ICSET 2008

Optimal Bidding Strategy for Multi-unit Pumped Storage Plant in Pool-Based Electricity Market Using Evolutionary Tristate PSO
P. Kanakasabapathy and K. Shanti Swarup

AbstractThis paper develops optimal bidding strategy for operating multi-unit pumped storage power plant in day-ahead electricity market. Based on forecasted hourly market clearing price, a multistage looping algorithm to maximize the prot of multi-unit pumped storage plant is developed considering both spinning and non-spinning reserve bids and meeting the technical operating constraints. The proposed model is adaptive for the nonlinear three-dimensional relationship between the power produced, the energy stored, and the head of the associated reservoir. Evolutionary Tristate Particle Swarm Optimization (ETPSO) based approach is also proposed to solve the same problem, combining basic Particle Swarm Optimization (PSO) with tri-state coding technique and mutation operation. The discrete characteristic of a pumped storage plant is modeled using tri-state coding technique and genetics based mutation operation is used for faster convergence in getting global optimum. The proposed approaches are applied with an actual utility consisting of four units. Experimental results for different operating cycles of the storage plant indicate the attractive properties of the ETPSO approach in a practical application, namely, a highly optimal solution and robust convergence behaviour. Index TermsEvolutionary Tristate Particle Swarm Optimization, ETPSO, Pumped Storage, Bidding Strategies, Optimal Scheduling, Electricity Market.

Thus, in deregulated market, there are strong incentives for pumped-storage units to optimize their schedules. Initially, the marginal cost method has been used for scheduling pumped storage plant that is operated in combination with other plants in the vertically integrated traditional systems [1]. The problem was also addressed with different techniques like dynamic programming [3] and genetic algorithm [4]. An evolutionary computation technique, known particle swarm optimization (PSO) [5], has recently become a candidate for many optimization applications due to its high performance and exibility. Hybrid and binary PSO [6] were successfully applied to solve discrete problems. The proposed evolutionary tristate particle swarm optimization (ETPSO) approach combines classical PSO technique with tristate coding and a mutation operation. Optimal bidding strategies for a pumped-storage plant in a competitive electricity market, in which the Market Clearing Price (MCP) is insensitive to the bid price of a single generator has been developed in [7]. There are several characteristics of the pumped storage plant like generating limits that are strong function of head, discrete pumping loads and generating schedules, which strongly affect the strategy that can be used for bidding in the pool based day-ahead electricity market. Meeting these technical operating constraints, based on forecasted hourly MCP curves, this paper will focus on developing optimal bidding strategies using multi-looping algorithm and ETPSO approach to maximize the prot of multi-unit pumpedstorage operators to bid in the day-ahead market, considering into account both spinning and non-spinning reserve bids. II. O PTIMAL O PERATION OF P UMPED S TORAGE P LANT Pumped storage stations usually have two reservoirs; the upper reservoir having little inow, the lower reservoir is used to store the water after generation and will be pumped back to upper reservoir whenever cheap and surplus power is available. Reversible turbine-pump system along with synchronous machine is used for generating and pumping modes. In the pump mode, because of inherent losses, the power required for pumping water is more than the power that is generated by the same volume of water. That is, for the plant cycle efciency of p (0 < p < 1), it is economical to bid for selling p M W h of energy at a time period of tg with pumped storage generation, if there exists a time duration tp to bid for buying 1 M W h, such that the ratio of the MCPs during pumping and generating is less than p .

I. I NTRODUCTION N the new environment of competitive electricity market, power producers face challenging problems with the ultimate goal of maximizing their prots. Pumped storage hydro electric plant, the oldest kind of large-scale energy storage technology since 1904, are in active operation and new ones are still being built because of their operational exibility and ability to provide rapid response to changes in system loading or spot price of electricity. In integrated systems, the pumped-storage plants are used to serve the peak load. In a competitive electricity market, pumped-storage unit owner can buy and sell electricity through trading. The income of a pumped-storage unit includes the revenue received by selling energy when it is in the generating mode and by being accepted in the non-synchronous reserve market when not in the generating or pumping mode. The pumped-storage unit can also be committed for synchronous reserve when it is in the pumping mode because it can readily reduce its pumping power and, consequently, reduce the system load.

Manuscript received on July 12, 2008. P. Kanakasabapathy and K. Shanti Swarup are with the Department of Electrical Engineering, Indian Institute of Technology Madras, Chennai 600036, India. e-mail: sabapathy@smail.iitm.ac.in, swarup@ee.iitm.ac.in.

