COLLABORATIVE RESEARCH: Commitment, Expansion, and Pricing in Uncertain Power Markets: Discrete Hierarchical Models and Scalable Algorithms

合作研究：不确定电力市场中的承诺、扩展和定价：离散层次模型和可扩展算法

• 批准号: 1408366
• 负责人: Uday Shanbhag
• 金额: $ 21万
• 依托单位: Pennsylvania State Univ University Park
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-09-01 至 2018-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1408366&HistoricalAwards=false
• 关键词: COLLABORATIVE; RESEARCH; Commitment; Expansion; Pricing

Commitment, Expansion, and Pricing in Uncertain Power Markets: Discrete Hierarchical Models and Scalable AlgorithmsOur study is motivated by the impact of uncertainty, nonlinearity, and hierarchy on critical long-term planning (such as transmission expansion) and operational problems (such as unit commitment problems (UCPs) and transmission switching) in power systems and markets. The optimal resolution of such problems is of significant relevance. For instance, algorithms for UCPs have saved billions of dollars annually while analogous schemes for transmission switching may have similar potential. Yet, much of the available technology can only cope with deterministic linear problems. But nonlinear generalizations are assuming increasing relevance and emerge from incorporating reactive power and voltage management through AC load flows, while uncertainty in problem data, such as demand and availability, leads to a massive growth in problem complexity. Equally challenging are the hierarchical problems, arising from optimizing the expansion of transmission assets subject to subsequent energy market behavior, recognizing long run regulatory, economic, and technology uncertainties. Both the planning and operational problems lead to inordinately challenging optimization problems and no general purpose algorithms exist for the scalable resolution of such problems, motivating the proposed research. Through relationships with independent system operators for two US markets, our research will help inform stakeholder discussions concerning the design of markets for electric energy and capacity. More efficient short-run and long-run markets lower the cost and enhance the environmental sustainability of the power sector. In particular, our collaboration with PJM Interconnection will examine commitment, switching, and expansion problems under uncertainty, reliability pricing models for ensuring generation adequacy, and the design of reliability premiums in the context of integrating renewables. The proposal is equipped with an educational plan that includes the organization of research workshops and professional course development.Our goals are twofold: (a) Stochastic optimization models: We consider development of: (i) Operating models for stochastic unit commitment problems emphasizing reactive power management, transmission switching, and stochasticity; and (ii) Planning models for transmission expansion in uncertain settings as well as the pricing of reliability, in particular the adequacy of generation and transmission resources. (b) Scalable algorithms: These models lead to mixed-binary stochastic optimization problems possibly complicated by nonlinearity. Unfortunately, existing decomposition schemes are ill-equipped to address such problems and we consider two broad directions. (i) A stochastic barrier-cut scheme that utilizes a combination of interior point methods, cutting plane techniques, and Schur-complement methods to develop scalable interior-point methods for contending with mixed-binary stochastic nonlinear programs; and (ii) Stochastic mixed-integer quadratic programs, including potential use of semidefinite programming relaxations, both in terms of developing cutting-plane schemes as well as approximate solutions. If successful, this research will lead to scalable computational tools for resolving a range of stochastic optimization problems, complicated by hierarchy, discreteness, and nonlinearity.

不确定电力市场中的承诺、扩展和定价：离散分层模型和可扩展的模型我们的研究是由电力系统和市场中的不确定性、非线性和分层对关键长期规划（如输电扩展）和运营问题（如机组承诺问题（UCP）和输电切换）的影响而引起的。这些问题的最佳解决方案具有重要意义。例如，用于UCP的算法每年节省数十亿美元，而用于传输交换的类似方案可能具有类似的潜力。然而，许多现有的技术只能科普确定性线性问题。但是，非线性概括假设越来越多的相关性，并通过交流负荷流将无功功率和电压管理，而问题数据的不确定性，如需求和可用性，导致问题的复杂性大幅增长。同样具有挑战性的是分层问题，从优化传输资产的扩展受到随后的能源市场行为，认识到长期的监管，经济和技术的不确定性。规划和运营问题导致过度具有挑战性的优化问题，并没有通用的算法存在的可扩展的解决方案，这样的问题，激励拟议的研究。通过与两个美国市场的独立系统运营商的关系，我们的研究将有助于为利益相关者关于电能和容量市场设计的讨论提供信息。更有效的短期和长期市场降低了成本，提高了电力部门的环境可持续性。特别是，我们与PJM Interconnection的合作将研究不确定性下的承诺，切换和扩展问题，确保发电充足性的可靠性定价模型，以及在整合可再生能源的背景下设计可靠性溢价。该建议配备了一个教育计划，其中包括组织研究讲习班和专业课程的发展。我们的目标是双重的：（a）随机优化模型：我们考虑发展：（i）随机机组组合问题的运行模型，强调无功功率管理，传输切换和随机性;以及（ii）在不确定环境下的输电扩展规划模型以及可靠性定价，特别是发电和输电资源的充足性。(b)可扩展算法：这些模型会导致混合二进制随机优化问题，可能会因非线性而变得复杂。不幸的是，现有的分解方案是装备不良，以解决这些问题，我们认为两个广泛的方向。(i)一个随机的障碍切割计划，利用内点法，切割平面技术和舒尔补充方法相结合，开发可扩展的邻点方法与混合二进制随机非线性程序竞争;（ii）随机混合整数二次规划，包括潜在的使用半定规划松弛，无论是在开发切割平面计划以及近似解。如果成功，这项研究将导致可扩展的计算工具，解决一系列的随机优化问题，复杂的层次结构，离散性和非线性。