Logo EEM11
Session 05: Risk Management in Electricity Markets
Time: Wednesday, 25/May/2011: 2:00pm - 3:30pm
Session Chair: Wil Kling
Location: Casino


A Fuzzy – Probabilistic Hybrid Approach to Evaluate the Impact of Component Outages, Demand and Generation Cost Uncertainties in the Operation of Power Systems

João Tomé Saraiva1, Bruno André Gomes2

1FEUP & INESC Porto, Portugal; 2INESC Porto & ISPGaya

This paper reviews the concepts and the solution algorithm of the Fuzzy DC OPF problem admitting generation costs and load values modeled by fuzzy numbers and details the integration of this problem in the Monte Carlo simulation model. In this sense, the paper describes an hybrid approach in which generation cost and demand uncertainties are represented by fuzzy numbers and the life cycle of the system components is modeled by probabilistic approaches. On this topic, the paper addresses the sampling procedure, the analysis of sampled states, the convergence testing and the computation of the expected values of the system Power Not Supplied and system risk indices. Finally, the paper includes results based on the IEEE 24 bus/38 branch test system to illustrate the proposed approach.

Designing Incentive Market Mechanisms for Improving Restructured Power System Reliabilities

Yi Ding, Jacob Østergaard, Qiuwei Wu

Technical University of Denmark, Denmark

In a restructured power system, the monopoly generation utility is replaced by different electricity producers. There exists extreme price volatility caused by random failures by generation or/and transmission systems. In these cases, producers’ profits can be much higher than those in the normal state. The reliability management of producers usually cannot be directly controlled by the system operators in a restructured power system. Producers may have no motivation to improve their reliabilities, which can result in serious system unreliability issues in the new environment. Incentive market mechanisms for improving the restructured power system reliabilities have been designed in this paper. In the proposed incentive mechanisms, penalty will be implemented on a producer if the failures of its generator(s) result in the variation of electricity prices. Incentive market mechanisms can motivate producers to improve their reliabilities through maintenance action or through replacement / refurbishment of old equipments.

Reliability Evaluation of Balkan Generation Systems Considering Planning Exercise of Wind Power Integration

Tatjana Konjić1, Milenko Tomić2, Mauro Augusto da Rosa3, Vladimiro Miranda3

1Univerzity of Tuzla, Faculty of Electrical Engineering, Bosnia and Herzegovina; 2The State Electricity Regulatory Commission,Bosnia and Herzegovina; 3INESC Porto, Portugal

In order to deal with the power fluctuations that come from wind uncertainties, this paper presents a generating reliability assessment of the real generation system of Bosnia and Herzegovina (BH) including wind power as an planning exercise for a given horizon. For this purposes, the sequential Monte Carlo simulation is used not only to assess conventional reliability indices as loss of load probability, loss of load expectation, loss of load frequency, and loss of load duration, but also to discuss an alternative measure of risk-based level called Well-being Analysis.

Model of Electric Power System from the Point of View of Safety

Jerzy Rudolf Tchorzewski

University of Natural and Humanistic, Poland

The paper contains selected research results related to discovery of regularities in the development of the system and the development of the electrical power system model (SEE) from the point of view of safety. Efficiency indexes were proposed based on data for the period of 1946-2007 of the SEE in Poland, a model of the system development was developed, and changes in the efficiency indexes of the system were determined. Results concerning evaluative research of the development efficiency and analysis results of development models were also presented, including estimation of efficiency margin of the SEE system development.

Portfolio Optimization Tool with Risk Calculation

Robert Nowak

Warsaw University of Technology, Poland

The electricity exchange include the uncertainty of many aspects, e.g. energy demand. The techniques to risk management used widely in financial markets must be adopted, because of differences between electricity and other products. The uncertainty in presented approach is modelled by random variables, described by probability density function or probability distribution. Risk management involve the measurement of many instruments, such as the uncertainty of energy consumption, energy price, CO2 certificates price etc. The model included most of technical and economical aspects is created and is resolved numerically by Monte Carlo simulations. The changes in time are modelled by the stochastic processes, the calculations includes the prediction of the time values using the auto-regressive models and/or the memory based methods and figure the linear statistical dependencies (correlations). The system provides portfolio management methods, including optimisation of the portfolio, given technical and economical restrictions.

The genetic algorithm is used to find the global optimum, then the hill climbing (local optimisation) improves the result.

Electricity Grid In-Feed from Renewable Sources: A Risk for Pumped-Storage Hydro Plants?

Marcus Hildmann, Andreas Ulbig, Göran Andersson

Swiss Federal Institute of Technology, Switzerland

The ongoing large-scale deployment of new renewable energy sources (RES), mostly in the form of wind turbines and photovoltaic (PV), causes an increasing share of stochastic electricity in-feed, which inevitably has impacts on electricity spot markets in many countries. In this paper an analysis of the impacts of RES in-feeds on the spot price spread as well as its volatility is presented. The potential risk that these impacts on spot prices may pose for the business model of pumped-storage hydro plants is discussed. Furthermore, the dependency of the spot price on wind turbine and PV electricity in-feeds are studied. The test case is Germany with its, in relative and absolute terms, high share of stochastic electricity in-feed and its mature spot market.