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Multistage Stochastic Demand-side Management for Price-Making Major Consumers of Electricity in a Co-optimized Energy and Reserve Market

Mahbubeh Habibian (mhab735***at***aucklanduni.ac.nz)
Anthony Downward (a.downward***at***auckland.ac.nz)
Golbon Zakeri (g.zakeri***at***auckland.ac.nz)

Abstract: In this paper we take an optimization-driven heuristic approach, motivated by dynamic programming, to solve a multistage stochastic optimization of energy consumption for a large manufacturer who is a price-making major consumer of electricity. We introduce a mixed-integer program that co-optimizes consumption bids and interruptible load reserve offers, for such a major consumer over a finite time horizon. By utilizing Lagrangian methods, we decompose our model through approximately pricing the constraints that link the stages together. We construct look-up tables in the form of consumption-utility curves and use these to determine optimal consumption levels. We also present heuristics, in order to tackle the non-convexities within our model and improve the accuracy of our policies. In the second part of the paper, we present stochastic solution methods for our model in which, we reduce the size of the scenario tree by utilizing a tailor-made scenario clustering method. Furthermore, we report on a case study that implements our models for a major consumer in the (full) New Zealand Electricity Market and present numerical results.

Keywords: Multistage optimization, Lagrangian relaxation, Mixed-integer programming

Category 1: Applications -- OR and Management Sciences

Category 2: Applications -- Science and Engineering (Smart Grids )

Category 3: Integer Programming ((Mixed) Integer Linear Programming )

Citation: University of Auckland, July 2018

Download: [PDF]

Entry Submitted: 07/10/2018
Entry Accepted: 07/10/2018
Entry Last Modified: 09/04/2018

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