Coordinated Offering Strategy of Thermal and Wind

Energy with Flexible Ramp Products

Yuzhou Zhao Yuefeng Wang Yunhe Hou
The University of Hong Kong China Electric Power Research The University of Hong Kong
Hong Kong, China Institute Hong Kong, China
yzzhao@eee.hku.hk wangyf@epri.sgcc.com.cn yhhou@eee.hku.hk

Abstract—Conventional power and wind power suppliers may ȜDA

ts Forecasted day-ahead energy price
submit a coordinated offer to the day-ahead market. Such a ɉ Forecasted real-time energy price
–•
decision depends on many uncertainties such as the forecasted
day-ahead energy price, the real-time energy price, and the real- ȜFRU FRD
ts ,Ȝts Forecasted upward/downward FRP prices
time wind output. Besides, many electricity markets have imple-
mented flexible ramp products (FRPs) to enhance the system Variables
ramping capability during the real-time operation. Introducing QDA
ts
 Day-ahead supply quantity of combined
FRPs may alter the behavior of the market participant. This paper
proposes a coordinated offering model incorporating FRPs which
thermal and wind power
is formulated as a two-stage stochastic programming problem. ’‰–• Real-time power output of a thermal unit
The simulation results demonstrate the impacts of FRPs on both xgt Status indicator of a thermal unit
the offering strategy and the real-time operation. ugt, vgt Start-up/shut-down indicator of a thermal
unit
Index Terms—Coordinated offering strategy, thermal power, zgt Binary variable for linearizing the product
wind power, flexible ramp product, stochastic programming.
of two integers
frugts, frdgts Real-time upward/downward FRP produc-
I. NOMENCLATURE tion of a thermal unit
Indices and Sets
t Time period
g Thermal unit II. INTRODUCTION
w Wind plant Electricity markets can be in the form of bilateral markets,
s Scenario power exchanges, or power pools [1]. Researches on the optimal
T Time horizon offering strategy of a power supplier in a conventional two-
NG Number of thermal units settlement market including a forward market and a spot market
NW Number of wind farms have been well studied. Currently, European markets implement
NS Number of scenarios a dual price system [2], while most U.S markets adopt a single
price system [3] to penalize any imbalances between the cleared
Parameters energy in the day-ahead markets and the actual energy produc-
ʌs Probability of a scenario tion.
Pmin max A power supplier can be a self-schedule or submit a monoto-
g , Pg Lower/upper bound of real power output of
nously increasing offering curve to bid in the markets [4]. If the
a thermal unit
supplier is assumed to be a price-taker, he may run a decentral-
TUg, TDg Minimum running on/off time of a thermal
lized priced-based unit commitment (PBUC) to deter-mine the
unit
optimal response of units, design an optimal offering curve, and
‰ǡ‰ Ramp-up/down rate limits of a thermal unit. maximize the profit [5], [6]. Such decision making relies heavily
RSUg, RSDg Start-up/shut-down ramp limits of a thermal on the increasing uncertainties of energy prices and renewable
unit generation. Due to these uncertainties, suppliers may implement
CUg, CDg Start-up/shut-down cost of a thermal unit a risk control to avoid the risk [7], or coordinate with other types
ag, bg, cg Cost coefficients of a thermal unit of resources to achieve both risk-aversion and gain surplus profit
Wmax
w Wind plant capacity [8].
wwts Real-time wind power output of a wind plant Ancillary services also play a key role in the offer strategy.
REQ REQ
FRUt ,FRDt  Upward/downward FRP requirements set Ref. [5] co-optimizes energy, regulation services, and spinning
by an ISO reserve in the PBUC formulation of thermal units. Ref. [3]
proposes a bilateral reserve market between a convention
producer and a wind producer based on the game theory. As
This work was supported by the Research Funding from the State Grid power systems are subject to the increasing variability and
Corporation of China (SGLNSY00FZJS1601337).
uncertainties, system operators find the systems sometimes lack

