545 1

A Performance Review of Lagrangian

Relaxation Method for Unit Commitment in
Korean Electricity Market
Don Hur, Member, IEEE, Hae Seong Jeong, and Heung Jae Lee, Member, IEEE

served earlier. In this paper, we present some comparisons

Abstract— In 2001, AREVA’s optimization solution, Resource between Lagrangian Relaxation in RSC and Mixed Integer
Scheduling and Commitment (RSC), was launched to solve the Programming in the MOSEK solver. The results are illustrated
unit commitment problem in Korean electricity market. At this from 2006 Korean electric power system consisting of 247
stage we are making a full review of it, tacking benefits of the
recent advances in the operational research field. To begin with,
units over a week study horizon from April 13, 2006 to April 19,
the features of Korean electricity market are briefly described 2006. Finally, to provide improved scheduling and coordina-
and then many of the inherent problems associated with Lagran- tion of multiple resources while recognizing the numerous
gian Relaxation (LR) algorithms are ferreted out through stark operational and system constraints, some particulars are ad-
contrast with the robust and flexible Mixed Integer Programming dressed.
(MIP) formulation.
II. KOREAN ELECTRICITY MARKET
Index Terms—Economic dispatch, Korean electricity market,
Lagrangian relaxation, Mixed integer programming, Unit com-
A. Restructuring Plan [4]
mitment.
It used to be assumed that electricity generation, transmis-
I. INTRODUCTION sion, distribution and supply enjoyed significant vertical
economies that would be lost if the functions were placed under
T HE major purpose of the present study is to gauge the
general applicability of Lagrangian Relaxation (LR)
method to the unit commitment problem of Cost-Based Pool
the control of different companies. Such long-held belief made
it possible that the Korea Electric Power Corporation (KEPCO)
had monopoly power – supported by legal protection.
(CBP) in Korea and to test the essential validity of different
Since the 1997 financial crisis, economic policy in Korea has
integer programming methods, particularly, Mixed Integer
aimed to remove barriers to trade and competition. Network
Programming (MIP) formulation. Also, this paper primarily
industries like electricity and natural gas, which were histori-
sets out to investigate many of inherent problems associated
cally sheltered from competition and operated within national
with LR solutions and presents a serious concern about the unit
or regional boundaries, have made rapid progress as a conse-
commitment program’s future direction applied in a course of
quence. National pressure to liberalize electricity markets re-
Korean electricity market.
flected the perceived benefits of introducing market forces into
Since 2001, the Korean electricity market has been using
the electricity industry previously viewed as a natural monop-
Resource Scheduling and Commitment (shortly, RSC) which
oly with substantial vertical economies. In the meantime, the
was AREVA’s unit commitment application for a typical
generation sector was split up into six subsidiaries which will
day-ahead security constrained unit commitment execution.
be privatized each, after all. Still, the KEPCO is being engaged
The RSC, as discussed in [1], makes use of the fundamental
in monopolistic business activities of the transmission and
Lagrangian Relaxation concepts, but seeks to overcome some
distribution systems alike.
convergence problems by Single Unit Dynamic Programming
In an attempt to help mitigate potential negative prospects
(SUDP) [2]. Unfortunately, this procedure does not explicitly
about which the hasty reform drive could bring, a new transi-
deal with the problem of unit commitment for generating units
tional electricity market, dubbed ‘Cost-Based Pool (CBP)’, was
with the same fuel costs. The RSC includes the sequential
set up in 2001. In 2004, tripartite committee of business, labor,
bidding algorithm [3] that complements the problem as ob-
and government decided to delay the two-way bidding pool
(TWBP) in which the market clearing price would be deter-
D. Hur is with the Department of Electrical Engineering, Kwangwoon
University, Seoul, 139-701 Republic of Korea (phone: +82-2-940-5473; fax: mined from the bids of customers and the offers of generation
+82-2-940-5141; e-mail: dhur@kw.ac.kr). companies in the unconstrained dispatch, to suspend the un-
H. S. Jeong was with Korea Electrotechnology Research Institute, Ui- bundling and privatization plan in the distribution and sales
wang-city, Gyeonggi-province, 437-808 Republic of Korea (e-mail:
econohs@empal.com). sector, and to further intensify internal competition among
H. J. Lee is with the Department of Electrical Engineering, Kwangwoon several independent business divisions within KEPCO.
University, Seoul, 139-701 Republic of Korea (e-mail: hjlee@kw.ac.kr).
545 2

