Unit Commitment, jdm@[Link].

edu

1.0 Introduction

The problem of unit commitment (UC) is to decide which units to

interconnect over the next T hours, where T is commonly 24 or 48
hours, although it is reasonable to solve UC for a week at a time.
The problem is complicated by the presence of inter-temporal
constraints, i.e., what you do in one period constrains what you can
do in the next period. The problem is also complicated because it
involves integer decision variables, i.e., a unit is either committed
(1) or not (0).

The UC problem forms the basis of today’s day-ahead markets

(DAMs). Most ISOs today are running so-called security-
constrained unit commitment (SCUC) 24 hours ahead of the real-
time (balancing) market.

If one has a very good solution method to solve the UC problem (or
the SCUC problem), then the good solutions that come will save a
lot of money relative to using a not-so-good solution method.
Regardless of the solution method, however, the solutions may not
save much money if the forecast of the demand that needs to be met
contains significant error. Having a “perfect” solution for a
particular demand forecast is not very valuable if the demand
forecast is very wrong. Therefore demand forecasting is very
important for solving the UC. Systems that are expecting high wind
energy penetrations are concerned about this fact, since high wind
penetration increases demand forecast uncertainty (the demand that
the thermal units must meet is load-wind). This is why so much
attention is being paid to improving wind power forecasting. It is
also why so much attention is being paid to creating UC models and
solvers that handle uncertainty.

1
We begin these notes by providing an explicit problem statement, in
words, in Section 2.0, and Section 3.0 provides an analytic problem
statement. Section 4.0 provides an overview of several good
industry papers (which are posted on the website). Section 5.0
provides some illustrations.

2.0 Problem statement

The unit commitment problem is solved over a particular time

period T; in the day-ahead market, the time period is usually 24
hours. It is articulated in [10], in words, as follows:

1. Min Objective=UnitEnergyCost+StartupCost+ShutdownCost
+DemandBidCost

Subject to:
2. Area Constraints:
a. Demand + Net Interchange
b. Spinning and Operating Reserves
3. Zonal Constraints:
a. Spinning and Operating Reserves
4. Security Constraints
5. Unit Constraints:
a. Minimum and Maximum Generation limits
b. Reserve limits
c. Minimum Up/Down times
d. Hours up/down at start of study
e. Must run schedules
f. Pre-scheduled generation schedules
g. Ramp Rates
h. Hot, Intermediate, & Cold startup costs
i. Maximum starts per day and per week
j. Maximum Energy per day and per study length

2
We describe the objective function and the various constraints in
what follows.

2.1 Objective function

a. UnitEnergyCost: This is the total costs of supply over T, based on
the supply offers made, in $/MWhr.
b. StartupCost: This is the total cost of starting units over T, based
on the startup costs
c. ShutdownCost: This is the total cost of shutting down units over
T, based on the shutdown costs.
d. DemandBidCost: This is the total “cost” of demand over T, based
on the demand bids made, in $/MWhr. Revenue demand bids are
added as negative costs so that by minimizing the objective the
profit is maximized.

2.2 Area constraints

a. Demand + Net Interchange: The area demand plus the exports
from the area (which could be negative, or imports).
b. Spinning and Operating Reserves: The spinning reserve is the
amount of generation capacity Σ(Pgmax,k-Pgen,k) in MW that is on-line
and available to produce energy within 10 minutes. Operating
reserve is a broader term: the amounts of generating capacity
scheduled to be available for specified periods of an Operating Day
to ensure the security of the control area. Generally, operating
reserve includes primary (which includes spinning) and secondary
reserve, as shown in Fig. 1.

3
 Fig. 1 [1]

2.3 Zonal constraints

Some regions within the control area, called zones, may also have
spinning and operating reserve constraints, particularly if
transmission interconnecting that region with the rest of the system
is constrained.