c
978-1-5386-4291-7/18/$31.00 2018 IEEE 481
ramp capability to maintain the power balance in the real-time Net Load
operation [9]. Thus, flexible ramping products (FRPs) are de-
vised to address this issue. A comprehensive review and related L2
explanations on the FRPs can be found in [10]. Unlike reserve
services, producers do not submit FRP offers to the markets. L1 L2
Instead, they are cleared and priced based on the shadow prices
L2
(Lagrangian multipliers) of the FRP constraints in a centralized L1
market [11]. The FRPs are load following services which have
L1
multiple minute timescales (60min, 30min, 20min, 15min) and
they can be implemented on both the day-ahead market and the L0
real-time operations [10], [12].
This paper studies coordinated offering strategy of thermal Time
and wind energy with the FRPs implemented in the real-time t0 t1 t2
market. A two-stage stochastic programming problem is formu-
lated where the first stage variables are the supply quantity of Fig. 1. Net load forecasts and uncertainties with respect to time intervals
energy to the day-ahead market and the commitment status of
thermal units. Each the day-ahead energy price scenario corres- B. Coordinated Offering Strategy [3], [7]
ponds to one energy supply quantity thus formulates the day- The objective function consists of two weighted terms: the
ahead supply curve. The second stage variables include the real-
expected profit and the conditional value at risk (CVaR) [8]. The
time energy and FRP production of thermal units. Since the wind
profit is equal to the total revenue minus the total cost. Thus, the
power is uncertain in the real-time and may be penalized for the objective function is written as
energy deviation the day-ahead market, the suppliers are under
high risks due to the wind output as well as the uncertain energy maximize (1 − β ) ⋅ E [ profit ] + β ⋅ CVaRα (1)
and FRP prices. Thus, a risk index is incorporated in the where
objective function. Before the model description, following as- NS

sumptions are made: E[ profit ] = ¦ π s ⋅ ( RsDA + RsRT − DCs − CC ) (2)

s =1
1. The market structure considered in this paper follows a
1 NS
conventional two-settlement market structure with the day- CVaRα = ζ − ⋅ ¦ π s ⋅ηs (3)
ahead market and the real-time market, whereas the intra- 1 − α s =1
day market is not considered. RDA RT
s and Rs refer to the day-ahead revenue and the real-time
2. The market participant is assumed to be a price-taker whose revenue under scenario s respectively. DCs and CC are the
behavior will not alter the market prices. Moreover, the dispatch cost under scenario s and the commitment cost
player is assumed to make an independent decision where respectively. RD RA
s , Rs ,DCs , and CC are further determined by
the interactions with other market players are not con- NT
sidered. RsDA = ¦ λtsDA ⋅ QtsDA (4)
3. Only energy and ramp products are considered in the model t =1
NT
while many reserve and regulation products are not consi-
dered. RsRT = ¦ λtsRT ⋅ (QtsRT − QtsDA ) (5)
t =1
4. The thermal energy provides ramp products in the model NT NG
while the wind energy does not provide any ramp products. CC = ¦¦ SU g ⋅ u gt + SDg ⋅ vgt (6)
5. The FRPs are implemented in the real-time market with the t =1 g =1

timescale of 1h. NT NG
DCs = ¦¦ ag ⋅ ( pgts ) 2 +bg ⋅ pgts + cg (7)
III. MATHEMATICAL FORMULATION t =1 g =1

where
A. FRP Illustration [10] NG NW

The FRPs are devised to address the uncertainties and the QtsRT = ¦ pgts + ¦ wwts (8)
g =1 w =1
variability of the net load changes in the future time intervals.
As is shown in , the net load change from t0 to t1 consists of two Constraints related to the strategic offering include cons-
part: the forecasted net load change ଵ െ ଴ and the forecast traints on the day-ahead supply curve and constraints for the risk
control:
uncertainties ଵ െ ଵ and ଵ െ ଵ . Thus, the upward FRP NG NW

requirement at time t0 is ଵ െ ଴ and the downward FRP QtsDA ≤ ¦ Pgmax + ¦ Wwmax ∀t , s (9)
g =1 w =1
requirement is ଴ െ ଵ . Notice that in Fig. 1, ଵ has a larger
value than L0. Thus, in this special case, the downward FRP (λtsDA − λtsDA' ) ⋅ (QtsDA − QtsDA' ) ≥ 0 ∀t , s, s ' (10)
requirement at time t0 would be zero. ζ − (R DA
s +R RT
s − DCs − CC ) ≤ η s ∀s (11)
ηs ≥ 0 ∀s (12)

