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1561/3100000014
Unit Commitment in
Electric Energy Systems
Miguel F. Anjos
Department of Mathematics and Industrial Engineering
GERAD & Polytechnique Montreal
anjos@[Link]
Antonio J. Conejo
Department of Integrated Systems Engineering
Department of Electrical and Computer Engineering
The Ohio State University
conejonavarro.1@[Link]
Boston — Delft
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M. F. Anjos and A. J. Conejo. Unit Commitment in Electric Energy Systems.
Foundations and Trends R in Electric Energy Systems, vol. 1, no. 4, pp. 220–310,
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Foundations and Trends R in Electric Energy
Systems
Volume 1, Issue 4, 2017
Editorial Board
Editor-in-Chief
Marija D. Ilić
Carnegie Mellon University
United States
Editors
István Erlich Chao Lu Goran Strbac
U Duisburg-Essen Tsinghua University Imperial College London
David Hill Steven Low Robert J. Thomas
University of Hong Kong Caltech Cornell University
and University of Sydney Ram Rajagopal David Tse
Daniel Kirschen Stanford University Berkeley
University of Washington Lou van der Sluis Le Xie
J. Zico Kolter TU Delft Texas A&M University
CMU
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Editorial Scope
Topics
Foundations and Trends R in Electric Energy Systems publishes survey
and tutorial articles on the following topics::
• Advances in power dispatch • Modern grid architecture
• Demand-side and grid scale data • Power system analysis and
analytics computing
• Design and optimization of
• Power system dynamics
electric services
• Distributed control and • Power system operation
optimization of distribution • Power system planning
networks
• Power system reliability
• Distributed sensing for the grid
• Distribution systems • Power system transients
• Fault location and service • Security and privacy
restoration
• Stability and control for the
• Integration of physics-based and whole multi-layer (granulated)
data-driven modeling of future network with new load models
electric energy systems (to include storage, DR, EVs)
• Integration of Power electronics, and new generation
Networked FACTS • System protection and control
• Integration of renewable energy
• The new stability guidelines and
sources
control structures for supporting
• Interdependence of power system high penetration of renewables
operations and planning and the
electricity markets • Uncertainty quantification for
the grid
• Microgrids: design, optimization,
and stability • System impacts of HVDC
Information for Librarians
Foundations and Trends R in Electric Energy Systems, 2017, Volume 1, 4
issues. ISSN paper version 2332-6557. ISSN online version 2332-6565. Also
available as a combined paper and online subscription.
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Foundations and Trends R in Electric Energy Systems
Vol. 1, No. 4 (2017) 220–310
c 2017 M. F. Anjos and A. J. Conejo
DOI: 10.1561/3100000014
Unit Commitment in Electric Energy Systems
Miguel F. Anjos
Department of Mathematics and Industrial Engineering
GERAD & Polytechnique Montreal
anjos@[Link]
Antonio J. Conejo
Department of Integrated Systems Engineering
Department of Electrical and Computer Engineering
The Ohio State University
conejonavarro.1@[Link]
Full text available at: [Link]
Contents
1 Introduction to the Unit Commitment Problem 2
1.1 Outline of this Book . . . . . . . . . . . . . . . . . . . . . 4
2 Deterministic Unit Commitment 5
2.1 Binary Decision Variables . . . . . . . . . . . . . . . . . . 8
2.2 Startup Cost . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3 Ramping Constraints . . . . . . . . . . . . . . . . . . . . 9
2.4 Uptime and Downtime Constraints . . . . . . . . . . . . . 10
2.5 Generation Limits . . . . . . . . . . . . . . . . . . . . . . 11
2.6 Recapitulation of the Basic UC Formulation . . . . . . . . 12
2.7 Illustrative Example . . . . . . . . . . . . . . . . . . . . . 12
3 Network-Constrained Deterministic Unit Commitment 18
3.1 DC Power Flow . . . . . . . . . . . . . . . . . . . . . . . 19
