2016 24th Iranian Conference on Electrical Engineering (ICEE)

A MILP IGDT-Based Self-Scheduling Model For

Participating In Electricity Markets
Ramin Kaviani Masoud Rashidinejad Amir Abdollahi
Student Professor Assistant Professor
Electrical Engineering Department Electrical Engineering Department Electrical Engineering Department
Shahid Bahonar University of Shahid Bahonar University of Shahid Bahonar University of
Kerman Kerman Kerman
Kerman, Iran, 76169-14111 Kerman, Iran, 76169-14111 Kerman, Iran, 76169-14111
Email: ramin.kaviani68@gmail.com Email: mrashidi@uk.ac.ir Email: a.abdollahi@uk.ac.ir

Abstract—Nowadays, generation companies (Gencos) require FC ( k , t ) shut-down cost of unit k at time t.

precise programs in order to gain more profit in deregulated D
p (d , t ) System load at time t.
environment of electrical industry. One of the foremost of these
programs is acquiring the optimal way for incorporating of own xon (k , t ) Number of times that unit k is online after
units (self-scheduling). Meanwhile, Gencos deal with some its starting up.
uncertainties, like undetermined market clearing price (MCP) xoff (k , t ) Number of times that unit k is offline after
which sometime has tremendous effects on Gencos’ profit. In this its shutting down.
paper, uncertainty of MCP is modeled by using a non-probabilistic θ (i, t ) Angle of bus i at time t.
method, named information gap decision theory (IGDT). u (k , t ) Forecasted price
Likewise, it is assumed that transmission lines are considered by u (k , t ) Actual price
Gencos so that obtaining their pricing blocks. A mixed integer Coefficient of the piecewise linear cost
Λ(k )
linear program (MILP) model is provided and solved for a risk- function
averse Genco. Conclusively, the model is applied to the 24-bus
SL(k , ξ ) Slope of segment ξ of unit k.
IEEE standard system.
ω (k , ξ ) Upper limit of each segment of the unit k.
Keywords-component; Information gap decision theory; Power pd , t Upper limit of load at time t.
market; Risk-averse/taker Gencos; Self-scheduling.
p (k , t ) Maximum output power of unit k at time t.
p (k , t ) Minimum output power of unit k at time t.
NOMENCLATURE ak , bk , ck Coefficients of production cost function.
i Bus index Ramp-down limit of unit k.
Rlo (k )
k Unit index
t Time index f max
(l ) Maximum flow limit of line l.
ξ Segments number of piecewise linear B(l ) of line l.
production cost function of unit j. up Minimum up time of unit k.
χ intervals number of startup cost Step T (k )
function of unit k. T dw (k ) Minimum down time of unit k.
SLBiD Sets of load located at the bus i.
SUC (k ,ϕ ) start-up cost of interval ϕ
S (l ) Sending bus’s index 0 Number of times unit k has been online
h (k )
r (l ) Index related to buses which receive power. prior to the first time of the time span (end
IGr Critical profit related to IGDT method of period
0).
IGo Desire profit related to IGDT method Number of times unit k has been offline
E 0 (k )
p (k , t ) Output power of unit k at time t. prior to the first time of the time span (end
Binary variable related to units’ status of period 0).
I (k , t )
V 0 (k ) Initial commitment state of unit k
f (l , t ) Power flow between two buses
η (k , ξ , t ) Produced power at segment number ξ , for
unit k at time t
PC (k , t ) Production cost of unit k in period t.
NC (k , t ) Start-up cost of unit k at time t.

978-1-4673-8789-7/16/$31.00 ©2016 IEEE

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2016 24th Iranian Conference on Electrical Engineering (ICEE)