95 978-1-4244-1888-6/08/$25.00 c 2008 IEEE

Fig. 2. Approximation of Equivalent Energy Curve; Piecewise linear approximation of relationship between stored energy and height of water

Fig. 1.

Market Clearing Price curve: (a) Daily MCP; (b) Composite MCP.

A. Optimal Operating Time Considering a period of T hours operating cycle, the energy stored ET in M W h over the period T is ET = E0 + Ein + Ep Eg (1)

B. Optimal Market Clearing Price Consider a real time daily MCP curve for a typical restructured power system [11] shown in Fig. 1(a). Let Bg be the MCP in $/MWh above which the plant operates in generating mode and sell energy to the market, Bp be the MCP in $/MWh below which the plant buys energy from market and operate in pumping mode. A composite MCP curve shown in Fig. 1(b) can be obtained by sorting MCP in ascending order. When the MCP is greater than Bg , the pumped-storage unit supplies power to the grid. When the MCP is less than Bp , the unit pumps water for storage. For the plant efciency of p , to be economically protable, the condition to be satised is Bg Bp /p Bg 1.5 Bp (6) Since typical value of plant cycle efciency p is about 67%. III. M ODEL FOR P UMPED S TORAGE P OWER P LANT A. Approximation of Equivalent Energy Curve The relationship that exists at any time t between the energy stored Es and the height of water in the reservoir h in a pumped storage power plant is given by Est = f1 (vt ) = f2 (hres t ); tT (7) Where Est = Energy stored in the reservoir at time t, vt = = Water Volume of water contained in the reservoir and hres t head at the instant of time. Equation (7) is a nonlinear relation. Piecewise linear model provide appropriate approximation [2]. A piecewise linear model shown in Fig. 2 can be implemented through the following set of linear equations. Est =
iS

Here E0 is the initial stored energy in the upper reservoir and Ein is the inow energy during the period T . If the unit generates Pg (i) M W for i = 1, 2, ... tg hours and pumps at Pp (i) M W for i = 1, 2, ... tp hours, the pumped and generated energies are dened respectively by
tp tg

Ep = p
i=1

Pp (i)

Eg =
i=1

Pg (i)

(2)

Considering pumping power remain same for the entire period tp , the operating times tp and tg are related by
tg

Pg (i) = Pp tp p ET + E0 + Ein
i=1

(3)

The optimal operation during the operating cycle require E0 = ET . If the unit generates at an average Pg M W for tg hours, the above equation (3) reduces to tg = Pp tp p + Ein Pg (4)

i ht,i ht,i
iS

tT tT

(8) (9)

Assuming zero changeover time, using equation (4), maximum pumping time within the operating cycle T = tp + tg can be estimated as tpmax = T 1+
Ein Pg P p Pp g

= hres t

T 1 + p Pp g
P

(5)

when there is no inow to the upper reservoir. Therefore tpmax can be used as the stopping criterion for optimization in order to meet the energy balance requirement E0 = ET .

Where S = no of steps used for piecewise linear approximation, i = slope of the ith step of linearized function and ht,i = variable dened for every step that expresses the part of the step that is needed to obtain total height of hres t . Equation (8) provides the piecewise linear approximation for the energy stored and equation (9) the piecewise linear approximation for height. Note that, for the model presented in equation (8), only positive values of parameter i are realistic.

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 M ax

tg

tp

Pg (i)Bg (i) +
i=1 j =1

Prs (j )Brs (j ) (10) Co (n) Cm

(T tp tg )

+
k=1 tp

Pg (k )Brn (k )
(tg +tp )

m=1

Pp (m)Bp (m)
n=1

To optimize the prot of the unit, the optimal period of pumping tpopt and generating tgopt during a cycle can be found by increasing the pumping time of the pumped-storage unit from zero to tpmax and checking for the maximum prot subject to the constraint of energy stored in the upper reservoir E (t), has an upper and lower limits given by Emin E (t) Emax
Fig. 3. Estimation of generation bids. (a) Unit Limit Curves; (b) Equivalent Energy Curve

tT tT

(11)

and the generation for the plant must be in the intervals: P LL(t) Pg (t) P HL(t) B. Optimal Operating Condition Being a discrete function with a step of 1h, the condition for maximum prot is obtained by making P = Pg Bg tg Pg Brn tg Co tg + Prs Brs tp t =0 Pg Brn tp Pp Bp tp Co tp From equation (4), tg = Pp tp p Pg (13) (14) (12)

