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Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation

Perninge, Magnus LU and Söder, Lennart (2014) In Mathematical Methods of Operations Research 79(2). p.195-224
Abstract
In this article we consider how the operator of an electric power system should activate bids on the regulating power market in order to minimize the expected operation cost. Important characteristics of the problem are reaction times of actors on the regulating market and ramp-rates for production changes in power plants. Neglecting these will in general lead to major underestimation of the operation cost. Including reaction times and ramp-rates leads to an impulse control problem with delayed reaction. Two numerical schemes to solve this problem are proposed. The first scheme is based on the least-squares Monte Carlo method developed by Longstaff and Schwartz (Rev Financ Stud 14:113–148, 2001). The second scheme which turns out to be... (More)
In this article we consider how the operator of an electric power system should activate bids on the regulating power market in order to minimize the expected operation cost. Important characteristics of the problem are reaction times of actors on the regulating market and ramp-rates for production changes in power plants. Neglecting these will in general lead to major underestimation of the operation cost. Including reaction times and ramp-rates leads to an impulse control problem with delayed reaction. Two numerical schemes to solve this problem are proposed. The first scheme is based on the least-squares Monte Carlo method developed by Longstaff and Schwartz (Rev Financ Stud 14:113–148, 2001). The second scheme which turns out to be more efficient when solving problems with delays, is based on the regression Monte Carlo method developed by Tsitsiklis and van Roy (IEEE Trans Autom Control 44(10):1840–1851, 1999) and (IEEE Trans Neural Netw 12(4):694–703, 2001). The main contribution of the article is the idea of using stochastic control to find an optimal strategy for power system operation and the numerical solution schemes proposed to solve impulse control problems with delayed reaction. (Less)
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Mathematical Methods of Operations Research
volume
79
issue
2
pages
195 - 224
publisher
Physica Verlag
external identifiers
  • wos:000336741900004
  • scopus:84898829108
ISSN
1432-2994
DOI
10.1007/s00186-013-0459-0
language
English
LU publication?
yes
id
662e7b65-2884-4e11-88ad-978da28557d7 (old id 4194082)
date added to LUP
2013-12-12 09:25:49
date last changed
2017-10-29 03:56:56
@article{662e7b65-2884-4e11-88ad-978da28557d7,
  abstract     = {In this article we consider how the operator of an electric power system should activate bids on the regulating power market in order to minimize the expected operation cost. Important characteristics of the problem are reaction times of actors on the regulating market and ramp-rates for production changes in power plants. Neglecting these will in general lead to major underestimation of the operation cost. Including reaction times and ramp-rates leads to an impulse control problem with delayed reaction. Two numerical schemes to solve this problem are proposed. The first scheme is based on the least-squares Monte Carlo method developed by Longstaff and Schwartz (Rev Financ Stud 14:113–148, 2001). The second scheme which turns out to be more efficient when solving problems with delays, is based on the regression Monte Carlo method developed by Tsitsiklis and van Roy (IEEE Trans Autom Control 44(10):1840–1851, 1999) and (IEEE Trans Neural Netw 12(4):694–703, 2001). The main contribution of the article is the idea of using stochastic control to find an optimal strategy for power system operation and the numerical solution schemes proposed to solve impulse control problems with delayed reaction.},
  author       = {Perninge, Magnus and Söder, Lennart},
  issn         = {1432-2994},
  language     = {eng},
  number       = {2},
  pages        = {195--224},
  publisher    = {Physica Verlag},
  series       = {Mathematical Methods of Operations Research},
  title        = {Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation},
  url          = {http://dx.doi.org/10.1007/s00186-013-0459-0},
  volume       = {79},
  year         = {2014},
}