2.4 Security constraints

These include constraints on branch flows under the no-contingency

condition and also constraints on branch flows under a specified set
of contingency conditions. The set is normally a subset of all N-1
contingencies.

2.5 Unit constraints

a. Minimum and Maximum Generation limits: Self explanatory.
b. Reserve limits: The spinning, primary, and/or secondary reserves
must exceed some value, or some percentage of the load.
c. Minimum Up/Down times: Units that are committed must remain
committed for a minimum amount of time. Likewise, units that are

4
de-committed must remain down for a minimum amount of time.
These constraints are due to the fact that thermal units can undergo
only gradual temperature changes.
d. Hours up/down at start of study: The problem must begin at some
initial time period, and it will necessarily be the case that all of the
units will have been either up or down for some number of hours at
that initial time period. These hours need to be accounted for to
ensure no unit is switched in violation of its minimum up/down
times constraint.
e. Must run schedules: There are some units that are required to run
at certain times of the day. Such requirements are most often driven
by network security issues, e.g., a unit may be required in order to
supply the reactive needs of the network to avoid voltage instability
in case of a contingency, but other factors can be involved, e.g.,
steam supply requirements of co-generation plants.
f. Pre-scheduled generation schedules: There are some units that are
required to generate certain amounts at certain times of the day. The
simplest example of this is nuclear plants which are usually required
to generate at full load all day. Import, export, and wheel
transactions may also be modeled this way.
g. Ramp Rates: The rate at which a unit may increase or decrease
generation is limited, therefore the generation level in one period is
constrained to the generation level of the previous period plus the
generation change achievable by the ramp rate over the amount of
time in the period.
h. Hot, Intermediate, & Cold startup costs: A certain amount of
energy must be used to bring a thermal plant on-line, and that
amount of energy depends on the existing state of the unit. Possible
states are: hot, intermediate, and cold. Although it costs less to start
a hot unit, it is more expensive to maintain a unit in the hot state.
Likewise, although it costs more to start a cold unit, it is less
expensive to maintain a unit in the cold state. Whether a de-
committed unit should be maintained in the hot, intermediate, or
cold state, depends on the amount of time it will be off-line.

5
i. Maximum starts per day and per week: Starting a unit requires
people. Depending on the number of people and the number of units
at a plant, the number of times a particular unit may be started in a
day, and/or in a week, is usually limited.
j. Maximum Energy per day and per study length: The amount of
energy produced by a thermal plant over a day, or over a certain
study time T, may be less than Pmax×T, due to limitations of other
facilities in the plant besides the electric generator, e.g., the coal
processing facilities. The amount of energy produced by a reservoir
hydro plant over a time period may be similarly constrained due to
the availability of water.

3.0 The UC problem (analytic statement)

The unit commitment problem is a mathematical program

characterized by the following basic features.
 Dynamic: It obtains decisions for a sequence of time periods.
 Inter-temporal constraints: What happens in one time period
affects what happens in another time period. So we may not solve
each time period independent of solutions in other time periods.
 Mixed Integer: Decision variables are of two kinds:
o Integer variables: For example, we must decide whether a unit
will be up (1) or down (0). This is actually a special type of
integer variable in that it is binary.
o Continuous variables: For example, given a unit is up, we must
decide what its generation level should be. This variable may
be any number between the minimum and maximum
generation levels for the unit.

There are many papers that have articulated an analytical statement

of the unit commitment problem, more recent ones include [7, 8, 2,
3], but there are also more dated efforts that pose the problem well,
although the solution method is not as effective as what we have
today, an example is [4].