B. Optimal Selection of Generation Bid At the beginning of each hour, let EA M W h be the energy stored in upper reservoir and hA meters be the corresponding head. From the equivalent energy curve and power limit curves shown in Fig. 3, PgA M W is the high power limit corresponding to the head hA . If the plant generates at PgA M W , at the end of the hour the energy stored is EB = EA PgA M W h. PgA can not be considered as power bid, because immediately after starting generation the high limit constraint would be violated. From Fig. 3, PgB M W is the high limit corresponding to the head hB and stored energy EB . If the plant generates at PgB M W for an hour, at the end of this duration the energy stored is EC = EA PgB M W h. PgC M W is the high limit corresponding to the head hC and stored energy EC . In the equivalent energy curve EC lies below EA and above EB . The optimal power bid for generation lies in between the extreme values PgC and PgB , obtained using simple iterative algorithm with stopping condition EC EB , where is the minimum difference between blocks for power bids. IV. B IDDING S TRATEGY FOR E NERGY AND A NCILLARY S ERVICES A. Mathematical Model of Plant Operation Revenue of pumped storage plant include incomes from day ahead market by selling energy during generating mode, synchronous reserve market by reducing power consumed for pumping from Pp to (Pp Prs ) at a price of Brs $/MWh by simply stopping the pumping for a period up to a maximum of tp hours, where 0 Prs Pp and non-synchronous reserve market at a price of Brn $/MWh for the preiod of (T tp tg ) when the MCP is between the two price thresholds, Bg and Bp and the unit is in off line. The expenditure include payments for power needed to pump water into the upper reservoir, operating and maintenance costs. The problem is

If Pp is completely reduced to bid in syn-reserve market, i.e. if Prs = Pp , solving equation (13) using the equation (14) Bg = 1 Pg Bp + Brn p + p Pp Brs + Co 1 p + Pp Pg (15)

From equation (15), it is evident that synchronous and nonsynchronous reserve market bids have signicant impact on deciding the margin between optimal bids for energy in generating and pumping mode. In order to solve the constrained optimization problem given in equation (10), multistage looping algorithm is developed. For discrete price data points the proposed sequential algorithm is efcient. Instead, line search technique can also be applied to obtain faster solution. V. E VOLUTIONARY T RISTATE PARTICLE S WARM O PTIMIZATION M ETHODOLOGY Classical particle swarm optimization concept [8] consists of, at each time step, changing the velocity vk of each particle p towards its potential solution pbest and global optimum gbest using specic update rules. In this approach, classical updation rule is modied and specic algorithm given in section V-B is designed for formation of particle substrings in the initial phase and updation of particle substrings during the iterations of ETPSO methodology.

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Fig. 5. Mutation operation. (a) Substring of pbest string, (b) Substring of new particle

SCORE (p) = 1 + kp
Fig. 4. Tri-state coded particle string for a pumped storage power plant. (a) Particle string for T hours operation (b) Details of a substring (N units)

prof it(p) 1 prof it(gbest)

(16)

A. Tri-state Coding of Particle String Control variables that optimize the objective function are plants operating mode and the power output/input. Since pumping loads and generating schedules are discrete and they are handled on hourly basics, instead of plants water discharge rate, the plants generation output/power input is used as another control variable. Water dynamics and storage reservoir constraints are handled in terms of energy in MWh. Fig. 4(a) presents a particle string for T hour operation of a plant [9]. Fig. 4(b) shows control variable details of a substring for a plant with N units. B. Algorithm for Formation of Particle Strings 1) For each strings S = 1 to P op, Initialize the tri-state bit of all T substrings in the particle string by randomly selecting 1, 1 or 0 with appropriate probability. 2) Read the Initial stored energy Eo . 3) For substring t = 1 to T , for each block in the substring u = 1 to N , select the control variables. 4) If the tri-state bit is 1, store the possible Pg corresponding to Es . Adjust the Es accordingly. 5) If the tri-state bit is -1, then store Pp if the reservoir limits are not violated. Increase Es accordingly. 6) If the tri-state bit is 0, store the optimal Pg values. Do not adjust Es since this block is used only for bidding in non-synchronous reserve market. C. Mutation Operation Conventional PSO approach converges rapidly during the initial search period, and then slows down during the later stage. Mutation operation is capable of overcoming this shortcoming [10]. Mutation is an occasional operation with a small probability, make random alternation of tri-state bit of the pbest string, as shown in Fig. 5. D. Scoring Function The scoring function adopted is based on the corresponding plant prot which is normalized into a range of 0 1.