B. Structure of Korean Electricity Market systems (all figures are approximate, as of the end of 2006):
In April 2001, Korea’s generation sector was split into six
power generation subsidiaries including one big hydro and - Population: 48.8 [million]
nuclear power company (Korea Hydro & Nuclear Power com- - Generating capacity: 65,514 [MW]
pany, KHNP) and five thermal power companies (Korea - Peak demand: 58,994 [MW]
East-West Power Co., LTD., Korea South-East Power Co., - Annual generation output in market: 354,858 [GWh]
LTD., Korea Midland Power Co., LTD., Korea Southern - Transmission lines: 29,276 [C-km]
Power Co., LTD., Korea Western Power Co., LTD.) on an - Annual trading amount: USD 20.3 [million]
equal basis in terms of commercial and technical aspects. Most C. Key Features of Korean Electricity Market
of all, KHNP will remain as a public entity in consideration of
The Korean Cost-Based Pool (CBP) is shortly summarized
nuclear safety, the characteristics of power supply and demand,
as follows:
nuclear power development, and the capability of building new
1) All generators should offer their available capacities daily to
plants, while the other five power generation companies, con-
the pool.
sisting of fossil and pumped storage power plants, will be pri-
2) KEPCO is the only purchaser in the market.
vatized in the near future.
3) Eligible customers have been allowed to buy electricity from
As a neutral and independent organization, Korea Power
the pool since January 2003.
Exchange (KPX) plays a pivotal role in Korea's electric power
4) The dispatch schedule is naturally made based on the pre-
industry. The tasks to be performed by Korea Power Exchange
determined costs of each generating unit. In fact, the Genera-
are organized in Fig. 1.
tion Cost Evaluation Committee assesses the variable costs of
generating units once a month.
Mission 5) Two marginal prices (short-term marginal price and
base-load marginal price) and capacity payment (CP) are paid
to generation companies.
< Market Operation > < System Operation > 6) Both short-term marginal price (SMP) and base-load mar-
⋅ Competitive market man- ⋅ System planning
agement ⋅ Restoration planning ginal price (BLMP) cover actual production costs, which are
⋅ Market monitoring ⋅ Demand forecast made up of start-up, no-load, incremental costs, of the last
generating unit involved in the price-setting schedule. As such,
< Real-time Dispatch > < Statistics and Inter- there is no locational signal.
connection > 7) The capacity payment is paid to all generating units that can
⋅ Power balancing ⋅ Statistics analysis produce electricity whether they are dispatched or not. Plus, it
⋅ Quality management ⋅ Overseas interconnection
ensures the recovery of capital costs and thus underpins further
Fig. 1. Korea Power Exchange’s mission
investment of generating facilities.
The trading process in Korean electricity market is sketched
Below are the scopes of KPX operations in Korean power
in Fig. 2.
Generators
KPX
CP: Yearly Construction Cost
Prod. Cost
Evaluation
Var.:Monthly Fuel Cost

