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| 98-01 | MATPOWER: Users's Manual (Version 2.0)
MATPOWER is a package of Matlab m-files
for solving power
flow and optimal power flow
problems. It is intended as a simulation
tool for researchers and
educators which will be easy to use and
modify. MATPOWER is designed to
give the best performance
possible while keeping the code
simple to understand and modify.
See the MATPOWER
Home Page for more information.
| Ray Zimmerman and Deqiang Gan | 7/27/1998 | 46.5k | PDF |
| 98-02 | Real Time Control of Oscillations of Electric Power Systems
1996 final report for ESEERCO/NYSEG
PSerc project. Includes
material on modeling and
suppressing oscillations using
eigenvalue
and margin sensitivities.
| P. Sauer, M. Pai, S. Fernandes, I. Dobson, F. Alvarado, S. Greene, R. Thomas, H-D. Chiang | 7/27/1998 | 186.4k | PDF |
| 98-03 | Markets for Electric Power: Experimental Results for Alternative Auction Institutions
The objective of this paper is to
present experimental results for
testing the performance of
different auction mechanisms related to
the introduction of competitive
markets for the generation of
electricity. The research is
based on the concept of smart markets
introduced by Vernon Smith and a
simulation model (PowerWeb) of
a realistic bulk power system.
There are unique physical aspects
associated with the supply of
electricity (e.g. required
instantaneous matching of supply
and demand, unintended
congestion of parallel
transmission routes and maintenance of
system stability in response to
disturbances). As a result, traditional
theories of efficient markets and
auction structures developed for
other commodities may not be
efficient if applied without alteration
to markets for electricity.
Conversely, current utility rules of
operation developed for a
centrally-planned regime may not be
appropriate in a competitive
environment.
The research does not address the
issues of multiperiod operations
(unit commitment) and
multidimensional markets (ancillary
services), and considers only
real power in a single time period.
The main objective is to test
three alternative auction mechanisms
when market power is a potential
problem. This situation occurs
when limits on transmission lines
are binding to form a load pocket
in which demand is met by a few
(in this case two) generators.
| John Bernard, Robert Ethier, Timothy Mount, William Schulze, Ray D. Zimmerman, Deqiang Gan, Carlos Murillo-SÄnchez, Robert J. Thomas, Richard Schuler | 7/27/1998 | 265.5k | PDF |
| 98-04 | Voltage Collapse Margin Sensitivity Methods applied to the Power System of Southwest England
This report applies sensitivity methods
to a model of the Southwest of England
electric power system to determine their
effectiveness in operating the system
sufficiently far from voltage collapse
blackouts.
The sensitivity methods are described in
detail in PSerc publications 97-07 and
97-08.
The system data was graciously provided
by the National Grid Company.
The two main uses of the sensitivity
methods are
(1) Quickly quantify the effect of
varying power system controls or
parameters on the proximity to voltage
collapse
(2) Quickly rank the severity of
contingencies with respect to voltage
collapse
The results confirm that the sensitivity
methods perform well on the Southwest of
England model.
| Scott Greene, Ian Dobson | 7/27/1998 | 695.9k | PDF |
| 98-05 | Alternatives for Calculating Transmission Reliability Margin (TRM) in Available Transfer Capability (ATC)
There is very little theory developed
for the calculation of the Transmission
Reliability Margin (TRM) in the
Available Transfer Capability (ATC)
computation of electric power systems.
This paper proposes and evaluates
several different approaches to the
calculation of TRM. The TRM is supposed
to account for uncertainty in the
operating conditions used in computing
Total Transfer Capability (TTC). This
uncertainty may be in model parameters
(line impedances), load forecast error
(P and Q), or other ìbase caseî data.
| Peter W. Sauer | 7/27/1998 | 10.8k | PDF |
| 98-06 | The Design of Optimal Demand Management Programs
Reliable operation in a deregulated
environment and under conditions of
uncertainty requires that loads be
considered adjustable. This paper
assumes that participation in demand
management programs is entirely
voluntary, and the compensation for
participation is an integral part of
any demand management program. Another
consideration is simplicity: demand
management programs must be simple to
understand, simple to use and
reliable in their response.
