EMK:Short Term River Chain Optimisation

Disclaimer

Reasonable care has been taken to ensure that the information in this paper is up to date at the time of issue. Potential users of EMarket should, however, ensure that they evaluate EMarket and this paper through an appropriate evaluation process in consultation with Energy Link. The authors are also reliant on certain information external to EMarket and Energy Link, for which no liability or responsibility can be accepted.

Introduction

This technical bulletin is intended to provide users and interested parties with a detailed explanation of how EMarket’s Short Term River Chain Optimisation (STRCO) module works. EMarket was originally designed to model medium and long-term hydro generation optimisation. This meant that hydro offers were based on medium to long-run marginal costs and did not vary in the short term. The aim of STRCO is to improve the realism of results from EMarket by ensuring that generator behaviour is consistent with the detailed day to day operation of generators in the market. STRCO is not the default for EMarket’s large hydro systems so must be enabled by the user as required.

Other Documents

This bulletin is one of a series of technical bulletins relating to Energy Link’s EMarket model. Taken together, the bulletins replace the old EMarket User Guide. The full series of bulletins covers an overview of the EMarket model, the details of the four major New Zealand hydro systems modelled in EMarket, water values and hydro offers, power flows, dispatch and nodal pricing, short term river chain optimisation and company optimisation.

Overview

Modelling in EMarket is also usually done with steps that aggregate a large number of trading periods together. Whilst changes in load through the day can be modelled, generator offers remain constant. In modelling the market behaviour over the course of a day it is necessary to determine how generators may adjust for intra-day fluctuations in demand and prices.

The benefits of determining short term behaviour extend beyond the ability to model in detail the daily behaviour of the market, since short term fluctuations in offers will have a gross effect on the overall behaviour. An example of this is the meeting of minimum flow requirements on the outflow of a large hydro system. Here the water throughput that is required for the minimum flow at night can be used for generation during the day, accumulating at the lowest reservoir which will empty over the night periods. It is difficult to determine the overall long term effect of minimum flow requirements on energy offered without understanding the short term effects in some detail.

In principle, short term modelling for hydros could include:

• all the hydrological or regulatory constraints on the system;
• the effect of generation on energy price, and price on profit;
• provision of instantaneous reserves.

In EMarket hydro systems can be enabled to optimise using the STRCO module. The optimisation horizon is one week at a resolution of 4 hours.

River Chain Hydro Modelling, the DP approach

The problem to be solved for a major hydro is the optimal pattern of generation in the short term when the configuration of storage within the system can vary considerably over a short period. Dynamic programming (DP) provides a robust algorithm for determining the basis of this behaviour.

Figure 1

Optimal behaviour is defined by maximising gross profit, taking into account the entire portfolio of generation assets, retail and hedge contracts, and marginal costs, of the company owning the system. The behaviour at any time is determined by the time of the day and the state variables – the most important of which represent the storage within the system. When the DP is run it becomes possible to calculate the marginal value of all the state variables, and offering behaviour at each step can be determined by optimising against these marginal values.

For example, Figure 1 above shows a hydro system with a large storage lake, A, at the head and two smaller lakes in a chain below. Three dams, a, b and c, convert the flows between the lakes into electricity at a rate of 1 MW/cumec. The storage in each lake is measured in cumec-days (CMD).

When the DP is run it should be possible to assign a marginal value to the storage at A, B and C, given the current storage levels and the time. This allows a marginal cost figure to be allocated to the generation at a, b and c. If these values are 2,520 $/CMD, 1,440 $/CMD and 480 $/CMD, respectively, then generation at a has a marginal cost of:

[(2520 – 1440) $/CMD] / [24 h/Day] × [1 MW/cumec] = $45/MWh.

Similarly the costs of generation at b and c are $40/MWh and $20/MWh respectively.

It might then be possible to offer in three bands of generation at 45, 40 and 20 $/MWh and with the maximum MW output of a, b and c.

But the marginal costs of generation do not completely determine offers for large systems. The offers have to allow for the fact that they apply over a fixed period of time, and storage or flow constraints must be obeyed over that time. For example, if generating at full output will empty one of the reservoirs before a trading period is finished, then it is not possible to offer in all generation. If the total system output can have an impact on prices, this effect needs to be taken into account and it is also necessary to know the load commitment and hedges of the company as a whole.

Hydro System Specification

The following describes the most important features of a hydro system with respect to the modelling EMarket does in STRCO. The description has two main features:

• channels, through which water is moved, which include stations, canals or spillways, and
• nodes, which are the departure or destination points for channels.

Nodes may represent reservoirs or may simply be the point where a number of channels meet.

The system configuration is specified as follows:

N	Number of channels
M	Number of nodes
ei	MW/cumecs for channel i = 1 to N
Maxi, Mini	Maximum, minimum flow though the channel, i = 1 to N
Ntoi, Nfromi	The nodes which are connected by the channel, i = 1 to N
Sj	Available storage at a node, j = 1 to M

The state of the system at time t is specified as follows:

sj	Current storage at a node, j = 1 to M

The behaviour of the system at time t is specified as follows:

Ijt	Uncontrolled inflows to nodes for time t, j = 1 to M
Fit	Flow (cumecs) through a channel (hydro station or spillway) at time t, i = 1 to N

For example, a specification for the system in Figure 1 is:

N = 3; M = 4; e_i = 1, 1, 1; Nto_i = 2,3,4; Nfrom_i = 1,2,3; Max_i = 200,300,350;

Min_i = 0,0,50; S_j = 9000, 32, 120

The DP Process

Adding to the definitions given above:

MWV_j,t - the marginal value of storage at node j at time t

The result of the DP will be a multi-dimensional function

MWV_j,t = WVF_j,t (S_{1t/sub>, S2t,…, SMt)}

The following describes the dynamic programming analysis using a week's worth of forecast data. The dynamic program requires the following data:

• A price forecast – half hourly market prices for the week;
• Market sensitivity forecast – this would take the form of a sensitivity figure given by (change in price)/(change in generation), that estimates the amount prices will fall as more generation is put online;
• Load forecast, for company retail load only;
• Hedges for the week.