Working Papers
EMRG-WP-99-01 - A Constructive Dual DP for a Reservoir Model with Correlation
Abstract
The reservoir management problem for a hydrothermal power system is well suited to modelling via Dynamic Programming. In this paper we describe a dual approach which we term "Constructive Dynamic Programming" (CDP) which has been successfully applied to optimise releases in a stochastic two reservoir model of the New Zealand power system. That model ignores serial correlations of inflows, though, and hence assumes that current inflow observations do not have any impact on future release decisions. These show, however, that better decision rules can be produced by accounting for inflow correlation. Hence we have developed an extension to the standard CDP to explicitly deal with serial correlation of reservoir inflows, and we report on those extensions also.
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EMRG-WP-98-02 - Electricity Sector Reform in New Zealand: Lessons from the Last Decade
EMRG-WP-98-01 - An Integrated Energy and Reserve Market for New Zealand
EMRG-WP-97-03 - Stochastic Dynamic Programming Applied to Medium-term Reservoir Management: Utility Maximisation for a Cost Minimiser
EMRG-WP-97-02 - A. L. Kerr and E. G. Read (1997). Short-term Hydro Scheduling Using Integer Programming: Management and Modelling Issues
Abstract
The scheduling of hydro stations has stochastic, integer, non-linear, and continuous time aspects, with all the approaches described to date making some simplifying assumption about one or other of these aspects. The (integer) unit commitment decision has received relatively little attention, partly because the resulting problem was deemed to be intractable given the potential gains in efficiency. However, with the advent of deregulated energy markets, the implications of ignoring these integer effects may be costly, and so they must be considered in some way. We discuss some of the managerial and modelling issues relating to this problem and some ideas for heuristics which incorporate management priorities into an Integer Programming framework.
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EMRG-WP-97-01 - A. L. Kerr (1997). Hydro Scheduling Heuristics: Implementations of SAM and PI Heuristics in a Deterministic Integer Programming Framework, System/Data Descriptions, and GAMS Code Listing
Abstract
This report was composed to record some experiments carried out in 1996 to compare the performance of a number of heuristics, namely Partial Integerisation (PI) and the Structured Analytical Method (SAM), with a standard Integer Programming approach for a 24 period deterministic hydro scheduling/dispatch problem. SAM was originally thought of as a DP-type model, so the SAM heuristics here represent the first attempt to incorporate those ideas into an Integer Programming framework. Applying the standard branch-and-bound technique to Integer Programming problems can often result in excessive solution times, with much of this time spent confirming that the incumbent solution is indeed optimal. Thus, some simple heuristics, referred to as Naive heuristics, were tested to provide a basis for fair comparison because they find integer solutions using crude techniques and in general have fast solution times. From a computational perspective, the performance of the heuristics indicates their viability as an alternative means of solving the deterministic problem using standard branch and bound. From a managerial perspective, they provide a bound on the best outcome possible given perfect foresight.
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EMRG-WP-95-09 - Scenario Analysis Using a Noninferior Solution Set
EMRG-WP-95-08 - Optimal Scheduling of Hydro Stations: An Integer Programming Model (GAMS Model and Data)
EMRG-WP-95-07 - J. A. George, E. G. Read, R. E. Rosenthal, and A. L. Kerr (1995). Optimal Scheduling of Hydro Stations: An Integer Programming Model
Abstract
This paper describes an Integer Programming (IP) model to optimise short-term (1-2 days) unit commitment schedules for hydro power stations in a river chain, which may include bypasses and tributaries. Determining optimal commitment schedules is not trivial, and for station level schedules, requires detailed modelling of station characteristics, using integer variables to represent the number of turbines, or "units", operating at each station, and their startup/shutdown characteristics, along with piece-wise linearisation of the unit efficiency curves. The problem also involves potentially strong dependencies between periods, since limited capacity exists to store water from one period to the next, and water released from one reservoir arrives at a downstream reservoir, at some later time. There is also a relationship between release and storage variables, since release is more efficient when storage is higher. In principle, this "head effect" can make the problem non-convex, although the practical significance of this is debatable for our system, where head variation is relatively small. It will be ignored here. Many of these characteristics are also common to thermal power systems, and specialised IP techniques have been developed for that problem. Unfortunately, the hydro, or mixed hydro/thermal, problem is significantly more complex than the thermal problem because of the inter-temporal and inter-station interactions implied by the river chain constraints. As well, depending on the structure of the particular system being considered, there are system-wide issues such as generation targets, market prices, transmission losses, voltage levels, reactive power, and reserve contributions. In particular, the mixed hydro/thermal formulations tend to consider the centralised coordination of an entire system operated by a large company, or a small country, and hence do not usually consider unit effects. The main thrust of this paper is to describe the basic formulation of the model which is being used as a benchmark for the testing of heuristics and improved IP procedures.
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EMRG-WP-95-06 - The Evolution of New Zealand's Electricity Supply Structure
EMRG-WP-95-05 - Modelling Hydro Reservoir Operation in a Deregulated Electricity Market
EMRG-WP-95-04 - OR Modelling for a Deregulated Electricity Sector
EMRG-WP-95-03 - Using Mathematical Programming for Electricity Spot Pricing
EMRG-WP-95-02 - A Dispatch Based Pricing Model for the New Zealand Electricity Market
EMRG-WP-95-01 - Short Run Pricing in Electricity Markets
EMRG-WP-94-04 - Optimal Scheduling of Thermal Stations: A Structured Analytical Method.
Full text (PDF, 120 KB)
EMRG-WP-94-03 - Pricing for Reserve Electricity Capacity to Meet Stochastic Contingencies
EMRG-WP-94-02 - Short Run Electricity Pricing in Competitive Electricity Markets
EMRG-WP-94-01 - Pricing for Reserve Capacity in a Competitive Electricity Market
EMRG-WP-93-01 - Optimal Pricing for Reserve Electricity Generation Capacity
EMRG-WP-92-01 - Implementation of Transmission Pricing Using a GAMS Model