This paper considers and describes a
variety of voluntary demand management
programs, including full interruption,
equipment specific partial
interruptions, limits in use of current
and/or power, and programs that
guarantee a certain ''relief
performance''. It also considers a
random mix
of provider characteristics and demand
characteristics. The paper illustrates
that optimality (or near-optimality)
requires not one but a small portfolio
of
incentive programs. It further
illustrates that regulatory incentives
may be
required to ''line up'' utility
optimality with customer optimality.
| Murat Fahrioglu and Fernando L. Alvarado | 7/27/1998 | 243.0k | PDF |
| 98-07 | Market Power: A Dynamic Definition
Market power refers to conditions where
the
providers of a service can consistently
charge prices
above those that would be established by
a competi-
tive market. There are many well known
definitions of
market power, including indices intended
to quantify
the degree of market concentration of
energy supplies.
Market power assessment within electric
power markets
require the consideration of the ever
changing network
conditions that result from congestion.
This paper explores the effect of
changes in network congestion conditions
on one of these indices, the
Herfindahl-Hirschman
Index. Results indicate that congestion
can lead to
drastically different values of this
index at various locations. Furthermore,
when ownership of facilities is
dispersed, this can greatly complicate
the assessment of
market concentration. The paper also
explores several
topics on strategic behavior
possibilities.
| Fernando L. Alvarado | 7/27/1998 | 225.7k | PDF |
| 98-08 | Alternative Auction Institutions for Purchasing Electric Power: An Experimental Examination
This paper reports on research being
conducted by a combination of economists
and electrical engineers at Cornell
University who are examining potential
auc-tion institutions for restructured
markets for electric power. As it is a
report on developing results and
analysis, the discussion remains general
throughout. The research follows two
related but independent strands. The
first looks at the performance of
various alternative auction mechanisms
under different market sizes. The
setting is a single sided auction with
multi-ple units being offered and a
vertical, multiple unit demand. This was
conducted in the absence of a net-work,
the equivalent of a system where
transmission of electric power is
lossless and costless. The second
research strand investigates a realistic
net-work environment using a single
auction institution. This smart market
experimental platform has the added
benefit of being web based. One group
size has been studied, with the group
containing a subset operating in a load
pocket enabling simultaneous analysis of
differ-ent market situations. Analysis
of the market effects of load pockets is
of major importance, especially in the
U.S. northeast. Three pilots have been
conducted in this framework, and the
most interesting aspects of our findings
are recorded here. | John Bernard, Ray Zimmerman, William Schulze, Robert Thomas, Timothy Mount, Richard Schuler | 4/27/2001 | 362.5k | PDF |
| 98-09 | A Transient Stability Constrained Optimal Power Flow
Stability is an important constraint in
power system operation. Often trial and
error heuristics are used that can be
costly and imprecise. A new methodology
that eliminates the need for repeated
simulation to determine a transiently
secure operating point is presented. The
methodology involves a stability
constrained Optimal Power Flow (OPF).
The theoretical development is
straightforward: swing equations are
converted to numerically equivalent
algebraic equations and then integrated
into a standard OPF formulation. In this
way standard nonlinear programming
techniques can be applied to the
problem.
| Deqiang Gan, Robert J. Thomas, Ray D. Zimmerman | 7/27/1998 | 54.3k | PDF |
| 98-10 | Is modal resonance a precursor to power systems oscillations?
The power system linearization and its
modes vary as power transfers,
redispatch or other power system
parameters change. We suggest a new
mechanism for interarea power system
oscillations in which two oscillatory
modes interact near a nondiagonalizable
resonance to cause one of the modes to
subsequently become unstable. The two
modes are near resonance when they have
nearly the same damping and frequency.
The possibility of this mechanism for
oscillations is shown by theory and
computational examples. Theory suggests
that passing near nondiagonalizable
resonance could be expected in general
power system models. The mechanism for
oscillations is illustrated in 3 and 9
bus examples with detailed generator
models.
| Ian Dobson, Jianfeng Zhang, Scott Greene, Henrik Engdahl, Peter Sauer | 8/19/1998 | 711.7k | PDF |
| 98-11 | Margin and Sensitivity Methods for Security Analysis of Electric Power Systems
PhD thesis, University of Wisconsin.