Demand Forecast Day ahead

Offer
< Scheduling > Available Capacity
⋅ SMP / BLMP
⋅ Commitment Gen. Ready

Trading day Dispatch

Historical Data Instruction
Weather Data
Real-time Dispatch Gen. Operation

After 26 days Invoice

Notification
Settlement Payment

Fig. 2. Trading process

545
Metropolitan Region
#6
#1
#3
#4
#2
#5
Legend
765 kV Route
345 kV Route
DC 180 kV Subma-
rine Cable
765 kV Substation
345 kV Substation
Power Plant
Fig. 3. Schematic of major transmission facilities in Korean power system
D. Structures of transmission facilities in Korea
More than 40% of system load is in the metropolitan region,
while the majority of generation is in the non-metropolitan
regions. Further, most base-load generating units with low
generation costs are scattered all over the non-metropolitan
regions. For the purpose of economic benefits, therefore, real
power generation in non-metropolitan regions increases in
parallel with the consumption level, resulting in the power
transfer from the south and central parts of the Korean electric
power system to the northwestern part through one of the most
critical corridors of the grid. Fig. 3 is a schematic showing six
routes connecting metropolitan regions and others, including
major power plants in Korean electric power system.
Due to the trend of heavier real power flows into the met-
ropolitan region, the constraint of the interface flows will be
vital to our national-interest transmission bottlenecks, leading
to establishment of new market rule that will correctly deal
with this significant problem. It is needless to say that a new
unit commitment and economic dispatch program is prepared
to suggest possible solution of transmission congestion that
decreases reliability, restricts competition, enhances opportu-
nities for suppliers to exploit market power, increases prices to
customers, and increases infrastructure vulnerabilities.
III. OPTIMIZATION METHODS FOR UNIT COMMITMENT
The unit commitment is utilized to determine the minimum
production cost schedule for thermal generating units. Oper-
ating fuel costs, maintenance costs and start up costs are ac-
3
counted for in the calculations. An extensive set of constraints
may be imposed on the schedule. In terms of time scales in-
volved, unit commitment scheduling copes with the scope of
hourly power system operation decisions with a one-day to
one-week horizon. Chaining of schedules to provide longer
time horizons is possible.
A typical day-ahead security constrained unit commitment
execution in the PJM market has to schedule upwards of 1000
generating units to meet over 100GW demand in a system of
10,000+ buses [5]. A Mixed Integer Programming (MIP) not
only has to perform reliably over a wide range of bidding
patterns to produce optimized solutions that withstand chal-
lenges from the market participants, it is also subject to rig-
orous audits by the market monitoring staff, which demands a
high level of transparency and repeatability.
The MIP formulation allows for more sophisticated mod-
eling and flexibility of complex resources such as combined
cycle plants and pumped storage facilities. In recent deploy-
ments, other complex constraints such as transmission con-
gestion have been directly incorporated into the problem
formulation, resulting in low-cost reliable commitment solu-
tions. More, the MIP formulation allows the inter-temporal
constraints, such as energy constraints, to be directly modeled
within the mathematical problem. This avoids getting
sub-optimal unit commitment solution, as it may occur when
using the traditional Lagrangian Relaxation (LR) or Dynamic
Programming (DP) methodologies.
In [6], several approaches for solving the unit commitment
problem were detailed starting from the oldest and most
primitive method, the priority list. Different major procedures
in LR problem formulation, search for a feasible solution
through the minimization of the duality gap, updating the
multiplier, and formation of single-unit relaxed problems were
discussed for the unit commitment problem of large-scale
power systems.
IV. FUTURE EXTENSIONS IN UNIT COMMITMENT PROGRAM
Given the extraordinary nature of CBP in Korea, the im-
plementation with the LR formulation to solve the unit com-
mitment problem is now being faced with the challenges of
coming up with new schemes to deal directly with a number of
constraints and models. These include modeling of combined
cycle plants, pumped storage plants, several types of regional
reserve constraints, and conditional constraints, e.g., hot, in-
termediate, and cold startup model. To put it more concretely,
a new generation scheduling program will have to co-optimize
the costs of energy and reserve as well as to maximize social
welfare of market participants. Moreover, it should reflect
water constraints of hydroelectric plants, heat constraints of
co-generation, and fuel constraints (LNG or bituminous coal).
Apparently, it necessarily follows that essential features of
each generating unit should be satisfied: minimum up and
down time, ramp rate, maximum and minimum available ca-
pacity, start up and shut down constraints, forced and unforced
outage schedules, must-run or fixed generation as well as fixed
545 4

