Incorporating fuel constraints and electricity spot prices into the stochastic unit commitment problem

The electric power industry is going through deregulation. As a result, the load on the generating units of a utility is becoming increasingly unpredi ctable. Furthermore, electric utilities may need to buy power or sell their production to a power pool that serves as a spot market for electricity. T hese trading activities expose utilities to volatile electricity prices. In this paper, we present a stochastic model for the unit commitment that inc orporates power trading into the picture. Our model also accounts for fuel constraints and prices that may vary with electricity prices and demand. Th e resulting model is a mixed-integer program that is solved using Lagrangia n relaxation and Bender's decomposition. Using this solution approach, we s olve problems with 729 demand scenarios on a single processor to within 0.1 % of the optimal solution in less than 10 minutes. Our numerical results in dicate that significant savings can be achieved when the spot market is ent ered into the problem and when stochastic policy is adopted instead of a de terministic one.