Reliable operation of large scale
electric power networks requires that
system voltages and currents stay within
design limits. Operation beyond those
limits can lead to equipment failures
and blackouts. Security margins measure
the amount by which system loads or
power transfers can change before a
security violation, such as an
overloaded transmission line, is
encountered.
This thesis shows how to efficiently
compute security margins defined by
limiting events and instabilities,
and the sensitivity of those margins
with respect to assumptions, system
parameters, operating policy, and
transactions. Security margins to
voltage collapse blackouts, oscillatory
instability, generator limits,
voltage constraints and line overloads
are considered. The usefulness of
computing the sensitivities of these
margins with respect to interarea
transfers, loading parameters, generator
dispatch, transmission line parameters,
and VAR support is established for
networks as large as 1500 buses.
The sensitivity formulas presented apply
to a range of power system models.
Conventional sensitivity formulas such
as line distribution factors, outage
distribution factors, participation
factors and penalty factors are shown to
be special cases of the general
sensitivity formulas derived in this
thesis. The sensitivity formulas
readily accommodate sparse matrix
techniques.
Margin sensitivity methods are shown to
work effectively for avoiding voltage
collapse blackouts caused by either
saddle node bifurcation of equilibria
or immediate instability due to
generator reactive power limits.
Extremely fast contingency analysis
for voltage collapse can be implemented
with margin sensitivity based rankings.
Interarea transfer can be limited by
voltage limits, line limits, or voltage
stability. The sensitivity formulas
presented in this thesis apply to
security margins defined by any limit
criteria. A method to compute transfer
margins by directly locating
intermediate events reduces the total
number of loadflow iterations required
by each margin computation and provides
sensitivity information at minimal
additional cost. Estimates of the effect
of simultaneous transfers on the
transfer margins agree well with the
exact computations for a network model
derived from a portion of the U.S grid.
The accuracy of the estimates over a
useful range of conditions and the ease
of obtaining the estimates suggest that
the sensitivity computations will be of
practical value.
| Scott Greene | 9/3/1998 | 1.5M | PDF |
| 98-12 | The Efficiency of Multi-Unit Electricity Auctions
This is an extensive revision of a
previously posted paper with the same
title (97-15). Using a complete
information, game-theoretic model, we
analyze the performance of different
electricity auction structures in
attaining efficiency (i.e., least cost
dispatch). We find that an
auction structure where generators are
allowed to bid for load
"slices" outperforms an auction
structure where generators submit bids
for different hours in the day.
| Wedad J. Elmaghrabi and Shmuel S. Oren | 10/4/1998 | 289.2k | PDF |
| 98-13 | Exotic Electricity Options and the Valuation of Electricity Generation and Transmission Assets
This paper presents and applies a
methodology for valuing electricity
deriva- tives by constructing
replicating portfolios from electricity
futures and the risk free asset. Futures
based replication is argued to be made
necessary by the non-storable nature of
electricity, which rules out the
traditional spot mar- ket, storage-based
method of valuing commodity derivatives.
Using the futures based approach,
valuation formulae are derived for both
spark and locational spread options for
both geometric Brownian motion and mean
reverting price processes. These
valuation results are in turn used to
construct real options based valuation
formulae for generation and transmission
assets. Finally, the valuation formula
derived for generation assets is used to
value a sample of assets that have been
recently sold, and the theoretical
values calculated are compared to the
observed sales prices of the assets.
| Shijie Deng, Blake Johnson, Aram Sogomonian | 9/29/1998 | 199.1k | PDF |
| 98-14 | Multi-unit Auctions With Complementarities: Issues of Efficiency in Electricity Auctions
As auction based mechanisms for dispatch
are emerging in previously regulated
electricity supply industries, it is
important to understand the effects of
auction rules and structure on
efficiency. This paper addresses exactly
this relationship in a complete
information framework by asking which
auction structures are sufficient to
guarantee that electricity demand is
satisfied in a least-cost manner.
| Wedad J. Elmaghraby | 9/29/1998 | 621.7k | PDF |
| 98-15 | Capturing Non-Convexities in Multi-Unit Electricity Auctions
As Electricity Auctions are being
created around the world in newly
deregulated electricity supply
industries, several questions regarding
the design of these auctions are being
raised. This paper analyzes the ability
of various electricity auction
mechanisms to satisfy demand while
attaining productive efficiency, i.e.,
minimizing total generation costs. Four
possible auction mechanisms are
considered and their performance is
evaluated under three demand scenarios.