I. INTRODUCTION more flexibility. The rest of this paper is organized as follows:

In traditional and integrated structure of electrical industry, the self-scheduling linear IGDT-based model is established in
Gencos supplied the electricity with the purpose of minimizing section II. Simulation and results are driven in section III.
the cost and maintaining the security, simultaneously [1]. By Finally, concluding remarks are provided in section IV.
adventure of deregulated environment, Gencos have had the II. SELF-SCHEDULING PROBLEM MODEL
opportunity to produce energy with regard to their own profit
which let them to ascertain optimal power related to each of their In this section, by using IGDT method a linear model is
own units [2]. Actual power market is an incomplete market provided for self-scheduling strategy of a thermal unit that is
because of losses, inadequate numbers of buyers and sellers, and included forecasted MCP as an input. Decision variables are the
filling lines. This imperfect condition establishes the chance for amount of electric power produced by each units over the
Gencos for gaining more profit, so it leads to emergence of operation time. Firstly, the IGDT-based self-scheduling
strategic attendance in power markets [3, 4]. This issue can be nonlinear model is expressed by Eq. 1 and Eq. 2 which are
investigated from many aspects, like market’s type, modeling, converted to a linear model, at last.
and solving method. Types of market are included Day-Ahead • IGDT-based Self-scheduling MINLP Objective
market (DA) [5, 6], real market [7, 8], and ancillary market [9- Function:
11]. Self-scheduling and bidding strategy’s modeling split into
four parts: single Genco optimization model, agent-based ­u ( k , t ) p ( k , t ) - PC ( k , t ) - ½
model, game theory model and hybrid model [12]. Solving ° °
methods can be either mathematical-based or algorithm-based ¦t ® NC ( k , t ) I ( k , t )[1- I ( k , t -1)] - ¾ - IGr
° FC ( k , t )[1- I ( k , t )]I ( k , t -1) °
methods. Solving the strategic attendance problem deals with Maximize ¯ ¿ (1)
some uncertainties, like load level [13, 14], market price [15, ¦ u ( k , t ) p ( k , t )
16], consumers’ behavior [17], and renewable energies [18]. In t

the following some more related references are introduced.

­ ­u ( k , t ) p ( k , t ) - PC ( k , t ) ½½
In reference [19] a transmission-constrained bidding strategy ° ° °°
IGo - ® ¦ ® - NC ( k , t ) I ( k , t )[1- I ( k , t -1)] - ¾¾
model is proposed for maximizing Gencos’ profit using interior ° t ° FC ( k , t )[1- I ( k , t )]I ( k , t -1) °°
point method (IPM) and Benders’ decomposition which belongs Minimize ¯ ¯ ¿¿ (2)
to mathematical methods. A two-stage model for bidding ¦ u (k , t ) p (k , t )
strategy in the oligopoly markets considering bilateral contracts t

and transmission constraints is proposed in reference [20]. An As it is obvious above formulations are nonlinear because of
MILP two stage bidding strategy model in a pool-based market multiplying of two binaries, so they can be reformulated into
is proposed in reference [21], where the upper level maximizes linear formulations with respect to the linearization technique
Gencos’ profit and the lower level clears the market considering that is proposed in [28] in order to get rid of complex features of
network constraints. In this paper, a single Genco optimization nonlinearity. Self-scheduling model can be expressed as a MILP
model for self-scheduling problem of a generation company in a problem as follows:
DA market is proposed, where price uncertainty is handled using
information gap decision theory (IGDT). This method is a new • IGDT-based Self-scheduling MILP Model:
technique for modeling the severe uncertainty in power systems,
where it is used mostly in bidding strategy and self-scheduling Maximize
problems. In [22], a technique for a large consumer is proposed ª º
in order to attend DA markets, strategically. Reference [23] ( 1-Į(k) ) « ¦ P(k,t)u(k,t)
 »-
(3)
¬ t ¼
considers a profit-maximizing generating unit that participates
ª º
« ¦ PC(k,t)+NC(k,t)+FC(k,t) »
in a DA market, where its bidding strategy is modeled based on
a single Genco optimization method where the MCP uncertainty ¬ t ¼
is handled by IGDT. In [24], a function of IGDT is proposed to
help distribution network operator (DNO) in order to select Minimize
load’s suppliers among pool-based markets, distributed ª º
generations, and bilateral contracts which utilizes IGDT to ( 1+ȕ(k) ) « ¦ P(k,t)u(k,t)
 »-
(4)
¬ t ¼
model uncertainties associated to load level and market price. A
new IGDT-based formulations for risk constrained self- ª º
scheduling of Gencos under uncertain future electricity market « ¦ PC(k,t)+NC(k,t)+FC(k,t) »
¬ t ¼
prices is studied by reference [25]. A risk-based bidding strategy
method is proposed for companies in presence of DSM Furthermore, there are some constraints which make the
programs, by using IGDT technique in reference [26]. In [27], a problem nonlinear; first of all, the quadratic production cost
method for risk-based decision-making under uncertainties of function which is typically used in scheduling problems.
pool-based markets is proposed for retailers using IGDT. Nonlinearity related to production cost can be reformulated to
linear one as demonstrated in Eq. 5-9. Further explanation can
In this paper, a mixed integer linear IGDT-based model is be found in [28].
provided for self-scheduling problem with regard to
transmission lines’ constraints, where this MILP model provides

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2016 24th Iranian Conference on Electrical Engineering (ICEE)