3.2 Integration of Network Constraints in UC . . . . . . . . . 19
3.3 Recapitulation of the Network-Constrained Deterministic
UC Formulation . . . . . . . . . . . . . . . . . . . . . . . 20
3.4 Illustrative Example . . . . . . . . . . . . . . . . . . . . . 21
4 Security-Constrained Deterministic Unit Commitment 27
4.1 Pre- and Post-Contingency Operating Conditions . . . . . 28
ii
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iii
4.2 Recapitulation of the Security-Constrained Deterministic
UC Formulation . . . . . . . . . . . . . . . . . . . . . . . 29
4.3 Illustrative Example . . . . . . . . . . . . . . . . . . . . . 30
5 AC Network-Constrained Unit Commitment 37
5.1 AC Power Flow . . . . . . . . . . . . . . . . . . . . . . . 37
5.2 Transformation of the AC Power Flow Equations to DC . . 39
5.3 Integration of AC Network Constraints in UC . . . . . . . 40
5.4 Recapitulation of the AC Network-Constrained UC Formu-
lation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
5.5 Illustrative Example . . . . . . . . . . . . . . . . . . . . . 43
6 Stochastic Unit Commitment 49
6.1 Two-Stage Stochastic Optimization . . . . . . . . . . . . . 50
6.2 Optimization Objective . . . . . . . . . . . . . . . . . . . 51
6.3 First-Stage Constraints . . . . . . . . . . . . . . . . . . . 52
6.4 Second-Stage Constraints . . . . . . . . . . . . . . . . . . 52
6.5 Recapitulation of the Stochastic UC Formulation . . . . . 53
6.6 Illustrative Example . . . . . . . . . . . . . . . . . . . . . 54
7 Robust Unit Commitment 58
7.1 Three-Level Adaptive Robust Formulation . . . . . . . . . 59
7.2 Uncertainty Set . . . . . . . . . . . . . . . . . . . . . . . 59
7.3 Optimization Objective . . . . . . . . . . . . . . . . . . . 60
7.4 First-Level Constraints . . . . . . . . . . . . . . . . . . . . 61
7.5 Second-Level Constraints . . . . . . . . . . . . . . . . . . 61
7.6 Third-Level Constraints . . . . . . . . . . . . . . . . . . . 62
7.7 Recapitulation of the Robust UC Formulation . . . . . . . 62
7.8 Illustrative Example . . . . . . . . . . . . . . . . . . . . . 63
8 Computational Aspects 66
8.1 Computational Efficiencies . . . . . . . . . . . . . . . . . 66
8.2 Solving the Formulations . . . . . . . . . . . . . . . . . . 70
9 Conclusions and Directions for Future Research 76
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iv
Appendices 77
A Derivation of the Dual of the Third-Level Problem in Section
8.2.1 78
B Notation 84
B.1 Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
B.2 Constants . . . . . . . . . . . . . . . . . . . . . . . . . . 85
B.3 Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
References 89
Full text available at: [Link]
Abstract
The unit commitment problem is a fundamental problem in the elec-
tric power industry. The objective of unit commitment is to determine
an optimal schedule for each generating unit so that the demand for
electricity is met at minimum cost for the system as a whole. This
tutorial presents the most relevant mathematical optimization models
for the unit commitment problem. It is intended as a starting point for
learning about this important problem, and thus only the key technical
details are included. Likewise, we point out selected references instead
of providing a comprehensive literature review of the area.
M. F. Anjos and A. J. Conejo. Unit Commitment in Electric Energy Systems.
Foundations and Trends R in Electric Energy Systems, vol. 1, no. 4, pp. 220–310,
2017.
DOI: 10.1561/3100000014.
Full text available at: [Link]
1
Introduction to the Unit Commitment Problem
The unit commitment (UC) problem addresses a fundamental decision
in the operation of a power system, namely determining the schedule
of power production for each generating unit in the system so that
the demand for electricity is met at minimum cost. The schedule must
also ensure that each unit operates within its technical limits; these
typically include ramping constraints and minimum uptime/downtime
constraints. Units that are scheduled to produce electricity during a
given time period are said to be committed for that period.