Only a horizontal sequential auction is
found to support an efficient
equilibrium bidding strategy in all
three demand scenarios.
| Wedad J. Elmaghraby | 9/29/1998 | 656.6k | PDF |
| 98-16 | Priority Network Access Pricing for Electric Power
We propose a priority-pricing scheme for
zonal access to the electric power grid
that is uniform across all buses in each
zone. The Independent System Operator
(ISO) charges bulk power traders a per
unit ex-ante transmission access fee
based on the expected option value of
the generated power with respect to the
random zonal spot prices. The zonal
access fee depends on the injection zone
and a self-selected strike price
determining the scheduling priority of
the transaction. Inter zonal
transactions are charged (or credited)
with an additional ex-post congestion
fee that equals the zonal spot price
difference. The unit access fee entitles
a bulk power trader to either physical
injection of one unit of energy or a
compensation payment that equals to the
difference between the realized zonal
spot price and the selected strike
price. The ISO manages congestion so as
to minimize net compensation payments
and thus, curtailment probabilities
corresponding to a particular strike
price may vary by bus. We calculate the
rational expectation equilibia for a
three and four node system and
demonstrate that the effciency losses of
the proposed second best scheme relative
to the effcient dispatch solutions are
modest.
| Shijie Deng and Shmuel Oren | 9/29/1998 | 227.4k | PDF |
| 98-17 | Combining Financial Double Call Options with Real Options for Early Curtailment of Electricity Service
In a competitive electricity market,
customers can ensure a fixed electricity
price and benefit from their flexibility
to curtail loads by purchasing forward
electricity contracts bundled with
financial options that reflect their
"real options". This paper describes a
"double call" option and derives the
value of that option under the
assumption that forward electricity
prices behave as a geometric Brownian
motion. It is shown that a forward
contract bundled with an appropriate
double call option provides a perfect
hedge for customers that can curtail
loads in response to high spot prices
and that are able to mitigate
curtailment losses with sufficient lead
time. | Shmuel S. Oren | 5/21/2002 | 127.3k | PDF |
| 98-18 | Price-Based Adaptive Spinning Reserve Requirements in Power System Scheduling
In a deregulated electricity market such
as the California WEPEX, spinning re-
serves must be explicitly identi_ed as
an ancillary service and priced.
Additionally, scheduling coordinators
who match suppliers and demands may
either self-provide spinning reserves,
or rely on the Independent System
Operator (ISO) to provide reserves at
the spot price. The deregulated market
structure makes explicit the im- plicit
softness that has always been recognized
in the reserve constraints: additional
reserves may have value even when a
minimum reserve requirement has been
met. In this paper we formulate the
spinning reserve requirement (SRR) as a
function of the endogenously determined
marginal values of reserves. The
spinning reserve re- quirement depends,
according to a nonincreasing response
function, on a price/value signal. We
present three power system scheduling
algorithms in which this price/value
signal is updated at each iteration of a
dual optimization. Game theory is used
to interpret the proposed algorithms.
Numerical test results are also
presented.ide reserves at the spot
price. The deregulated market structure
makes explicit the im- plicit softness
that has always been recognized in the
reserve constraints: additional reserves
may have value even when a minimum
reserve requirement has been met. In
this paper we formulate the spinning
reserve requirement (SRR) as a function
of the endogenously determined marginal
values of reserves. The spinning reserve
re- quirement depends, according to a
nonincreasing response function, on a
price/value signal. We present three
power system scheduling algorithms in
which this price/value signal is updated
at each iteration of a dual
optimization. Game theory is used to
interpret the proposed algorithms.
Numerical test results are also
presented.
| Chung-Li Tseng; Shmuel S. Oren , Alva J. Svoboda ; Raymond B. Johnson | 9/29/1998 | 216.6k | PDF |
| 98-19 | Energy Auctions and Market Power: An Experimental Examination
Testing auction mechanisms experimentally
in a controlled environment provides an
inexpensive means for evaluating their
relative merits. The first part of this
paper focuses on the comparison three
different auctions with regard to market
efficiency and pricing, given scenarios
with two, four, and six competitors.