• Linearized Production Cost for Gencos: Conclusively, minimum up/down time limits also are
γk
nonlinear because of multiplying two binary variables. To get
PC ( k , t ) = Λ ( k ) I ( k , t ) + ¦ SL ( k , ξ )η ( k , ξ , t ) , ∀ t , ∀ k (5) rid of this nonlinearity, these equations are formulated as linear
ξ =1 ones in Eq. 21-26 [28].
γk • Linear Up/Down Time Constraints
p (k , t ) = ¦
ξ
η (k , ξ , t ) + p (k ) I (k , t ) ,
=1
∀t , ∀k (6)
IU k

¦ [1- I (k , t ) ] = 0 , ∀k (21)
η ( k , ξ , t ) = ω ( k , ξ ) - ω ( k , ξ -1) , ∀t , ∀k , ∀ξ (7) t =1

t +T up ( k )-1
ω ( k , ξ ) ≥ 0 , ∀t , ∀k , ∀ξ (8)
2
¦
τ =t
I (k , τ ) ≥ T up (k ) [ I (k , t ) - I (k , t -1)] , ∀k ,
(22)
Λ(k ) = a(k ) + b(k ) p(k ) + c(k) p (k ) (9) up
t = IU (k ) + 1...T - T (k ) + 1
Secondly, start-up cost function is another item that makes T
the model nonlinear. However, it has also capability to convert ¦ { I (k , τ ) - [ I (k , t ) - I (k , t -1) ]} ≥ 0 , ∀k ,
(23)
to a linear function. A mixed-integer linear formulation for the τ =t

startup cost step function is produced in Eq. 10-13, according to up

t = T - T ( k ) + 2...T
the proposed technique in [28].
ID ( k )
• Linear Start-up and Shut-down Cost Formulation: ¦ I ( k , t ) = 0 , ∀k
t =1
(24)
ª χ
º
NC ( k , t ) ≥ NC cte ( k , ϕ ) « I ( k , t ) - ¦ I ( k , t - ϕ ) » , t +T dw ( k )-1

¦
(10)
¬ ϕ =1 ¼ [1- I (k,τ )] ≥ T dw
(k ) [ I (k , t -1) - I (k , t )] , ∀k ,
∀t , ∀k τ =t (25)
dw
NC ( k , t ) ≥ 0 , ∀ t , ∀ k (11) t = ID(k ) + 1...T - T (k ) + 1
T
F C ( k , t ) ≥ [ I ( k , t - 1) - I ( k , t ) ] , ∀ t , ∀ k {1- I (k , τ ) - [ I (k , t -1) - I (k , t ) ]} ≥ 0 ,
(12)
¦
τ =t
∀k ,
(26)
FC ( k , t ) ≥ 0 , ∀ t , ∀ k (13) dw
t = T - T ( k ) + 2...T
• Transmission Lines Constraints
Where: ωk,0 = pkG , ωk,γ = pk and,
¦ ¦ ¦ pd , t - ¦ p(k , t )
k
f (l, t ) - f (l, t ) = (14)
l| r ( l )=i l| s ( l )=i d∈SLBiD k
{
IU k = min T , ª¬Tkup − hk0 º¼ Vk0 }
f (l, t) = B(l) (θ (s(l), t)-θ (r(l), t)) (15) IDk = min {T , ª¬T k
dw
− Ek0 º¼ ª¬1 − Vk0 º¼ }
-f max
(l ) ≤ f (l , t ) ≤ f max
(l ) (16) III. SIMULATION AND RESULTS
Constraint (14) enforces the power balance at each node, In this section, the 24-bus IEEE standard system is employed
where constraint (15) defines the line power flows, which is in order to investigate the performance of the proposed self-
limited by transmission capacity in Eq. (16). scheduling model based on IGDT. The results are presented for
a risk-averse Genco, and under two different conditions: one of
• Output Power and Load Constraints is considering transmission lines’ limits and another one is not
p (k , t ) ≤ p (k , t ) ≤ p (k , t ) (17) to consider them. The obtained self-scheduling model is solved
with CPLEX solver under GAMS optimization software.
0 ≤ p D ( d , t ) ≤ p d ,t (18) By using the forecasted price for MCP which were the hourly
price in Italian market in 2012 [29], optimization is done for
• Ramp Rate Constraints different values of Į between 0 and 0.2 with interval of 0.05 in
p ( k , t - 1) - p ( k , t ) ≤ R up ( k ) , ∀ t , ∀ k (19) order to get rid of complex calculation. The calculated market
price for solving optimization problem are achieved by replacing
p ( k , t ) - p ( k , t − 1) ≤ R dw ( k ) , ∀ t , ∀ k (20) forecasted MCP values in Eq.27 [30].
Constraint (17) is the operating constraint that defines that if U ( α , π ) = {u : u (t) − u (t) ≤ α u (t) } ; α ≥ 0 (27)
a generator is dispatched, its output power must be within a
certain range, and constraint (18) imposes a limit on power The model is applied to the 24-bus IEEE standard system in
consumed by demand upper level, and constraints (19) and (20) order to check its efficiency and performance. All detail
imply that any change in output power of a generator must be in information and data about this system can be found in [31]. The
a specific range to avoid stress on generators. generation company has 16 different generation units, where