482 2018 IEEE Innovative Smart Grid Technologies - Asia (ISGT Asia)
where constraint (9) enforces that the supply offer quantity Constraints (21) and (22) limit the amounts of upward and
cannot exceed the maximum thermal and wind capacity. downward FRPs of unit ݃ must within its ramping capabilities
Constraint (10) ensures that the day-head supply curve is non- for one hour, while taking its start-up and shut-down ramp
decreasing. Constraint (11) and (12) implement the risk control limits into account. Constraints (23) and (24) restrict the unit
where ȗ and Ș are auxiliary variables. ramps up or ramps down in the next time interval cannot exceed
The above equations describe the strategic offering of a its upper or lower bounds of the power output. For compu-
market participant who participates both the day-ahead and the tational tractability, a binary variable ‫ݖ‬௚௧ is introduced to
real-time market while considering the risk control. In addition, linearize the product of xgt and xg(t+1). Thus, constraints (23) and
the real-time operation of the thermal units must satisfy the (24) are rewritten as
following conventional unit commitment constraints: 0 ≤ fru gts ≤ RU g ⋅ z gt + Pgmin ⋅ ( xg (t +1) − z gt )
(25)
P min ⋅ xgt ≤ pgts ≤ P max ⋅ xgt ∀g , t , s (13) ∀g , s ∀t ≤ T − 1
xgt − xg (t −1) ≤ xgτ 0 ≤ frd gts ≤ RDg ⋅ z gt + Pgmin ⋅ ( xgt − z gt )
(14) (26)
∀g , s ∀t ≥ 2 ∀τ ∈ [t , min(TU g + t − 1, T )] ∀g , s ∀t ≤ T − 1
xg (t −1) − xgt ≤ 1 − xgτ z gt ≤ xgt ∀g ∀t ≤ T − 1 (27)
(15)
∀g , s ∀t ≥ 2 ∀τ ∈ [t , min(TDg + t − 1, T )] z gt ≤ xg ( t +1) ∀g ∀t ≤ T − 1 (28)
xgt − xg(t −1) ≤ ugt ∀g , s ∀t ≥ 2 (16) z gt ≥ xgt + xg (t +1) − 1. ∀g ∀t ≤ T − 1 (29)
xg(t −1) − xgt ≤ vgt ∀g , s ∀t ≥ 2 (17) To support the system ramp capability, the ISO may impose
FRP requirements on the market participant. Thus, the FRP
p gts − p g (t −1) s ≤ RSU g ⋅ (2 − x gt − xg(t −1) ) + RU g ⋅ (1 + xg(t −1) − x gt ) requirement constraints are
∀g , s ∀t ≥ 2 (18) NG

¦ frugts ≥ FRU tREQ ∀t ≤ T − 1 (30)

p g (t −1) s − p gts ≤ RSDg ⋅ (2 − xgt − xg(t −1) ) + RDg ⋅ (1 − xg( t −1) + x gt ) g =1
NG

¦ frd gts ≥ FRDtREQ ∀t ≤ T − 1 (31)