Though the uniform price last accepted
offer auction was superior overall, the
number of competitors proved to be a more
significant factor in determining auction
performance. Significant exploitation of
market power was observed in the duopoly
case. The second part of the paper
focuses on a transmission network with
six sellers in which network constraints
give rise to market power opportunities.
Experimental evidence based on tests with
student and expert subjects show
exploitation of this strategic advantage.
Several other scenarios are described in
which the transmission network creates
market power.
| Ray D. Zimmerman, John C. Bernard, Robert J. Thomas and William Schulze | 10/2/1998 | 190.6k | PDF |
| 98-20 | Short-Term Generation Asset Valuation
In this paper we present a method for
valuing a power plant over a short-term
period using Monte Carlo simulation. The
power plant valuation problem is
formulated as a multi-stage stochastic
problem. We assume there are hourly
markets for both electricity and the
fuel used by the generator, and their
prices follow some Ito processes. At
each hour, the power plant operator must
decide to run or not to run the unit so
as to maximize expected profit. A
certain lead time for commitment
decision is necessary to start up a
unit. The commitment decision, once
made, is subject to physical constraints
such as minimum uptime and downtime
constraints. The generator's startup
cost is also taken into account in our
model. In this paper, the Monte Carlo
method is employed not only in
forward-moving simulation, but also
backward-moving recursion of dynamic
programming. We demonstrate through
numerical tests how the physical
constraints affect a power plant value.
| Chung Li Tseng and Graydon Bartz | 10/5/1998 | 341.0k | PDF |
| 98-21 | Analytic and Experimentally-Derived Estimates of Market Power in Deregulated Electricity Systems: Policy Implications for the Management and Institutional Evolution of the Industry
Previous experimental and game-theoretic
analyses of deregulated electricity
markets suggest that communities having
four or less effective suppliers, either
because of transmission constraints or
load characteristics, or retail customers
facing suppliers or marketing agents
having more than seventy percent of the
region’s market, are likely to experience
prices well above competitive levels.
While state regulatory bodies may be able
to forestall the onset of retail wheeling
and non-regulated retail energy pricing
until a single supplier does not dominate
initial market shares, it is more
difficult to mute the exercise of market
power by generators serving electrically
isolated load pockets. And in both
instances, if the accrual of some excess
profits by initial, non-regulated
suppliers are not tolerated, then little
incentive will have been provided for
competitors to enter the market and for
more efficient technologies to evolve.
Estimates are provided in this analysis
of the circumstances for and the extent
and duration of the exercise of market
power. When combined with the present
absence of incentives to build
transmission lines that would reduce
bottlenecks and the existing utilities’
insistence upon full recovery of stranded
costs through line charges and access
fees, the powerful incentives to develop
distributed generation are highlighted.
| Richard E. Schuler | 10/13/1998 | 206.6k | PDF |
| 98-22 | Market Power and Price Volatility in Restructured Markets for Electricity
The restructured market for electricity
in the UK has experienced a systematic
pattern of price spikes associated with
the use of market power by the two
dominant generators. Partly in response
to this problem, the share of capacity
owned by any individual generator after
restructuring was limited in Victoria,
Australia. As a result, a much more
competitive market resulted with prices
substantially lower than they were under
regulation. Nevertheless, an erratic
pattern of price spikes exists and the
price volatility is a potential problem
for customers. This paper argues that the
use of a uniform price auction for
electricity markets exacerbates price
volatility. A discriminatory price
auction is proposed as a better
alternative that would reduce the
responsiveness of price to errors in
forecasting total load.
| Tim Mount | 11/12/1998 | 120.7k | PDF |
| 98-23 | Control of Distributed Resources
Distributed resources (DR) include a
variety of energy sources, such as
turbines,
photovoltaics, fuel cells, and storage
devices, with capacities in the 1 kW to
10MW
range. Deployment of DR on distribution
networks could potentially increase their
reliability and lower the cost of power
delivery by placing energy sources nearer
to the
demand centers. By providing a way to by-
pass conventional power delivery systems,
DR could also offer additional supply
flexibility.