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2016 24th Iranian Conference on Electrical Engineering (ICEE)

Table I shows the calculated profits for some units for some
values Į to avoid large amount of data. According to provided
data in Table I, it is obvious that Į and critical profit (IGr) have
a converse behavior versus each other which is predictable based
on the features of IGDT method [30]. For example, unit number
4 deal with a decline in its profit from 118889.357 to 92183.602
when Į increases from 0 to 0.2 or also it is obvious for unit
number 13 whose profit declines from 142430.609 to
100861.005 when uncertainty horizon increases again from 0 to
0.20. It is noticeable that the data in Table I are provided when
transmission’s constraints are not considered.
On the other hand, the impact of considering transmission’s
constraint is tangible for units according to data in Table II. For
example, IGr related to Į=0 for unit number 4 ascends from
118889.357 to 123540.494 when transmission’s constraints are
took into account. However, the decreasing process of profits
versus increasing of value of Į has remained.

Table I. critical profit (IGr) versus different values of Į without considering transmission lines’ limits
Uncertainty horizon (Į)

0.00 0.05 0.10 0.15 0.20

Critical profit ($)

3 123531.33 117548.08 110729.46 103810.85 97092.24

4 118889.357 111586.403 105118.803 98651.202 92183.602

7 1541.422 1436.922 1332.422 1227.922 1123.422

8 18300.896 17255.896 16210.896 15165.896 14120.896

Units’
9 24260 22885 21510 20135 18760
number
10 21927.183 20682.105 19437.027 18191.949 16946.891

11 112925 106675 100425 94175 87925

12 268905.64 258569.105 243563.632 228558.16 213552.688

13 142430.609 122140.438 115047.309 107954.18 100861.005

Table II. critical profit (IGr) versus different values of Į with considering transmission lines’ limits

Uncertainty horizon (Į)

0.00 0.05 0.10 0.15 0.20

Critical profit ($)

3 119269.384 112733.384 106197.384 99661.384 92190.696

4 123540.494 116768.379 109996.263 103224.148 97386.72

7 1541.422 1436.922 1332.422 1227.922 1123.422

8 18300.896 17255.896 16210.896 15165.896 14120.896

Units’
9 18334.955 18229.808 17128.088 16026.368 14548.612
number
10 10347.047 8800.4 8250.4 7700.4 7526.477

11 112925 106675 100425 94175 87925

12 150132.32 141892.899 133653.478 125414.58 117174.637

13 191801.878 181261.248 170720.619 160179.99 135474.783

The pricing blocks for all units are achievable, while to avoid respect to two conditions of the transmission’s constraints. The
large amount of calculation three-level pricing block is depicted results for other units can be evaluated exactly like what is done
in Table III just for randomly selected 13th unit at 13th hour with for unit number 13.

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2016 24th Iranian Conference on Electrical Engineering (ICEE)

Table III. bidding blocks of unit NO.13 at hour 13 under two conditions of transmission lines
Forecasted price Calculated price related to
(Į) Output power (MW)

transmission’s constraint
related to 13th hour ($) 13th hour ($)

Without respect to 0.1 95 (1-0.1)*95=85.5 139.6

0.12 95 (1-012)*95=83.6 197

0.14 95 (1-0.14)*95=81.7 197

0.1 95 (1-0.1)*95=85.5 127.9

With respires to

transmission’s

constraint

0.12 95 (1-012)*95=83.6 197

0.14 95 (1-0.14)*95=81.7 197

IV.
In this paper, a linear model for self-scheduling problem
is proposed using information gap decision theory (IGDT).
Likewise, this model establishes how a producer can achieve
its price-quantity curve for its units based on risk control
method. IGDT is a non-probabilistic method which provides
a robustness function for risk-averse decision maker to have
immune condition. At the end, results imply that the model is
efficient since other risk control methods do not have the
ability to represent a proper price and just have a good
performance for output power allocation of each unit.
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