∀g , s ∀t ≥ 2 (19) g =1

where constraint (13) enforces that the thermal unit operates
within its upper and lower bounds. Constraints (14) and (15)
are the minimum uptime and downtime constraints, respect-
tively. Constraints (16) and (17) are the start-up and shut-down
indicator constraints. Constraints (18) and (19) limit the ramp-
up rate and ramp-down rate respectively while considering the
start-up and shut-down ramp limits.
C. FRP Implementation
In this paper, the FRPs are considered in the real-time
operation. The amount of FRPs for a market participant is
cleared by an ISO through a centralized optimization problem.
Each market participant will receive FRP awards. Thus, the
following term should be added into the objective function in (2):
NT NG
RsFRP = ¦¦ (λtsFRU ⋅ fru gts + λtsFRD ⋅ frd gts ).
t =1 g =1
Inspired by [11], the FRP constraints considering the start-
up and the shut-down ramp limits are
0 ≤ fru gts ≤ RU g ⋅ xgt ⋅ x g (t +1) + RSU g ⋅ (1 − x gt ) ⋅ x g (t +1)
∀g , s ∀t ≤ T − 1
0 ≤ frd gts ≤ RDg ⋅ x gt ⋅ x g (t +1) + RSDg ⋅ (1 − xg ( t +1) ) ⋅ xgt
∀g , s ∀t ≤ T − 1
p gts + fru gts ≤ Pgmax ∀g , s ∀t ≤ T − 1
P g
min
⋅ ( xgt + xg (t +1) − 1) ≤ pgts − frd gts
∀g , s ∀t ≤ T − 1.
where constraint (30) and constraint (31) are upward and
downward FRP requirement constraints for the market parti-
cipant, respectively.
IV. CASE STUDIES
Three thermal units and a wind plant are used to test the
proposed model. Thermal unit data is provided in Table I. The
wind plant capacity is set to 25MW. For the risk control, the
values of Į and ȕ are set to 0.95 and 0.5, respectively.
The uncertainties considered in this paper include the real-
time wind power output, the day-ahead and the real-time energy
prices, and the real-time FRP prices. The wind power output is
assumed to follow a normal distribution with the forecasted
wind output from [13] and the standard deviation which is equal
to 10% of the forecasted value. A Monte Carlo simulation is
(20) used to generate the scenarios of the wind output. Since the
Monte Carlo simulation requires a large number of scenarios to
approximate the distribution, a Latin hypercube sampling tech-
nique is used to achieve both the desired accuracy and better
computational performance. The day-ahead and the real-time
(21)
energy prices, and the real-time FRP prices are MISO market
data from Nov. 1st, 2017 to Dec. 31st, 2017 [14]. Thus, the
(22) number of scenarios NS is 61, and each scenario is assigned a
probability ʌs. The model is solved by a MILP solver GUROBI
(23) 7.5 using a YALMIP toolbox in MATLAB [15].
To study the impacts of FRPs on the coordinated offering
strategy of thermal and wind energy. Following cases are
(24)
considered:

2018 IEEE Innovative Smart Grid Technologies - Asia (ISGT Asia) 483
 Case 1. Coordinated offering strategy without considering the prices are small proportions of the energy prices. The average
FRPs. This case refers to the current offering strategy that most value of the upward FRP price is 0.19 $ while the average day-
market participants adopts; ahead price and the real-time price are 27.12 $ and 26.31
$ respectively. However, the required amounts of FRPs as well
TABLE I. THERMAL UNIT DATA as the other aforementioned factors can have considerable im-
Unit 1 2 3 pacts on the day-ahead supply curve.
Pmin [MW] 100 50 10
Pmax [MW] 220 150 50
TU [h] 4 2 1
TD [h] 4 3 1
RU [MW/h] 40 80 40
RD [MW/h] 40 80 40
RSU [MW/h] 25 60 20
RSD [MW/h] 25 60 20
CU [$] 500 0 0
CD [$] 250 0 0
a [$/MW2h] 0 0 0
b [$/MWh] 10 25 40 Fig. 2. Day-ahead supply curve (Case 2)
c [$/h] 180 130 80