where SCORE (p) is the score (tness value) of the pth particle string, prof it(p) is the corresponding prot of the pth particle, prof it(gbest) is the prot of the highest ranking particle string, i.e. gbest, and kp is a scaling constant. E. ETPSO Solution Methodology The following algorithm is used for evolving the optimal bidding strategy and corresponding scheduling for multi-unit pumped storage power plant using ETPSO approach. 1) Read the data and plant constraints. 2) Initialize swarm using algorithm given in section V-B. 3) Evaluate the particles. (a) Estimate the prot of each particle. (b) Score each particle using equation (16). (c) Initialize pbest with current position of particles. (d) Initialize the gbest as the best among all the pbest. 4) Update the position of particle string. (a) Perform mutation for one bit in the particle string. (b) Using steps 2-6 of algorithm given section V-B, update the position of particle string. 5) Estimate prot and score the new particle position. 6) Update pbest if the new position is better than pbest. 7) Update gbest if the new position is better than gbest. 8) Perform steps 4-7 for all the particles in the swarm. 9) Every ten iterations perform advanced mutation operation for three tri-state bits in the gbest string as follows. (a) Randomly select three tri-state bits stored with 1, -1, and 0. (b) Mute the bits respectively with -1, 0, and 1 or 0, 1, and -1. Go to step-3. 10) Perform steps 3-9 for required number of iterations. Print gbest as the optimal solution. VI. C ASE S TUDY We consider Blenheim-Gilboa Pumped Storage Plant of New York Power Authority connected with New Yorks electricity transmission grid. The New York Independent System Operator (NYISO) [11] manages the transmission network and electricity market. The plant details are Capacity=4 260M W , Active head=300 to 330m, Emin = 1000M W h, Emax = 8000M W h, E0 = 1000M W h and p = 0.6667 [12].

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Fig. 6. Energy storage with respect to time for daily and weekly operating strategies (22-28 June 2008): Results from Sequential Optimization Approach TABLE I O PTIMAL BIDDING STRATEGY AND CORRESPONDING SCHEDULE USING S EQUENTIAL M ETHODOLOGY FROM 22-28 J UNE 2008

Fig. 7. Optimal power bids for the period from 22-28 June 2008 (a) Daily schedule (b) Weekly Schedule: Sequential Optimization Approach

Let the daily operating cycle starts from 0:00 AM and ends at 0:00 AM of the following day and the weekly operating cycle start on Sunday with E0 = 1000 M W h and ends on the following Sunday with ET = 1000 M W h. Price forecasts are obtained from the New York Independent System Operator (NYISO) website [11]. MCP of NYC region for a week starting from 22 to 28 June 2008 are considered. It is assumed that Brs = 6 $/M W h and Brn = 0.5 $/M W h as constants. The optimal bidding strategy developed in section IV is implemented and both the algorithms are simulated in MatLab 7.6 R (R2008a) and applied for daily and weekly operating modes. Both spinning and non-spinning reserve biddings are also considered for optimizing the generating and pumping power bids.

Fig. 8. Energy storage with respect to time for daily and weekly operating strategies (22-28 June 2008): Results from ETPSO Approach

B. ETPSO Methodology The energy storage in the upper reservoir with respect to time for the same period obtained form ETPSO approach is shown in Fig. 8. Optimal bidding strategy and corresponding schedule obtained are shown for daily and weekly operating modes in Table II (a) and (b). Corresponding optimal power bids are given in Fig. 9(a) and (b). Fig. 10 illustrates the convergence characteristics of the proposed ETPSO for seven different cases of daily operating mode with 8 particles and shows the impact of particle initialization and provide an indication for robustness of the ETPSO. The ETPSO with particle population of 50 is applied for solving the case of weekly operating mode. Fig. 11 illustrates the convergence characteristic of the proposed method for this case. C. Comparison and Observations Form the Figures 7 and 9, it is seen that both the algorithms are adaptive for the nonlinear three-dimensional relationship between the power produced, the energy stored, and the head of the associated reservoir. During the generating period, as the head decreased the generating power bids are accordingly reduced. Performance of sequential and ETPSO methodologies in view of prot, plant operation parameters and average CPU execution time are given in Table III. For weekly scheduling both the methodologies yield almost same prot, but ETPSO

A. Sequential Methodology The energy storage in the upper reservoir with respect to time is shown in Fig. 6. In daily operating mode energy balance is satised at the end of each day, whereas in the weekly operating mode it is satised only at the end of the week. This allows weekly operating mode to operate at higher level of head and hence unit can be bid for higher generating power than the daily operating mode. Optimal bidding strategy and corresponding schedule obtained using sequential methodology for the period from 22-28 June 2008 is shown for daily operating mode in Table I(a) and for weekly operating mode in Table I(b). Optimal power bids for the same period with respect to daily schedule are given in Fig. 7(a) and weekly schedule are given in Fig. 7(b). It is seen that the pumping mode fall on valley MCP period and generation mode fall on peek MCP period.

