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Probabilistic Methods Applied to Power Systems, 2004 International Conference on

Date 12-16 Sept. 2004

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  • 2004 International Conference on Probabilistic Methods Applied to Power Systems - Cover

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  • 2004 International Conference on Probabilistic Methods Applied to Power Systems - Title Page

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  • Copyright

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  • Table of contents

    Page(s): iii - xviii
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  • A k-factor GIGARCH process: estimation and application on electricity market spot prices

    Page(s): 1 - 7
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (354 KB) |  | HTML iconHTML  

    Some crucial time series of market data, such as electricity spot prices, exhibit long-memory, in the sense of slowly-decaying correlations, combined with heteroskedasticity. To be able to modelize such a behavior, we consider the k-factor GIGARCH process. The related parameter estimation problem is addressed using an extension of Whittle's estimation. We develop the corresponding asymptotic theory for estimation. We apply this approach to the electricity prices (spot prices) from the German energy market (European Energy eXchange). For these data, we propose two models of k-factor GIGARCH processes. To conclude the paper, we analyze in detail the forecasting performances of these models View full abstract»

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  • A new model for electricity price series modelling and forward and volatility curves computation

    Page(s): 8 - 13
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (344 KB) |  | HTML iconHTML  

    As a result of the deregulation processes, liberalized markets, where electricity futures and derivatives are traded, have arisen all over the world. Utilities, consumers, traders and, generally, market agents must do quantitative assessments of their positions. Basic analytical data are the forward and volatility curves of the traded products. Ideally, these curves should be derived from publicly available traded prices. However, as electricity derivative markets are usually rather thin, alternative procedures based on spot prices and theoretical computations must be used instead. In this paper, a new spot price evolution model is proposed and the resulting theoretical forward and volatility curves derived View full abstract»

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  • Electricity market price dynamics: Markov process analysis

    Page(s): 14 - 19
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (430 KB) |  | HTML iconHTML  

    Market dynamics have been studied with emphasis on price stability. Dynamic market pricing in a purely competitive environment for a given trading period is determined by the interaction of the supplier and buyer with information available to each. The scheduling of generation is determined according to a generation company's (GENCOs) perception of the expected future conditions. Future conditions include equipment availability and competitor play. These decisions, which attempt to maximize profits, and the resulting interactions represents a major source of electric market dynamics. Profits in any period depend on level of efficiency as well as on the levels of efficiency of other competing GENCOs. Incorrect, untimely, and improperly analyzed information often lead to suboptimal solutions for the profit maximizing player, This paper analyzes market price dynamics by using Markov process (MP) modeling. An example application is presented as would be conducted by information seeking players to maximize profit. Key issues with applying Markov chains to different market conditions are identified. The key economic pricing signals, representing different forces, are examined as a basis of influencing these key decisions by each player View full abstract»

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  • Futures market impacts on electricity prices

    Page(s): 20 - 25
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (459 KB) |  | HTML iconHTML  

    The power system and the real-time market operation are closely coupled with the future market positions taken by market participants. Assessing the stability of the real-time market is critical because an unstable market will be characterized not only by fluctuating prices that do not settle to constant values, but more worrisome, it could create the possibility of inducing slow electromechanical oscillations if left unchecked. We study the relation between the real-time market, potential market power exercise and the stability of equilibrium. We conclude that the role of futures markets on the real time market is closely related with market power mitigation and risk hedging. The stability of the clearing prices and generator output is not directly tied to future market positions taken by market participants. We finally conclude that market power potential has a significant impact on the stability of the market, raising a new tradeoff between market efficiency and market dynamics View full abstract»

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  • Generation of regulating power price scenarios

    Page(s): 26 - 31
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (404 KB) |  | HTML iconHTML  

    This paper presents a model of the regulating power market prices, based on ARIMA processes. The model can be used when creating scenario trees that are used in stochastic programming problems to generate optimal bids to the regulating power market. The model considers spot market price correlation and the design of the regulating power market, including the delay time of release of prices and submission time. The usual estimation methods associated with stochastic processes are not sufficient for this application. Therefore, new parameter estimation methods have been developed for the ARIMA process. The model and the estimation methods are used in a case study, where real data from the Nordic power market is used. A conclusion is that ARIMA processes are possible to use for this kind of models View full abstract»

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  • Impact of uncertainty and elastic response of demand in short term marginal prices

    Page(s): 32 - 37
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (469 KB) |  | HTML iconHTML  

