES
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VIII. BIOGRAPHY
Hossein Daneshi received his BS in E.E. from Ferdowsi University, Iran, in 1998, MS in E.E from University of Tehran, Iran, in 2001 and PhD in power system from Illinois Institute of Technology, USA, in 2006. Presently he is working with LCG consulting. His research interests include power systems operation and planning. Anurag K. Srivastava received his Ph.D. degree from Illinois Institute of Technology (IIT), Chicago, in 2005, M. Tech. from Institute of Technology, India in 1999 and B. Tech. in Electrical Engineering from Harcourt Butler Technological Institute, India in 1997. He is working as Assistant Research Professor at Mississippi State University since September 2005. Before that, he worked as research assistant and teaching assistant at IIT, Chicago, USA and as Senior Research Associate at Electrical Engineering Department at the Indian Institute of Technology, Kanpur, India as well as Research Fellow at Asian Institute of Technology, Bangkok, Thailand. His research interest includes real time simulation, power system modeling, power system security, power system restructuring and artificial intelligent application in power system. Dr. Srivastava is member of IEEE, IET, Power Engineering Society, Sigma Xi and Eta Kappa Nu. He is vice chair of IEEE PES PEEC career promotion subcommittee and secretary of IEEE PES PEEC students activities subcommittee as well as active in several other IEEE PES technical committees. He is recipient of several awards and serves as reviewer for IEEE Transactions, international journals and conferences.

[12] [13]

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