Parametric
            <scp>LP</scp>
            Analysis

The expected increase in penetration of renewables in the upcoming decade urges the electricity market to introduce new products -in particular, flexible ramping products -to accommodate their variability and intermittency. While CAISO and MISO are leading the design, it is not clear how such products may affect the electricity market. There has been extensive works investigating the cost incurred by variability and intermittency of renewables. In this paper, however, we are specifically interested in assessing how the new products distort the optimal energy dispatch by comparing to the case without such products. Such distortion may impose additional cost, which we term as the "distortion cost". Using a functional approach, we establish the relationship between the distortion cost and the key parameters of the new products, i.e., the up and down flexible ramping requirements. Such relationship provides valuable information in assessing the trend of the distortion cost with respect to the renewable penetration level. Fortunately, both theoretical analysis and simulation results suggest smartly choosing the parameters may significantly reduce the additional cost by avoiding the maximal distortion cost.

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“…These two theorems can be proved by the parametric linear programming theory [12]. We omit the detailed proof due to space constraints.…”

Section: Analytical Relationshipsmentioning

confidence: 94%

“…In this section, we provide several theorems that further ascertain the underlying relations between the three functions. First, based on the results in linear parametric programming [12], we have the following theorem: …”

Section: Analytical Relationshipsmentioning

confidence: 99%

A functional approach to assessing flexible ramping products' impact on electricity market

Hug

Kar

2015

2015 IEEE Power &Amp; Energy Society Innovative Smart Grid Technologies Conference (ISGT)

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“…This analysis suggests the importance of including the transaction cost parameters and their estimation in the energy storage management problem, particularly when a risk averse policy is sought and the objective function includes the CVaR risk measure with a positive risk aversion parameter ω ρ . A thorough analysis on the impact of these parameters, when the objective function and constraints are linear, can be derived using the results from parametric linear programming (e.g., see [40]). …”

Section: B Sensitivity To Transaction Cost Parametersmentioning

confidence: 99%

Mean-Conditional Value-at-Risk Optimal Energy Storage Operation in the Presence of Transaction Costs

Moazeni

Powell

Hajimiragha³

2015

IEEE Trans. Power Syst.

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Abstract-This paper addresses the formulation and solution of an optimal energy storage management problem under risk consideration and transaction costs of trading energy with the power grid. The price evolves as a stochastic process, capable of correctly explaining the seasonality effects as well as the tail fatness and spikiness in its distribution. Transaction costs capture the price impact of the storage operation on the electricity spot price. A risk analysis of an optimal risk neutral deterministic policy as well as the simple myopic policy indicates that the realized operational cost may notably differ from the expected cost by a considerable probability. This difference suggests that we need to consider risk. Using the downside risk measure of Conditional Value-at-Risk, an optimal risk averse conversion and transmission strategy, among the grid, the renewable power generation source, and an energy storage is proposed to fully satisfy the electricity demand and minimize the expected operational cost as well as the risk. Our numerical study using data from NYISO demonstrates the impacts of risk consideration and the transaction cost parameters on the optimal strategy structure, its expected cost, and its risk.

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“…We propose to solve this problem in two steps. First, by employing the theory of linear parametric programming [7], we propose a parametric functional approach to understand the dependency of the distortion cost on the level of up-and down-ramping requirements. Then, we introduce a linear search algorithm to solve the economic dispatch while guaranteeing a pre-defined risk-limiting constraint.…”

Section: Introductionmentioning

confidence: 99%

Risk-Limiting Economic Dispatch for Electricity Markets With Flexible Ramping Products

Hug

Kar

2016

IEEE Trans. Power Syst.

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Abstract-The expected increase in the penetration of renewables in the approaching decade urges the electricity market to introduce new products -in particular, flexible ramping products -to accommodate the renewables' variability and intermittency. A risk-limiting economic dispatch scheme provides the means to optimize the dispatch and provision of these products. In this paper, we adopt the extended loss-of-load probability as the definition of risk. We first assess how the new products distort the optimal economic dispatch by comparing to the case without such products. Specifically, using parametric analysis, we establish the relationship between the minimal generation cost and the two key parameters of the new products: the up-and downflexible ramping requirements. Such relationship yields a novel routine to efficiently solve the non-convex risk-limiting economic dispatch problem. Both theoretical analysis and simulation results suggest that our approach may substantially reduce the cost for incorporating the new products. We believe our approach can assist the ISOs with utilizing the ramping capacities in the system at the minimal cost.

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Parametric LP Analysis

Cited by 11 publications

References 28 publications

A functional approach to assessing flexible ramping products' impact on electricity market

A functional approach to assessing flexible ramping products' impact on electricity market

Mean-Conditional Value-at-Risk Optimal Energy Storage Operation in the Presence of Transaction Costs

Risk-Limiting Economic Dispatch for Electricity Markets With Flexible Ramping Products

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