6
We provide a mathematical model of the security-constrained unit
commitment problem in what follows. This model was adapted from
the one given in [5, ch 1]. This model is a mixed integer linear
program.

min  zit Fit   gitCit   yit Sit   xit H it

t 
 i t 
 i  t 
 i 
t 
i 
Fixed Costs ProductionCosts StartupCosts ShutdownCosts
(1)
subject to
power balance  git  Dt   dit  t, (2)
i i

reserve  rit  SDt  t, (3)

i
min generation git  zit MINi  i, t , (4)
max generation git  rit  zit MAX i  i, t , (5)
max spinning reserve rit  zit MAXSPi  i, t , (6)
ramp rate pos limit git  git 1  MxInci  i, t , (7)
ramp rate neg limit git  git 1  MxDeci  i, t , (8)
start if off-then-on zit  zit 1  yit  i, t , (9)
shut if on-then-off zit  zit 1  xit  i, t , (10)
normal line flow limit  aki ( git  dit )  MxFlowk  k , t, (11)
i

security line flow limits  aki( j ) ( git  dit )  MxFlowk( j )  k , j, t , (12)

i

where the decision variables are:

 git is the MW produced by generator i in period t,
 rit is the MW of spinning reserves from generator i in period t,
 zit is 1 if generator i is dispatched during t, 0 otherwise,
 yit is 1 if generator i starts at beginning of period t, 0 otherwise,
 xit is 1 if generator i shuts at beginning of period t, 0 otherwise,

Other parameters are

 Dt is the total demand in period t,
 SDt is the spinning reserve required in period t,
 Fit is fixed cost ($/period) of operating generator i in period t,

7
 Cit is prod. cost ($/MW/period) of operating gen i in period t;
 Sit is startup cost ($) of starting gen i in period t.
 Hit is shutdown cost ($) of shutting gen i in period t.
 MxInci is max ramprate (MW/period) for increasing gen i output
 MxDeci is max ramprate (MW/period) for decreasing gen i output
 aij is linearized coefficient relating bus i injection to line k flow
 MxFlowk is the maximum MW flow on line k
 aki is linearized coefficient relating bus i injection to line k flow
( j)

under contingency j,
 MxFlowk is the maximum MW flow on line k under contingency j
( j)

The above problem statement is identical to the one given in [5]

with the exception that here, we have added eqs. (11) and (12).
The addition of eq. (11) alone provides that this problem is a
transmission-constrained unit commitment problem.
 The addition of eqs. (11) and (12) together provides that this
problem is a security-constrained unit commitment problem.

One should note that our problem is entirely linear in the decision
variables. Therefore this problem is a linear mixed integer program,
and it can be compactly written as
min cT x
Subject to
Ax  b
There have four basic solution methods used in the past few years:
 Priority list methods
 Dynamic programming
 Lagrangian relaxation
 Branch and bound
The last method, branch and bound, is what the industry means
when it says “MIP.” It is useful to understand that the chosen
method can have very large financial implications. This point is
well-made in the chart [6] of Fig. 2.

8
 Fig. 2

4.0 UC and Day-ahead market

The main tool used to implement the day-ahead-markets (DAM) is

the security-constrained unit commitment program, or SCUC. In this
section, we review some basics about the DAM by looking at some
descriptions given by a few industry authors. You are encouraged to
review the papers from which these quotes were taken. Notice that
any references made inside the quotations are given only in the
bibliography of the subject paper and not in the bibliography of
these notes. References made outside of the quotations are given in
the bibliography of these notes.

4.1 Paper by Chow & De Mello:

Reference [7] offers an overall view of the sequence of functions
used by an ISO, as given in Fig. 3. Observe that the “day-ahead

9
scheduling” and the “real time commitment and dispatch” both
utilize the SCUC.

Fig. 3

They state:
“Electricity is a commodity that cannot be effectively stored and the
energy-supplying generators have limits on how quickly they can be
started and ramped up or down. As a result, both the supply and
demand become more inelastic and the electricity market becomes
more volatile and vulnerable as it gets closer to real time [34]. To
achieve a stable margin as well as to maintain the system reliability,
a forward market is needed to provide buyers and sellers the
opportunity to lock in energy prices and quantities and the ISO to
secure adequate resources to meet predicted energy demand well in
advance of real time. Thus architecturally, many ISOs (e.g. PJM,
ISO New England, New York ISO) take a multisettlement approach
for market design….”

