Self-Scheduling of Large Consumers With Second-Order Stochastic Dominance Constraints

This paper develops a decision making framework for mid-term scheduling problems of the large industrial consumers. The proposed approach is based upon the recently introduced class of stochastic programming problems, established by the concept of second-order stochastic dominance (SSD). In this paper, it is assumed that the electricity price and the rate of availability (unavailability) of the generating unit (forced outage rate) are the sources of uncertainty in the decision-making problem. In the developed SSD-constrained stochastic programming problem, the consumer risk is managed by minimization of the pool procurement, as the objective function, and economic issues (e.g., cost minimization) are considered in the SD constraint. Furthermore, while most approaches optimize the cost subject to an assumed demand profile, our method enforces the electricity consumption to follow an optimum profile for mid-term time scheduling, i.e., three months (12 weeks), so that the total production will remain constant. Simulation results for a typical cement factory (as an industrial consumer) and comparison to a mean-risk approach with CVaR risk measure, revealed the interesting results and benefits of the proposed approach.

[1]  A. Tversky,et al.  Prospect theory: an analysis of decision under risk — Source link , 2007 .

[2]  Antonio J. Conejo,et al.  Energy procurement for large consumers in electricity markets , 2005 .

[3]  M. Chapman Findlay,et al.  Stochastic dominance : an approach to decision-making under risk , 1978 .

[4]  I. Burhan Türksen,et al.  Enhanced Fuzzy System Models With Improved Fuzzy Clustering Algorithm , 2008, IEEE Transactions on Fuzzy Systems.

[5]  Jitka Dupacová,et al.  Scenario reduction in stochastic programming , 2003, Math. Program..

[6]  Houmin Yan,et al.  Optimal energy purchases in deregulated California energy markets , 2000, 2000 IEEE Power Engineering Society Winter Meeting. Conference Proceedings (Cat. No.00CH37077).

[7]  A. Ramos,et al.  Optimal energy management of an industrial consumer in liberalized markets , 2003 .

[8]  D. Kirschen Demand-side view of electricity markets , 2003 .

[9]  J. Dupacová,et al.  Scenario reduction in stochastic programming: An approach using probability metrics , 2000 .

[10]  A. Conejo,et al.  Impact of Unit Failure on Forward Contracting , 2008, IEEE Transactions on Power Systems.

[11]  Rüdiger Schultz,et al.  Second-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse , 2007 .

[12]  Xi Yang Applying stochastic programming models in financial risk management , 2010 .

[13]  Silvano Martello,et al.  Decision Making under Uncertainty in Electricity Markets , 2015, J. Oper. Res. Soc..

[14]  A. Conejo,et al.  A Stochastic Programming Approach to Electric Energy Procurement for Large Consumers , 2007, IEEE Transactions on Power Systems.

[15]  J. Contreras,et al.  Price-Maker Self-Scheduling in a Pool-Based Electricity Market: A Mixed-Integer LP Approach , 2002, IEEE Power Engineering Review.

[16]  A. Conejo,et al.  Risk-constrained electricity procurement for a large consumer , 2006 .

[17]  K. Zare,et al.  Risk-Based Electricity Procurement for Large Consumers , 2011, IEEE Transactions on Power Systems.

[18]  Rüdiger Schultz,et al.  Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse , 2008, SIAM J. Optim..

[19]  L. Yaan,et al.  Purchase Allocation and Demand Bidding in Electric Power Markets , 2002, IEEE Power Engineering Review.

[20]  B. Daryanian,et al.  Optimal Demand-Side Response to Electricity Spot Prices for Storage-Type Customers , 1989, IEEE Power Engineering Review.

[21]  M. Shahidehpour,et al.  Risk-Constrained Generation Asset Arbitrage in Power Systems , 2007, IEEE Transactions on Power Systems.

[22]  N. Growe-Kuska,et al.  Scenario reduction and scenario tree construction for power management problems , 2003, 2003 IEEE Bologna Power Tech Conference Proceedings,.

[23]  Darinka Dentcheva,et al.  Optimization with Stochastic Dominance Constraints , 2003, SIAM J. Optim..

[24]  A. Tversky,et al.  Prospect theory: analysis of decision under risk , 1979 .

[25]  M. W. Leinmiller Total power management for the cement industry , 2003, Cement Industry Technical Conference, 2003. Conference Record. IEEE-IAS/PCA 2003.

[26]  Jitka Dupacová,et al.  Scenarios for Multistage Stochastic Programs , 2000, Ann. Oper. Res..

[27]  H. Levy Stochastic Dominance: Investment Decision Making under Uncertainty , 2010 .

[28]  X. Guan,et al.  Purchase allocation and demand bidding in electric power markets , 2002 .

[29]  Rüdiger Schultz,et al.  Risk Modeling via Stochastic Dominance in Power Systems with Dispersed Generation , 2007 .