| Robert H. Lasseter | 11/3/1998 | 54.2k | PDF |
| 98-24 | Identifying Swing Mode Bifurcations & Associated Limits on Available Transfer Capability
Analytic techniques for predicting onset
of voltage collapse in power systems
often rely upon identification of a
saddle node bifurcation. While many
authors acknowledge that the separation
between voltage phenomena and phase
angle phenomena is far from absolute,
most recent works have viewed voltage
variation as the more significant
problem. The goal of the work presented
here is to shift focus back to loss of
stability mechanisms associated with
phase angle behavior and
electromechanical swing modes. We will
exploit structural features in the
network to identify a typical form for
the eigenvector associated with a
bifurcating "swing mode" that reduces in
frequency and ultimately loses
stability. In a simple case study, we
demonstrate that the participation of
angles in such a mode is greater than
that of voltages.
| C.L. DeMarco | 11/15/1998 | 57.3k | PDF |
| 98-25 | Analysis and Visualization of Market Power in Electric Power Systems
This paper discusses the assessment and
visualization of market power in bulk
electricity markets, with the explicit
consideration of transmission system
constraints. In gen-eral, market power
is the ability of a particular seller
or group of sellers to maintain prices
profitably above com-petitive levels
for a significant period of time. When
an entity has and exercises market
power, it ceases to be a price taker
and becomes a price maker. The
restructuring of the electric industry
in many parts of the world has en-
couraged competitive markets with the
objective of reap-ing the benefits of
lower prices and innovation that com-
petition can provide. Such benefits
are not attainable when a player
utilizing the electric transmission
system may exert market power. This
paper describers the proce-dures for
analyzing and visualizing such
situations.
| Thomas Overbye, Jamie Weber, Kollin Patten | 10/2/1998 | 637.3k | PDF |
| 98-26 | Visualization of Flows and Transfer Capability in Electric Networks
Effective power system operation
requires power system engineers and
operators to analyze vast amounts of
information. In systems containing
thousands of buses, a key challenge is
to present this data in a form such
that the user can assess the state of
the system in an intuitive and quick
manner. This is particularly true when
trying to analyze relationships between
actual network power flows, the
scheduled power flows, and the capacity
of the transmission system. This paper
presents several power system
visualization techniques to help in
this task. These techniques include
animation of power system flow values,
contouring of transmission line flow
values, data aggregation techniques and
virtual reality data visualization.
Results are shown for several large
scale power systems.
| Thomas J. Overbye, James D. Weber, Mark Laufenberg | 10/2/1998 | 416.5k | PDF |
| 98-27 | Managing Transmission Risk: The Theory of Spatial Hedging and Arbitrage
This report shows how one may manage or
eliminate transmission risk using
relatively few liquid futures markets.
The idea can be used to detect arbitrage
opportunities and for partial hedging.
Rigorous formulas are derived, numerical
examples are shown and "rules of thumb"
for risk management are presented. NOTE:
Report presently available to PSERC
members only.
| Rajesh Rajaraman and Fernando L. Alvarado | 12/2/1998 | 34.6k | PDF |
| 98-28 | Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and Spikes
In this paper, we present several
mean-reversion jump diffusion models to
describe energy commodity spot prices.
We incorporate multiple jumps,
regime-switching and stochastic
volatility in these models. Prices of
various energy commodity derivatives are
obtained under each model. We show how
the electricity derivatives can be used
to evaluate generation and transmission
capacity. We also show for our price
models, how to determine the value of
investment opportunities and the
threshold value above which a firm
should invest.
| Shijie Deng | 12/6/1998 | 380.2k | PDF |
| 98-30 | Designing Cost Effective Demand Management Contracts using Game Theory
Demand relief from customers can help a
utility solve a variety of
problems. There exist all sorts of
different demand management
programs that utilities use. A critical
issue is the incentive
paid to the customer to participate in
demand management programs
and provide load relief. The utility has
to design cost effective
yet attractive demand management
contracts. The main goal is to
get load relief when needed. If the
contracts are designed to be
cost effective they can help the utility
reduce costs. Customers
sign up for programs when the benefits
they derive in the form of
up front payments and interruption
payments exceeds their cost of
interruption. In order to design such
contracts, mechanism design
with revelation principle is adopted
from Game Theory and applied
to the interaction between a utility and
its customers. The idea
behind mechanism design is to design a
program incentive structure
that encourages customers to reveal the
value of power (and thus,
the value of power interruptibility)
without the need to
explicitly have customers declare the
value. This economic
analysis is combined with power system
sensitivity analysis to
help determine the value of
interruptibility for each system
location.