“The two main energy markets, each producing a financial

settlement, in a multisettlement system, are the following.
1) DAM: schedules resources and determines the LMPs for the 24 h
of the following day based on offers to sell and bids to purchase
energy from the market participants.
2) Real-time market: optimizes the clearing of bids for energy so
that the real-time system load matching and reliability requirements
are satisfied based on actual system operations. LMPs are computed
for settlement at shorter intervals, such as 5–10 min….”

10
“Fig. 6 shows the timeline of the multiple-settlement systems used
in NYISO, PJM, and ISO-NE, which are typical of those used in
practice. Supply and demand bids are submitted for the DAM,
typically 12–24 h ahead of the real-time operation. Then the day-
ahead energy prices are computed and posted, 6–12 h ahead of real-
time operation….”

“The DAM typically consists of supply and demand bids on an

hourly basis, usually from midnight to the following midnight. The
supply bids include generation supply offers with start-up and no-
load costs, incremental and decremental bids1, and external
transactions schedules. The demand bids are submitted by loads
individually or collectively through load-serving entities. In
scheduling the supply to meet the demand, all the operating
constraints such as transmission network constraints, reserve
requirements, and external transmission limits must not be violated.
This process is commonly referred to as an SCUC problem, which is
to determine hourly commitment schedules with the objective of
minimizing the total cost of energy, start-up, and spinning at no-load
while observing transmission constraints and physical resources’
minimum runtime, minimum downtime, equipment ramp rates, and
energy limits of energy-constrained resources. Based on the
commitment schedules for physical resources, SCUC is used to clear
energy supply offers, demand bids, and transaction schedules, and to
determine LMPs and their components at all defined price nodes
including the hubs, zones, and aggregated price nodes for the DAM
settlement. The SCUC problem is usually optimized using a
Lagrangian relaxation (LR) or a mixed-integer programming (MIP)
solver….”

1
Decremental bids are similar to price-sensitive demand bids. They allow a marketer or other similar entity without physical demand to
place a bid to purchase a certain quantity of energy at a certain location if the day-ahead price is at or below a certain price. Incremental
offers are the flip side of decremental bids. Usually, a decremental bid is a fee paid by suppliers to the ISO when it no longer requires the
full amount of energy previously contracted for, due to congestion. The ISO must purchase electricity elsewhere to make up the shortfall,
and the generator reimburses the ISO. A bilateral generator with a decremental bid is saying: "Schedule me as a bilateral, must-run plant
unless the spot price falls to (or below) my bid. In that event, don’t schedule me as must run; I will supply my bilateral load from the spot
market."

11
“A critical part of the DAM is the bid-in loads, which is a day-ahead
forecast of the real-time load. The load estimate depends on the
season, day type (weekday, weekend, holiday), and hour of the day.
Most ISOs have sophisticated load forecasting programs, some with
neural network components [36], [37], to predict the day-ahead load
to within 3%–5% accuracy and the load forecasts are posted. LSEs
with fully hedged loads through long-term bilateral contracts tend to
bid in the amount corresponding to the ISO predicted loads. Some
other LSEs may bid in loads that are different from those posted by
the ISO. In such cases, if the LSE bid load exceeds the ISO load, the
LSE bid load is taken as the load to be dispatched. Otherwise, the
ISO load will supersede the LSE bid load and the SCUC will
commit generators to supply the ISO forecasted load in a reliability
stage. Then the generation levels of the committed generators will
be allocated to supply LSE bid loads. Committing extra generators
outside the DAM will be treated as uplifts and be paid by the
LSEs….”