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TABLE II O PTIMAL BIDDING STRATEGY AND CORRESPONDING SCHEDULE USING ETPSO M ETHODOLOGY FROM 22-28 J UNE 2008

Fig. 11. Convergence characteristics of ETPSO for weekly operating mode with 50 particles

VII. C ONCLUSION This framework provides a tool that allows a multi-unit pumped storage hydro generating company to optimally determine the short-term self-scheduling of its plant. Optimal bidding strategies for pumped-storage power plant in a pool based competitive electricity market, in which the market clearing price is insensitive to the bid price is investigated. A model to account for the nonlinear three-dimensional relationship between the reservoir head, the power output, and the water discharged is proposed. A multistage-looping optimization and ETPSO had been carried out to meet the constraints within each time segment. The methodologies has been tested on a typical pumped-storage power plant and had proved effective in nding optimal daily and weekly operation schedules. The results obtained are reported and comparative study has been carried out.
Fig. 9. Optimal power bids for the period from 22-28 June 2008 for (a) Daily schedule (b) Weekly Schedule: Results from ETPSO Approach

R EFERENCES
[1] C. D. Galloway and R. J. Ringlee, An Investigation of Pumped Storage Scheduling, IEEE Transactions on Power Apparatus and Systems, Vol. PAS-85, No. 5, pp. 459-465, May 1966. [2] Sebastian de la Torre and Antonio J. Conejo, Optimal Self-Scheduling of a Tidal Power Plant, Journal of Energy Engineering, Vol. 131, No. 1, pp. 26-51, April 1, 2005. [3] L.H. Jeng, Y. Y. Hsu, B. S. Chang, and K. K. Chen, A linear programming method for the scheduling of pumped-storage units with oscillatory stability constraints, IEEE Transactions on Power Systems, vol. 11, no. 4, pp. 1705-1710, Nov. 1996. [4] P. H. Chen and H. C. Chang, Pumped-storage scheduling using a genetic algorithm, in Proc. 3rd IASTED Int. Conf. Power Energy Systems, Nov. 1999, pp. 492-497. [5] J. Kennedy and R. Eberhart, Particle swarm optimization, in Proc. IEEE Int. Conf. Neural Networks, 1995, vol. 4, pp. 1942-1948. [6] J. Kennedy and R. Eberhart, A discrete binary version of the particle swarm algorithm, in Proc. Int. Conf. Systems, Man, and Cybernetics, Piscataway, NJ, 1997, pp. 4104-4109. [7] Ning Lu, Joe H. Chow, and Alan A. Desrochers, Pumped-Storage Hydro-Turbine Bidding Strategies in a Competitive Electricity Market, IEEE Trans on Power Systems, Vol. 19, No. 2, pp. 834-841, May 2004. [8] R. C. Eberhart and Y. Shi, Particle swarm optimization: Developments, applications and resources, in Proc. Congress on Evolutionary Computing, 2001, vol. 1, pp. 81-86. [9] P. H. Chen, Pumped-storage scheduling using evolutionary particle swarm optimization, IEEE Transactions on Energy Conversion, vol. 23, no. 1, pp. 294-301, March. 2008. [10] David E. Goldberg Genetic Algorithms in Search, Optimization, and Machine Learning Addison-Wesley, 1989. [11] New York Independent System Operator Website. Available online: http://www.nyiso.com/public/market data/pricing data.jsp [12] Dept of the Army, US Army Corps of Engineers, Washington, Evaluating Pumped-Storage Hydropower, Engineers Manual: Engineering and Design - Hydropower, Chapter.7, No.1110-2-1701, 31 Dec 1985.

Fig. 10. Convergence characteristics of ETPSO for daily operating mode with 8 particles TABLE III P ERFORMANCE OF S EQUENTIAL AND ETPSO M ETHODOLOGIES
Mode tp (hrs) 42 45 41 42 tg (hrs) 35 30 35 28
max av Pg Pg Prot (MW) (MW) ($) Sequential Methodology max Es (MWh)

CPU time 1.08 533.94 4.38 350.74

Daily Weekly Daily Weekly

270 290 270 290

203.93 239.67 199.14 235.71

575746 577276 565241 574473

5760 8000 5760 8000

ETPSO Methodology

takes about 60% of the run time taken by the sequential approach. Whereas for daily scheduling sequential approach gives faster and better solution.

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