amount of reserves, and the ratio of steam turbine and gas TABLE I
TOTAL ENERGY COST BY LR AND MIP IN UNCONSTRAINED DISPATCH
turbine in combined cycle power plants.
LR MIP Cost
A new unit commitment program should be able to handle Date
[×103 won] [×103 won] savings [%]
various constraints in an efficient way: generation, transmis-
April 13, 2006 25,133,280 25,087,673 0.18
sion, reserve, emission, and security constraints. April 14, 2006 23,897,349 23,888,135 0.04
A. Generation constraints April 15, 2006 20,645,466 20,643,631 0.01
April 16, 2006 13,796,615 13,743,883 0.38
1) Water constraints of hydroelectric power plants April 17, 2006 22,816,052 22,762,560 0.23
2) Pumping and generation constraints of pumped storage April 18, 2006 24,141,538 24,087,877 0.22
power plants April 19, 2006 24,045,475 24,015,301 0.13
3) Heating constraints of co-generation
4) Fuel constraints in case of LNG or bituminous coal TABLE II
AVERAGE NUMBER OF UNITS COMMITTED DURING EACH HOUR
5) Must-run or fixed generation output
Date LR MIP
6) Constraints of 1), 2), 3), and 4) should be applied to a single
April 13, 2006 85 83
generating unit as well as in group.
April 14, 2006 83 80
7) Energy and fuel constraints should be modeled in a par- April 15, 2006 77 74
ticularly specified period. April 16, 2006 67 66
8) Hydraulic, thermal, and fuel constraints are expressed in April 17, 2006 83 79
lower limit, upper limit, or alternatively fixed one. April 18, 2006 83 80
April 19, 2006 83 80
B. Transmission constraints Average 80 78
A new unit commitment program should take into account
transmission network constraints. More specially, transmis- TABLE III
sion constraint between Jeju Island and the southwestern LR AND MIP COMPARISONS RESPECTING RESERVE AND TRANSMISSION
NETWORK CONSTRAINTS
inland area of Korea should be formulated in the following:
CPU Average
Energy cost
Constraints Solver times reserve
Min(Installed capacity of HVDC, 60 % of load-demand in Jeju [×103 won]
[sec/day] [MW/h]
Island) (1) LR 157,411,505 120 2,496
Reserve
C. Reserve constraints MIP 157,320,434 134 1,637
Transmission LR 157,722,120 120 1,460
Reserves should satisfy the inter-regional requirements and Network MIP 156,877,832 129 365
types of reserves. For example, some types of reserves with Reserve + LR 158,849,457 120 2,588
fast response time can replace the one with slow response time. Transmission MIP 158,208,592 157 1,642
Besides, transmission bottlenecks should be allowed to opti-
mize regional reserves. Accordingly, reserves in the receiving Table I shows total energy cost for the LR and MIP runs in
region may be appended to reserves in the sending region. the unconstrained dispatch. The largest difference between the
D. Extra constraints LR and the MIP is ₩53,661,000 on April 18, 2006. Typically,
Security-constrained economic dispatch is performed by the MIP are producing more excellent solution for unit com-
contingency analysis. In addition, transmission losses for the mitment problem with similar CPU times, taking approxi-
overall network may be appropriately taken into consideration. mately 2 minutes in this case. In the other hand, the average
The constraint on emission of harmful gases should be inde- number of generating units committed as per hour is described
pendently managed apart from the energy constraint, though in Table II. In general, the average number of generating units
the former is quite similar to the latter. committed in the MIP is obviously less than that in the LR,
which results in the remarkable cost savings.
V. CASE STUDY In Table III, simulation results of three cases are given for
comparative analysis of the total energy costs for a whole
When we carry out the unit commitment to Korean elec- week, average cpu times occupied, and average reserves se-
tricity market with LR and MIP formulation, the latter will cured in the LR and the MIP. Here, the amount of 1,500 [MW]
make further generation cost savings possible and help to is imposed on the reserve constraint, while the transmission
facilitate the power system operations in terms of reserve and network constraint is regarded as the limit of northward real
congestion. The results of our study are expected to provide a power flows from the non-metropolitan regions to the met-
useful guideline to improve or replace the existing generation ropolitan area through six interconnections. From 9:00 AM to
scheduling program for more sophisticated unit commitment 7:00 PM, the amount of 11,300 [MW] is applied and the
problem, along with recent advances in MIP commercial amount of 10,100 [MW] is assumed from 7:00 PM to 9:00 AM.