4.2 Paper by Papalexopoulos:

Reference [8] states:
“The Must Offer Waiver (MOW) process is basically a process of
determining which Must Offer units should be committed in order to
have enough additional capacity to meet the system energy net short
which is the difference between the forecast system load and the
Day-Ahead Market energy schedules. This commitment process
ensures that the resulting unit schedule is feasible with respect to
network and system resource constraints. Mathematically, this can
be stated as a type of a SCUC problem [3]. The objective is to
minimize the total start up and minimum load costs of the
committed units while satisfying the power balance constraint, the
transmission interface constraints, and the system resource
constraints, including unit inter-temporal constraints….”

12
“The most popular algorithms for the solutions of the unit
commitment problems are Priority-List schemes [4], Dynamic
Programming [5], and Mixed Integer Linear Programming [6].
Among these approaches the MILP technique has achieved
significant progress in the recent years [7]. The MILP methodology
has been applied to the SCUC formulation to solve this MOW
problem. Recent developments in the implementation of MILP-
based algorithms and careful attention to the specific problem
formulation have made it possible to meet accuracy and
performance requirements for solving such large scale problems in a
practical competitive energy market environment. In this section the
MILP-based SCUC formulation is presented in detail….”

4.3 Paper by Ott:

Reference [9] states:

“In addition to the LMP concept, the fundamental design objectives
of the PJM day-ahead energy market are: 1) to provide a mechanism
in which all participants have the opportunity to lock in day-ahead
financial schedules for energy and transmission; 2) to coordinate the
day-ahead financial schedules with system reliability requirements;
3) to provide incentive for resources and demand to submit day-
ahead schedules; and 4) to provide incentive for resources to follow
real-time dispatch instructions….”

4.4 Paper by AREVA and PJM:

Reference [10] states:

“As the operator of the world’s largest wholesale market for
electricity, PJM must ensure that market-priced electricity flows
reliably, securely and cost-effectively from more than 1100
Generating resources to serve a peak load in excess of 100,000 MW.
In doing so, PJM must balance the market’s needs with thousands of
reliability-based constraints and conditions before it can schedule

13
and commit units to generate power the next day. The PJM market
design is based on the Two Settlement concept [4]. The Two-
Settlement System provides a Day-ahead forward market and a real-
time balancing market for use by PJM market participants to
schedule energy purchases, energy sales and bilateral contracts. Unit
commitment software is used to perform optimal resource
scheduling in both the Day-ahead market and in the subsequent
Reliability Analysis….”

“As the market was projected to more than double its original size,
PJM identified the need to develop a more robust approach for
solving the unit commitment problem. The LR algorithm was
adequate for the original market size, but as the market size
increased, PJM desired an approach that had more flexibility in
modeling transmission constraints. In addition, PJM has seen an
increasing need to model Combined-cycle plant operation more
accurately. While these enhancements present a challenge to the LR
formulation, the use of a MIP formulation provides much more
flexibility. For these reasons, PJM began discussion with its
software vendors, in late 2002, concerning the need to develop a
production grade MIP-based approach for large-scale unit
commitment problems….”

“The Day-ahead market clearing problem includes next-day

generation offers, demand bids, virtual bids and offers, and bilateral
transactions schedules. The objective of the problem is to minimize
costs subject to system constraints. The Day-ahead market is a
financial market that provides participants an operating plan with
known compensation: If their generation (or load) is the same in the
real-time market, their revenue (or cost) is the same. Compensation
for any real-time deviations is based on real-time prices, providing
participants with opportunities to improve profit (or reduce cost) if
they have flexibility to adjust their schedules….”

14
“In both problems, unit commitment accepts data that define bids
(e.g., generator constraints, generator costs, and costs for other
resources) and the physical system (e.g., load forecast, reserve
requirements, security constraints). In real time, the limited
responsiveness of units and additional physical data (e.g., state
estimator solution, net-interchange forecast) further constrains the
unit commitment problem.”