    In the scope of the implementation of market mechanisms to remunerate marginal costs of generation producers and network services, this work discusses a new approach to obtain short-term marginal prices (STMP), taking into account the effect of load uncertainties and elastic response of aggregate demand in each node of the system. The optimization problem is formulated from regulatory point of view minimizing total social cost for all participants. The proposed methodology uses fuzzy sets to represent price and load uncertainties. Demand curve is derived from nonlinear benefit function of customer. Revenue requirements of transmission services deserve particular attention and network congestion impact is discussed. The model has been tested in two test cases and compared with the results from a classical fuzzy optimal power flow (FOPF) with inelastic loads View full abstract»

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  • The electricity price duration curve under Bertrand and Cournot models

    Page(s): 38 - 43
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (291 KB) |  | HTML iconHTML  

    In this paper we consider the problem of constructing a price duration curve based on systems data using a probability model This curve shows the proportion of time over a given time horizon during which the real time market price of electricity is expected to exceed specified dollar amounts. The price over a long term is a stochastic quantity that depends on physical factors such as production cost, load, generation availability, unit commitment, and transmission constraints. It also depends on economic factors such as strategic bidding and load elasticity. We illustrate a procedure for constructing a stochastic system- based model for the price duration curve taking into account some of these factors for two commonly used economic models View full abstract»

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  • A bulk power system reliability assessment methodology

    Page(s): 44 - 49
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (441 KB) |  | HTML iconHTML  

    This paper describes a methodology to evaluate the reliability of bulk power systems. The method encompasses the systematic enumeration of contingencies and the evaluation of their effects on the system over a range of system load levels. Contingencies and electric load states are described with Markov models. Reliability indices are computed using these models. Both adequacy and a simplified security approaches are considered in the effects analysis. The framework is capable of considering full security approach but it is not addressed in this paper. In adequacy approach, an improved system simulation method is used based on the single-phase quadratized power flow. Remedial actions are also applied for the purpose of alleviating abnormal conditions. This approach determines whether the system is adequate of supplying the electric load without operating constraint violations. In the simplified security approach, the immediate response of the system is of interest. The simulation approach consists of an inertial redispatch and operating conditions immediately after the contingency before any controls take effect. The objective is to determine whether cascading failures occur. The proposed methodology has been applied to two reliability test systems View full abstract»

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  • An analytical method for determining effect of transmission system forced outages on the reliability of interconnected power system

    Page(s): 50 - 55
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (327 KB) |  | HTML iconHTML  

    Over the world there are large and economically attractive energy resources that are located at long (500 - 1500 km) and very long (2000 - 4000 km) distances from load areas. Proceeding from the state of the art, the problem of power transmission over such distances can be solved with the help of EHV and UHV transmission systems (TSs) of both DC and AC. Forced outages of TSs have a noticeable effect on reliability of interconnected power systems (DPS). The effect most strongly manifests itself when transmitted power is comparable with installed capacity of receiving system. An analytical method is proposed for evaluating the effect of TS forced outages on reliability of EPS using LOLP (Loss-of-Load Probability). When comparing alternatives, this method makes it possible to determine the additional value of operating reserve caused by forced outages of TS and take into account the reliability in terms of extra reserve cost View full abstract»

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  • Assessing mid-continent area power pool capacity adequacy including transmission limitations

    Page(s): 56 - 63
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (599 KB) |  | HTML iconHTML  

    This paper presents the results of a multiarea generating capacity adequacy assessment performed by the composite system reliability working group (CSRWG) for the mid-continent area power pool's (MAPP's) United States (US) thermal system. The impact of transmission resource limitations within the MAPP region on the system reserve margin has been studied. In addition, the generating unit forced outage rate uncertainty, extreme hot summer loading conditions and the load forecast uncertainty are explicitly modeled in the study. The basic objective of this study was to determine the reserve capacity obligation (RCO) for the MAPP-US thermal system for the years 2003, 2006, 2009 and 2012. Similar studies have been performed in 1991 and 1994, and one of the purposes of this study was to determine whether or not the recommendations from the previous studies were still valid. The results of the study confirmed the current RCO level for the MAPP-US thermal system View full abstract»

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  • Genetic algorithms approach for the assessment of composite power system reliability considering multistate components

    Page(s): 64 - 69
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (405 KB) |  | HTML iconHTML  