solvers. This section presents results from Korean electricity The final case includes the reserve constraint and transmission
market consisting of 247 units over a week study horizon. network constraint at the same time. As mentioned earlier, the
545
MIP is more cost effective than the LR since much less of
reserve for each hour is obtained in the MIP while meeting the
reserve requirements.
VI. CONCLUSION
In recent years, the yearly production costs in Korea re-
quired to meet the nationwide load-demand account for about
10 billion dollars. If we slightly enhance the efficiency of
resource scheduling and commitment, we can experience the
tremendous generation cost savings in real-life situations.
The unit commitment program installed in Korea makes the
best of Lagrangian Relaxation algorithm, which seems, in part,
to be inefficient and inflexible on uncertain changes of the
future electricity market.
In this context, we have tried to make a comparative
analysis of Lagrangian Relaxation and Mixed Integer Pro-
gramming suitable for the unit commitment in Korean elec-
tricity market. Consequently, it can be concluded that the
Mixed Integer Programming offers a number of important
advantages over the Lagrangian Relaxation.
REFERENCES
[1] Resource Scheduling and Commitment (RSC) Software Specification
Document (SSD), CEGELEC ESCA Corporation, 1998.
[2] F. Zhuang, F. Galiana, “Towards a More Rigorous and Practical Unit
Commitment by Lagrangian Relaxation,” IEEE Transactions on Power
Systems, Vol. 3, No. 2, May 1988.
[3] F. Lee, “Thermal Unit Commitment by Sequential Methods,” in Appli-
cation of Optimization Methods for Economy/Security Functions in
Power System Operations, IEEE Tutorial Course 90EH0328-5-PWR, pp.
47–54.
[4] H. S. Jeong, Y. H. Moon, T. K. Oh, D. Hur, J. K. Park, “Status and
Perspective of Transmission Pricing Scheme in Korean Electricity
Market,” CIGRE/IEEE PES, 2005. International Symposium, San An-
tonio, TX, October 5–7, 2005, pp. 36–43.
[5] D. Streiffert, R. Philbrick, and A. Ott, “A Mixed Integer Programming
Solution for Market Clearing and Reliability Analysis,” IEEE PES 2005
General Meeting, San Francisco, CA, USA, June 12–16, 2005.
[6] J. A. Momoh, Electric Power System Applications of Optimization.
New York, NY: Marcel Dekker, Inc., 2001, pp. 293–323.
5
BIOGRAPHIES
Don Hur (M’00) was born in Seoul, Republic of Korea, on January 17, 1974.
He received B.S.(1997), M.S.(1999), and Ph.D.(2004) degrees in electrical
engineering from Seoul National University, Seoul, Republic of Korea. He
was employed as an assistant electrical engineer by Burns&McDonnell En-
gineering Company, Kansas City, MO, USA from 2001 to 2002. He was also
appointed a visiting researcher in Engineering Research Institute at Seoul
National University in 2004. In 2005, he was a visiting scholar at the Univer-
sity of Texas at Austin, Austin, TX, USA. Since September, 2005, he has been
working as a full-time lecturer at the Department of Electrical Engineering,
Kwangwoon University. He has co-authored more than 30 technical papers
published in international reviews on power system planning, reliability
evaluation, and restructuring issues. He is a member of the Institute of Elec-
trical and Electronics Engineers (IEEE), the Institution of Engineering and
Technology (IET), and the Korean Institute of Electrical Engineers (KIEE).
Hae Seong Jeong was born in Seoul, Republic of Korea, on December 22,
1969. He received B.S.(1993), M.S.(1996), and Ph.D.(2004) degrees in elec-
trical engineering from Seoul National University, Seoul, Republic of Korea.
In 2004-2005, he worked as a senior researcher at Korea Electrotechnology
Research Institute, Uiwang city, Gyeonggi province, Republic of Korea. His
research interests are in the areas of power system restructuring, power system
operation, and risk management in the deregulated electricity markets.
Heung Jae Lee was born in Seoul, Republic of Korea, on January 28, 1958.
He received B.S.(1983), M.S.(1986), and Ph.D.(1990) degrees in electrical
engineering from Seoul National University, Seoul, Republic of Korea. He
worked as a researcher for Gold Star Central Research Center from 1983 to
1984. He is a professor of the Department of Electrical Engineering at
Kwangwoon University, Seoul, Republic of Korea, where he has been work-
ing since 1990. He is a member of the Institute of Electrical and Electronics
Engineers (IEEE) and the Korean Institute of Electrical Engineers (KIEE). His
research interests are in the areas of artificial intelligence, fuzzy systems, and
expert systems for fault location detection and rapid fault restoration as well as
reactive power planning.