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Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
Lund University. (Waves signals and systems)ORCID iD: 0000-0003-3111-4820
Royal Institute of Technology.
2014 (English)In: Mathematical Methods of Operations Research, ISSN 1432-2994, E-ISSN 1432-5217, Vol. 79, no 3, 195-224 p.Article in journal (Refereed) Published
Abstract [en]

In this article we consider how the operator of an electric power system should activate bids on the regulating power market in order to minimize the expected operation cost. Important characteristics of the problem are reaction times of actors on the regulating market and ramp-rates for production changes in power plants. Neglecting these will in general lead to major underestimation of the operation cost. Including reaction times and ramp-rates leads to an impulse control problem with delayed reaction. Two numerical schemes to solve this problem are proposed. The first scheme is based on the least-squares Monte Carlo method developed by Longstaff and Schwartz (Rev Financ Stud 14:113–148, 2001). The second scheme which turns out to be more efficient when solving problems with delays, is based on the regression Monte Carlo method developed by Tsitsiklis and van Roy (IEEE Trans Autom Control 44(10):1840–1851, 1999) and (IEEE Trans Neural Netw 12(4):694–703, 2001). The main contribution of the article is the idea of using stochastic control to find an optimal strategy for power system operation and the numerical solution schemes proposed to solve impulse control problems with delayed reaction.

Place, publisher, year, edition, pages
2014. Vol. 79, no 3, 195-224 p.
National Category
Probability Theory and Statistics Control Engineering
Research subject
Physics, Electrotechnology
Identifiers
URN: urn:nbn:se:lnu:diva-61562DOI: 10.1007/s00186-013-0459-0ISI: 000336741900004OAI: oai:DiVA.org:lnu-61562DiVA: diva2:1083529
Available from: 2017-03-21 Created: 2017-03-21 Last updated: 2017-03-22Bibliographically approved

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Perninge, Magnus
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CiteExportLink to record
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Citation style
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