    This paper introduces a genetic algorithms (GA) based approach for the assessment of composite power system reliability. This enhanced approach recognizes multistate components such as generation units with derated states. It also considers common mode failure for transmission lines. Binary encoded GA is used as a state sampling tool for the composite power system network states. Both annual and annualized adequacy indices are calculated. The superiority of the proposed approach over other conventional methods comes from the ability of GA to trace failure states in an intelligent, controlled and prespecified manner through the selection of a suitable fitness function. Case studies on a sample test system considering chronological load curves, derated states and common mode failures are presented. Results are analyzed to determine the effect of considering multistate components View full abstract»

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  • Incorporating multistate unit models in composite system adequacy assessment

    Page(s): 70 - 75
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (364 KB) |  | HTML iconHTML  

    Components are usually represented by a two state model in conventional generating capacity and composite generation and transmission system reliability studies. Multistate generating unit models create a significant increase in the number of generation contingency states and can result in a considerable increase in the overall solution time. In order to avoid this problem, the derated states are usually amalgamated with the totally forced out state to create the derating-adjusted forced outage rate (DAFOR). This statistic is also known as the equivalent forced outage rate (EFOR). Studies have shown that modeling large generating units in generating capacity adequacy assessments using DAFOR can provide pessimistic appraisals. Many utilities therefore use multistate generating unit representations to assess generating capacity adequacy, in order to obtain more accurate appraisals. There is relatively little published material dealing with the effects of using multistate generating unit representations in composite system adequacy assessment. This paper illustrates these effects by application to the IEEE-reliability test system. Load point and system indices for the test system are presented to illustrate the impact of incorporating multistate representations in composite system adequacy assessment. Attention is focused on the effects of model variations including how many derated states should be used in a multistate model to obtain a reasonably accurate appraisal View full abstract»

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  • Sensitivity analysis of probabilistic reliability evaluation of IEEE MRTS using TRELSS

    Page(s): 76 - 81
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (348 KB) |  | HTML iconHTML  

    The importance and necessity of conducting studies on grid reliability evaluation have been increasingly important in recent years due to the number of black-out events occurring through in the world. Quantify evaluation of transmission system reliability is very important in a competitive electricity environment. The reason is that the successful operation of electric power under a deregulated electricity market depends on transmission system reliability management. The results of many case studies for the IEEE 25-bus system using the transmission reliability evaluation for large-scale systems (TRELSS) Version 6_2, a program developed by EPRI are introduced in this paper. Some sensitivity analysis has been included in case study. This paper suggests that the some important input parameters of the TRELSS can be determined optimally from this sensitivity analysis for high reliability level operation of a system View full abstract»

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  • Analysis of distribution reliability in performance-based regulation

    Page(s): 82 - 87
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (424 KB) |  | HTML iconHTML  

    As a consequence of the liberalization of the electricity sector where electricity markets are deregulated and grid ownership are privatized, the need for regulation of distribution grid owners (DGOs) due to the monopoly nature of electric distribution has increased. The regulation of DGOs is in many countries conducted based on the DGOs' performance, i.e. performance-based regulation (PBR). PBR is meant as a substitute for a competitive market by rewarding efficient DGOs and/or penalizing inefficient DGOs. A risk however is that distribution quality suffers due to lack of maintenance and postponed investments as the DGOs become more financially challenged. In order to prevent this the efficiency regulation can be combined with quality regulation in which poor quality either means decreased revenue or increased expenses. Quality regulation usually is conducted on one-year basis, this means that the yearly variation of system reliability brings financial uncertainty to DGOs. In order to make more accurate financial risk assessments the yearly variation of system reliability must be considered. In this paper a sequential Monte Carlo simulations (MCS) method is described and applied on a reliability test system in order to conduct comparative analyzes of quality regulation model within PBR View full abstract»

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  • NonMarkovian estimation of the reliability costs of power distribution systems

    Page(s): 88 - 93
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (325 KB) |  | HTML iconHTML  

    Unbundling and liberalization of the electric sector has led in many countries, including Portugal, to the settlement definition of quality standards for the power distribution systems that give rise to penalties when those standards are not met. Also, penalties and rewards related to global reliability indices exist in some countries. Distribution companies must take this into account when planning there systems because the minimization of the net reliability cost is a main criteria when making investment decisions performing reliability studies to support investment decisions, and penalties (or rewards) become direct reliability costs (or benefits), regardless of any other consideration concerning the impact of the frequency and duration of the interruptions. Most of the time, standards are defined in terms of the sum of the interruption durations during a year. In this paper, the details of this discussion are addressed, in the framework of the investment decision-making process. A formal model for the problem is proposed, along with methodologies able to tackle it. The inadequacy of a Markovian approach is discussed and illustrated, showing how bad investment decisions can be made due to incorrect evaluation of the reliability costs. The discussion will be illustrated with small numerical examples View full abstract»