Case 2. Coordinated offering strategy with the FRPs but with-

out FRP system requirement constraints (30) and (31). This case

Prices [$]
refers to the ideal condition for the market participant since it
assumes that the ISO fully accepts FRP amounts proposed by
the participant;
Case 3. Coordinated offering strategy with the FRPs and with
the FRP system requirement constraints. This case refers to a
more realistic case that the cleared amounts of FRPs for the
participant are unknown in the real-time market and the ISO may
impose FRP requirements on the participant to support the real- Fig. 3. Day-ahead supply curves (Case 2) under different conditions
time ramp capability. In the simulation, the upward and the
downward FRP requirements are set to 10% of the real-time total
power output of thermal energy. In addition to the day-ahead supply curve, Case 2 has the
increased expected profit and CVaR comparing with Case 1, as
A. Impacts of FRPs on Coordinated Offering Strategy is shown in Table II while in Case 3, both the expected profit
Fig. 2 shows the day-ahead supply curve in hour 18 consi- and CVaR decrease significantly. These are because the market
dering the FRPs in the real-time market (Case 2). It is observed participant receives additional FRP payments in Case 2 but in
that the FRPs have a small impact on the day-ahead offer by Case 3, the thermal units will hold part of their capacities to meet
comparing the supply curves between Case 1 and Case 2 in the the FRP requirements thus reduces the energy payment [10].
simulation.
In order to reveal the impacts of FRPs on the offering strategy, TABLE II. EXPECTED PROFITS AND CVAR VALUES
the FRP prices are increased to 400% for all scenarios. In this Case 1 Case 2 Case 3
case, the supply quantity reduces from 405 MW to 352 MW in Expected profit [$] 107836 107915 95516
the prices ranging from 24 $ to 32 $ as shown in Fig. 3.
CVaR [$] 74208 74210 71991
The wind outputs are reduced to 60% for all scenarios and the
impacts of wind outputs on the day-ahead supply curve is also
shown in Fig. 3. Specifically, the supply quantity reduces from B. Real-Time Operations with FRPs
405 MW to 396 MW in the prices ranging from 24 $ to 32 $. A scenario is selected in Case 2 to show the real-time opera-
The impact of FRP requirements on the day-ahead supply tion with the real-time FRPs, as is shown in Fig. 4 and Fig. 5.
curve is also shown in Fig. 3. Comparing with Case 2, the supply The production of the downward FRP is not shown here since
quantity reduces from 405 MW to 368 MW in the prices ranging its real-time prices are all zero according to the data in Case 2.
from 24 $ to 32 $. In the most time periods, the energy production are high
Many other conditions such as the risk attitude and whether when the energy prices are high except in hour 16. That is
thermal and wind energy coordinate or not are studied in [7]. because unit 2 was shut down previously and cannot be restarted
Based on the above results, the FRP prices alone in the current immediately.
industry have slight influence on the day-ahead offer as the FRP

484 2018 IEEE Innovative Smart Grid Technologies - Asia (ISGT Asia)
 Considering the upward FRP value in hour 7, the FRP pro-
duction for unit 1 is zero because it is operating at its full

Energy prices [$/MWh]

capacity in this hour. The FRP production for unit 3 is also zero,

Production [MW]
but it is because the unit is shutting down in both hour 7 and
hour 8. Unit 2 can provide 80 MW upward FRP in hour 7, since
it produces 60 MW in hour 8 and its maximum energy output is
150 MW. It can only provide 80 MW because its ramp-up limit
is 80 MW/h.

Energy prices [$/MWh]

Fig. 6. Real-time energy production and energy prices (Case 1)
Production [MW]

Energy prices [$/MWh]

Production [MW]
Fig. 4. Real-time energy production and energy prices (Case 2)

Upward FRP prices [$/MWh]

Fig. 7. Real-time energy production and energy prices (Case 3)

Production [MW]

Upward FRP prices [$/MWh]

Production [MW]

Fig. 5. Upward FRP production and upward FRP prices (Case 2)

The impacts of FRP prices and FRP requirements on the

real-time operation are also studied, as they are shown in Fig. 6 Fig. 8. Upward FRP production and upward FRP prices (Case 3)
and Fig. 7. In hour 8, the energy production of unit 2 is reduced
from 140 MW in Case 1 to 70 MW in Case 2. The real-time
energy production reduces further in Case 3, e.g. in hour 9 and
hour 19, as is shown in Fig. 7. Thus, both FRP prices and FRP
Production [MW]

requirements can have considerable impacts on the real-time

operation.
Fig. 8 and Fig. 9 show the upward and the downward FRP
production in Case 3 respectively. The upward FRP and the
downward FRP production amounts both increase to meet the
FRP requirements. Note that the downward FRP meets its
requirement despite zero downward FRP prices.

Fig. 9. Downward FRP production and downward FRP prices (Case 3)

V. CONCLUSION
This paper studies the coordinated offering strategy of
thermal and wind energy considering the FRPs. A novel flexible
ramp model considering the start-up and the shut-down ramp
limits is proposed and implemented in the scheduling problem
of thermal energy. Simulation results show that the FRP prices

2018 IEEE Innovative Smart Grid Technologies - Asia (ISGT Asia) 485
have small impacts on the day-ahead supply curve as the FRP
prices much lower than the energy prices according to the data
from the industry. The FRP requirements imposed by the ISO
have considerable impacts on both the day-ahead offer and the
real-time operation. Since the FRP requirements may reduce the
profit for the market participant, a tradeoff between the system
ramp requirement and the profit for the market participant ought
to be considered when designing a policy for FRPs.
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