| Murat Fahrioglu and Fernando L. Alvarado | 12/14/1998 | 148.1k | PDF |
| 98-31 | Estimating the Volatility of Spot Prices in Restructured Electricity Markets and the Implications for Option Values
Standard stochastic price paths do not
adequately describe the behavior of
electricity spot prices. A Markov regime
switching model with a mean reverting
stochastic process is proposed as an
improved model. Data from four
electricity markets are used to estimate
the model by the method of maximum
likelihood. Econometric tests confirm
that stochastic jumps, captured by regime
switches, are an important characteristic
of the data. The Markov nature of the
jumps is also statistically significant
and suggests that jumps are sustained,
not isolated spikes. This has
consequences for unit self-commitment
decisions. Option values are shown to be
strongly affected by model specification,
with two-state models producing higher
option values, especially at high strike
prices, when compared with a simple one-
state mean reverting model. These results
have important implications for asset
valuation, and standard models such as
the one-state model systematically
undervalue electricity assets by failing
to capture Markov regime switching.
| Robert Ethier and Timothy Mount | 12/18/1998 | 170.2k | PDF |
| 98-33 | The Dynamics of Customers Switching Suppliers in Deregulated Power Markets
Presented at Bulk Power Systems Dynamics
and Control IV - Restructuring, August
24-28, 1998, Santorini, Greece.
| Richard E. Schuler | 2/26/1999 | 117.1k | PDF |
| 98-34 | The Stability of Power Market Systems
Market equilibrium conditions can be
derived from more general dynamic
equations describing the market-place.
Dynamic equations provide insights into
the behavior and stability of markets
which are not available from static
models. For example, markets with a
single supplier with declining linear
costs (economies of scale) may or may
not be stable, depending on specific
cost characteristics. Markets with more
than one supplier with declining linear
costs are always unstable. This paper
illustrates a situation where the
removal of congestion makes a market
unstable. | Fernando Alvarado | 12/18/2000 | 134.1k | PDF |
| 98-35 | The Dynamics of Market Power with Deregulated Electricity Generation Supplies
Deregulated wholesale markets for bulk electricity supplies are likely to deviate from the perfectly competitive ideal in many areas where transmission losses, costs and capacity constraints isolate customers from the effective reach of many generators and limit the number of competitors. In those regions where a few suppliers or marketing agents dominate the market, prices may rise well above the competitive ideal of marginal cost. Furthermore, if all customers do not shift instantaneously to the lowest-priced supplier, perhaps because of inadequate information about the reliability of alternative generators and/or additional investments required to switch suppliers, then depending upon the duration of those lags, the optimal pricing policy of the existing dominant generators may be to ignore the competition for an appreciable period of time.
Proceedings of the 31st Hawaii International Conference on System Sciences, Jan. 6-9, 1998. Uploaded: June 27, 2006. | R. Schuler | 6/27/2006 | 91.9k | PDF |
| 98-36 | Thermal Unit Commitment Including Optimal AC Power Flow
We propose a new algorithm for unit commitment that employs a Lagrange relaxation technique with a new augmentation of the Lagrangian. The new augmentation involves a duplication of variables that allows relaxation of the coupling between generator time-spanning constraints and system-wide instantaneous constraints. This framework allows the possibility of committing units that are required for the VArs that they can produce, as well as for their real power. Furthermore, although the algorithm is very CPU- intensive, the separation structure of the Lagrangian allows its implementation in parallel computers. Our work builds upon that of Batut & Renaud, as well as that of Baldick.
Proceedings of the 31st Hawaii International Conference on System Sciences, Vol. 3, pp. 81-88, Jan. 6-9, 1998. Uploaded: June 27, 2006. | C. Murillo-Sanchez, R. Thomas | 6/27/2006 | 282.6k | PDF |