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  • Reliability assessment of distribution networks in Brazil's northeast

    Page(s): 94 - 99
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (442 KB) |  | HTML iconHTML  

    Presently, electric utilities are facing an increasing number of complaints about distribution system reliability. This fact has been caused by the growth of sensitive loads in all the customer sectors (residential, commercial and industrial). Due to this, power distribution utilities must maximize reliability to ensure that customer reliability requirements are satisfied while incurring the lowest possible cost. An alternative to maximize the reliability is to use predictive reliability assessment (PRA) in the distribution system planning. The main advantage of the PRA technique is its ability to forecast the reliability impacts of system expansion and quantify the impact of the reliability reinforcement projects. This paper has as its objective the description of the application of the PRA technique in a feeder of a distribution utility located in the northeast of Brazil. The results obtained with the proposed PRA model allowed the identification and diagnosis of critical areas and vulnerabilities in the distribution feeders View full abstract»

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  • Reliability evaluation of distribution systems considering automatic reclosers

    Page(s): 100 - 105
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (559 KB) |  | HTML iconHTML  

    This paper presents a new methodology to evaluate in a predictive way the reliability of distribution systems, considering the impact of automatic recloser switches. The developed algorithm is based on state enumeration techniques with Markovian models and on the minimal cut set theory. Some computational aspects related with the implementation of the proposed algorithm in typical distribution networks are also discussed. The description of the proposed approach is carried out using a sample test system. The results obtained with a typical configuration of a Brazilian system (EDP Bandeirante Energia S.A.) are presented and discussed View full abstract»

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  • Reliability evaluation of radial distribution systems considering voltage drop constraints in the restoration process

    Page(s): 106 - 111
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (372 KB) |  | HTML iconHTML  

    Predictive reliability evaluation in distribution networks consists of the estimation of the system continuity indices based on the network topology and components' fault data. Traditionally, the proposed models to estimate these indices consider only the feeder's loading constraints along the restoration process. The system charge points may suffer voltage violations during the restoration process. Those violations can cause supply interruptions for consumers with sensitive loads. The main aim of this paper is to model voltage constraints in reliability evaluation of radial distribution systems during the restoration process. The proposed method to model voltage constraints in reliability evaluation has been tested in a pilot area of the electricity utility of Maranhao (CEMAR), Brazil. The results demonstrated that voltage constraints have a meaningful impact on the reliability indices of a distribution network View full abstract»

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  • Gaussian process prior models for electrical load forecasting

    Page(s): 112 - 117
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (404 KB) |  | HTML iconHTML  

    This paper examines models based on Gaussian process (GP) priors for electrical load forecasting. This methodology is seen to encompass a number of popular forecasting methods, such as basic structural models (BSMs) and seasonal auto-regressive intergrated (SARI) as special cases. The GP forecasting models are shown to have some desirable properties and their performance is examined on weekly and yearly Irish load data View full abstract»

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  • Meter data management for the electricity market

    Page(s): 118 - 122
    Save to Project icon | Click to expandQuick Abstract | PDF file iconPDF (393 KB) |  | HTML iconHTML  

    The quality of the meter data for billing and analysis is very important in the electricity market. The meter data is used primarily in billing & settlement for industrial customers and bulk trading partners who have direct access to data, and used secondarily in trading, transmission operations & planning, and load forecasting & scheduling who don't have direct access to data. A software system called the metering data management (MDM) system has been developed using the web service technology to support the meter usage data collection, validation, estimation, versioning, and publishing at Bonneville Power Administration (BPA), a US Federal Power Marketing Agency. One of its key features is the validation and estimation of the meter usage data based on statistical models. The paper presents the infrastructure and implementation details of MDM. It also addresses a novel approach to validating the meter data and estimating missing values in the meter data. The key performance criteria of MDM are scalability, collaboration, integration, in addition to good data acquisition and data persistence capabilities. Further more, use of the meter data with weather information for more accurate validation and estimation is also discussed View full abstract»

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