Quantifying the effect of uncertainty in the gas spot price on power system dispatch costs with estimated correlated unc
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Quantifying the effect of uncertainty in the gas spot price on power system dispatch costs with estimated correlated uncertainties Dan Hu1 · Sarah M. Ryan1 Received: 9 November 2018 / Accepted: 10 September 2019 © Springer-Verlag GmbH Germany, part of Springer Nature 2019
Abstract Electricity generation increasingly relies on natural gas for fuel. The competing demands for gas by other users who may have higher priority, the lack of coordination between gas and electricity markets, and extreme weather events all pose risks to systems with high dependence on gas. When the gas supply on which generators have planned is limited, operators may dispatch more costly units and generators may switch to alternate fuels or procure gas at high spot prices. All these efforts to avoid load-shedding result in higher electricity costs. To assess this economic risk we approximate the distribution of the daily operational cost to satisfy the demand for electricity by conducting simulations of economic dispatch. Input parameters are sampled from a temporal and weather conditional joint distribution of daily electric load and spot price of gas. To isolate the impact of uncertainty in the gas price, we generate a benchmark distribution of the dispatch cost by fixing the gas price at its expectation while sampling from the marginal distribution for load, and compare the distribution generated from uncertainty in both the gas price and the load against this benchmark. The risk is quantified by computing the distance between dispatch cost distributions or the difference between the values of a risk measure applied to each distribution. In a numerical case study we demonstrate how such risk quantification can be used to evaluate alternative risk-mitigation strategies at the system level. Keywords Economic dispatch · Natural gas · Bivariate normal distribution · Wasserstein distance · Conditional value-at-risk
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Sarah M. Ryan [email protected] Dan Hu [email protected]
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Department of Industrial and Manufacturing Systems Engineering, Iowa State University, Ames, IA 50011-2030, USA
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D. Hu, S. M. Ryan
1 Introduction Due to the retirements of coal-fired and nuclear generators, the development of highly efficient gas-fired generators, the increase of natural gas supply with a relatively stable gas price over the last decade, and potential emission regulations, natural gas and renewable energy sources have taken a rapidly increasing share of electricity production. Natural gas experiences a more competitive market than other fossil fuels because of its fast procurement and low price. Although increased reliance on natural gas decreases operational cost and environmental pollution, it also increases the fuel risk in the power system. Short-term dispatch decisions by the power system operator determine the cost of serving the realized electric demand under increasingly constrained gas supply and uncertain spot prices. Natural gas consumers usually sign contracts, consisting of either interruptible or firm contracts, with the pipeline
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