Various jurisdictions solve UC on a daily basis. In particular, it is
the standard tool for clearing spot markets, and particularly day-ahead
markets in the USA. In North American jurisdictions without markets,
the system operators use UC to determine the day-ahead commitments
and dispatches.
The UC problem can be formulated as a mixed-integer nonlinear
optimization problem, and it is generally large-scale and nonconvex.
It is NP-hard in general, but its practical importance has motivated a
tremendous amount of research dedicated to techniques for computing
global optimal solutions. This is both because of the significance of
the operational costs and because in competitive market environments,
2
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the nonconvexity of the UC problem allows the existence of multiple
local optimal solutions that may lead to considerably different pricing
and market settlement outcomes. Indeed, a mixed-integer linear (or
nonlinear but convex) optimization model of the UC problem is among
the few techniques that can provide provably global optimal solutions
for the commitment decisions and corresponding financial settlements.
At the same time, the time available to solve the problem is a hard
constraint in practice. Hence, UC is an optimization problem that is
both important and challenging.
Various important aspects of UC can be integrated in a mixed-
integer nonlinear optimization approach, but the time required to solve
the UC models is a hard practical limitation that restricts the size and
scope of UC formulations. For this reason there is no single formu-
lation of UC; instead it is a matter of designing a formulation that
incorporates the important aspects of the problem for a given context
while ensuring that the resulting optimization problem can be solved
to optimality, or near-optimality, in a reasonable time.
With the increasing penetration of stochastic sources of electric-
ity in modern power systems, most notably wind and solar gener-
ation, techniques for handling uncertainty are acquiring greater im-
portance in UC modeling. We focus our presentation on two well-
known techniques for modeling uncertainty in mathematical optimiza-
tion, namely stochastic optimization and robust optimization. These
are by no means the only mathematical optimization techniques for
handling uncertainty, but we believe that they are the most relevant in
the context of UC because power system operators will always prefer
approaches that enforce constraints, rather than satisfying them with
some probability, which is the basis of most other approaches.
All the formulations that we present here are mathematical op-
timization problems. The Introduction to Optimization of the NEOS
Guide provides information about the different classes of mathematical
optimization problems and the software available to solve them. Most of
the state-of-the-art solvers, whether commercial or open source, can be
accessed for free on the NEOS Server [Czyzyk et al., 1998, Dolan, 2001,
Full text available at: [Link]
4 Introduction to the Unit Commitment Problem
Gropp and Moré, 1997]. All the computations made in the preparation
of this book were carried out on the NEOS Solver.
1.1 Outline of this Book
We introduce in the next six chapters a selection of formulations of
UC that integrate different aspects of the problem. We discuss the mo-
tivation for and the detailed structure of each formulation and then
recapitulate the mathematical model. Each chapter concludes with a
small example, accompanied by a description of how the results illus-
trate the features of the corresponding formulation.
We begin in Chapter 2 with a basic formulation of UC that focuses
on the modeling of the generating units and ensuring that generation
meets demand (with spinning reserves). The next step is to integrate
the impact of the power network; this can be done using power flow
equations in either linear (DC) form (Chapter 3) or alternating current
(AC) form (Chapter 5). The security of the system is a common con-
cern. In Chapter 4 we integrate constraints to ensure that the system
can cope with the failure of one of its major components.
The subsequent two chapters are concerned with modeling uncer-
tainty in the data for UC. We consider two modeling approaches: Chap-
ter 6 introduces a stochastic optimization approach that is based on
the use of scenarios, and Chapter 7 presents a robust optimization ap-
proach that focuses on the worst-case operating conditions.
While we briefly comment in the presentation of each example on
how the computational results were obtained, a detailed discussion of
the computational aspects of solving each formulation is given in Chap-
ter 8. Chapter 9 provides concluding remarks and discusses future
research.
Full text available at: [Link]
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