Heat and Electricity Market Coordination: A Scalable Complementarity Approach

Lesia Marie-Jeanne Mariane Mitridati, Jalal Kazempour, Pierre Pinson

Research output: Contribution to journalJournal articleResearchpeer-review

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Abstract

The large penetration of stochastic and non-dispatchable renewable energy sources increases the need for operational flexibility in power systems. Flexibility can be unlocked by aligning the existing interactions and synergies between heat and power systems. However, in the current sequential order of heat and electricity market clearings, the heat market is myopic to its interactions with the electricity market. This paper designs a heat market, aimed at achieving the optimal
coordination of heat and power systems while respecting the current market regulations. The proposed electricity-aware heat market yields a soft coordination between heat and power systems by endogenously modeling their interactions in the day-ahead heat market clearing. The proposed market framework requires to solve a hierarchical optimization problem under uncertainty, which can be computationally challenging in large-scale energy systems with many scenarios. To resolve this potential scalability issue, this paper develops an augmented regularized Benders decomposition algorithm. The performance of the proposed market framework is compared against the fully integrated and sequential market frameworks using an ex-post out-of-sample simulation. This comparison reveals that there is a significant room for improvement in the cost-effective operation of the overall energy system. In particular, the proposed electricity-aware heat market framework provides a trade-off between the sequential and fully integrated market frameworks by significantly reducing the inefficiencies in both heat and electricity systems while respecting the current sequence of clearing heat and electricity markets.
Original languageEnglish
JournalEuropean Journal of Operational Research
Number of pages33
ISSN0377-2217
DOIs
Publication statusAccepted/In press - 2019

Keywords

  • OR in energy
  • Integrated energy system
  • Stochastic programming
  • Hierarchical optimization
  • Regularized Benders decomposition

Cite this

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title = "Heat and Electricity Market Coordination: A Scalable Complementarity Approach",
abstract = "The large penetration of stochastic and non-dispatchable renewable energy sources increases the need for operational flexibility in power systems. Flexibility can be unlocked by aligning the existing interactions and synergies between heat and power systems. However, in the current sequential order of heat and electricity market clearings, the heat market is myopic to its interactions with the electricity market. This paper designs a heat market, aimed at achieving the optimalcoordination of heat and power systems while respecting the current market regulations. The proposed electricity-aware heat market yields a soft coordination between heat and power systems by endogenously modeling their interactions in the day-ahead heat market clearing. The proposed market framework requires to solve a hierarchical optimization problem under uncertainty, which can be computationally challenging in large-scale energy systems with many scenarios. To resolve this potential scalability issue, this paper develops an augmented regularized Benders decomposition algorithm. The performance of the proposed market framework is compared against the fully integrated and sequential market frameworks using an ex-post out-of-sample simulation. This comparison reveals that there is a significant room for improvement in the cost-effective operation of the overall energy system. In particular, the proposed electricity-aware heat market framework provides a trade-off between the sequential and fully integrated market frameworks by significantly reducing the inefficiencies in both heat and electricity systems while respecting the current sequence of clearing heat and electricity markets.",
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author = "Mitridati, {Lesia Marie-Jeanne Mariane} and Jalal Kazempour and Pierre Pinson",
year = "2019",
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language = "English",
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Heat and Electricity Market Coordination: A Scalable Complementarity Approach. / Mitridati, Lesia Marie-Jeanne Mariane; Kazempour, Jalal; Pinson, Pierre.

In: European Journal of Operational Research, 2019.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

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AU - Mitridati, Lesia Marie-Jeanne Mariane

AU - Kazempour, Jalal

AU - Pinson, Pierre

PY - 2019

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N2 - The large penetration of stochastic and non-dispatchable renewable energy sources increases the need for operational flexibility in power systems. Flexibility can be unlocked by aligning the existing interactions and synergies between heat and power systems. However, in the current sequential order of heat and electricity market clearings, the heat market is myopic to its interactions with the electricity market. This paper designs a heat market, aimed at achieving the optimalcoordination of heat and power systems while respecting the current market regulations. The proposed electricity-aware heat market yields a soft coordination between heat and power systems by endogenously modeling their interactions in the day-ahead heat market clearing. The proposed market framework requires to solve a hierarchical optimization problem under uncertainty, which can be computationally challenging in large-scale energy systems with many scenarios. To resolve this potential scalability issue, this paper develops an augmented regularized Benders decomposition algorithm. The performance of the proposed market framework is compared against the fully integrated and sequential market frameworks using an ex-post out-of-sample simulation. This comparison reveals that there is a significant room for improvement in the cost-effective operation of the overall energy system. In particular, the proposed electricity-aware heat market framework provides a trade-off between the sequential and fully integrated market frameworks by significantly reducing the inefficiencies in both heat and electricity systems while respecting the current sequence of clearing heat and electricity markets.

AB - The large penetration of stochastic and non-dispatchable renewable energy sources increases the need for operational flexibility in power systems. Flexibility can be unlocked by aligning the existing interactions and synergies between heat and power systems. However, in the current sequential order of heat and electricity market clearings, the heat market is myopic to its interactions with the electricity market. This paper designs a heat market, aimed at achieving the optimalcoordination of heat and power systems while respecting the current market regulations. The proposed electricity-aware heat market yields a soft coordination between heat and power systems by endogenously modeling their interactions in the day-ahead heat market clearing. The proposed market framework requires to solve a hierarchical optimization problem under uncertainty, which can be computationally challenging in large-scale energy systems with many scenarios. To resolve this potential scalability issue, this paper develops an augmented regularized Benders decomposition algorithm. The performance of the proposed market framework is compared against the fully integrated and sequential market frameworks using an ex-post out-of-sample simulation. This comparison reveals that there is a significant room for improvement in the cost-effective operation of the overall energy system. In particular, the proposed electricity-aware heat market framework provides a trade-off between the sequential and fully integrated market frameworks by significantly reducing the inefficiencies in both heat and electricity systems while respecting the current sequence of clearing heat and electricity markets.

KW - OR in energy

KW - Integrated energy system

KW - Stochastic programming

KW - Hierarchical optimization

KW - Regularized Benders decomposition

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