“The Unit Commitment problem is a large-scale non-linear mixed

integer programming problem. Integer variables are required for
modeling: 1) Generator hourly On/Off-line status, 2) generator
Startups/Shutdowns, 3) conditional startup costs (hot, intermediate
& cold). Due to the large number of integer variables in this
problem, it has long been viewed as an intractable optimization
problem. Most existing solution methods make use of simplifying
assumptions to reduce the dimensionality of the problem and the
number of combinations that need to be evaluated. Examples
include priority-based methods, decomposition schemes (LR) and
stochastic (genetic) methods. While many of these schemes have
worked well in the past, there is an increasing need to solve larger
(RTO-size) problems with more complex (e.g. security) constraints,
to a greater degree of accuracy. Over the last several years, the
number of units being scheduled by RTOs has increased
dramatically. PJM started with about 500 units a few years ago, and
is now clearing over 1100 each day. MISO cases will be larger
still….”

“The classical MIP implementation utilizes a Branch and Bound

scheme. This method attempts to perform an implicit enumeration of
all combinations of integer variables to locate the optimal solution.
In theory, the MIP is the only method that can make this claim. It
can, in fact, solve non-convex problems with multiple local minima.
Since the MIP methods utilize multiple Linear Programming (LP)
executions, they have benefited from recent advances in both
computer hardware and software [6]…”

15
“This section presents results from using the CPLEX 7.1 and
CPLEX 9.0 MIP solvers on a large-scale RTO Day Ahead Unit
Commitment problem. This problem has 593 units and a 48 hour
time horizon….”

The below reference provides a brief description of the Midwest

ISO’s current implementation:
M. Tackett, “Experience with implementing simultaneous co-optimization in the
midwest ISO energy and operating reserve markets,” Power Systems Conference
and Exposition, 2009. PSCE '09. IEEE/PES.
“The Midwest ISO will operate a Day-Ahead Energy and Operating
Market, a Reliability Assessment Commitment process and a Real-Time
Energy and Operating Reserve Market.
 The Day-Ahead Energy and Operating Reserve Market is a
financially binding market that clears energy, regulating reserve,
spinning reserve and supplemental reserve on an hourly basis.
 The Reliability Assessment Commitment (RAC) process is a process
to commit resources, schedule regulating reserve on committed
Three
resources and/or release emergency operating ranges on resources functions:
when appropriate on an hourly basis for use in the Real-Time Energy -DAM/ORM
and Operating Reserve Market. The RAC process can be executed on -RAC
a multi-day, day-ahead and/or intra-day basis. -RTM/ORM

 The Real-Time Energy and Operating Reserve Market is a financially

and physically binding market that clears energy, regulating reserve,
spinning reserve and supplemental reserve on a five-minute basis.
The Midwest ISO will utilize a simultaneously co-optimized Security
Constrained Unit Commitment (SCUC) algorithm and a simultaneously
co-optimized Security Constrained Economic Dispatch (SCED)
algorithm to operate the Day-Ahead Energy and Operating Reserve
Market. The simultaneously co-optimized SCUC algorithm is used in the
Day-Ahead Energy and Operating Reserve Market to commit resources, DAM/ORM
schedule regulating reserves on committed resources and/or release require SCUC
emergency operating ranges on resources in the Day-Ahead Energy and
Operating Reserve Market. The simultaneously co-optimized SCED
DAM/ORM
algorithm is used in the Day-Ahead Energy and Operating Reserve require SCED
Market to clear and price energy, regulating reserve, spinning reserve for hourly.

16
and supplemental reserve on an hourly basis. Demand curves are utilized
to price Energy and Operating Reserve during times of scarcity.
The Midwest ISO will utilize a simultaneously co-optimized RAC requires
Security Constrained Unit Commitment (SCUC) algorithm to implement SCUC.
the RAC process and a simultaneously co-optimized Security
Constrained Economic Dispatch (SCED) algorithm to operate the Real- RTM/ORM
Time Energy and Operating Reserve Market. The simultaneously requires
cooptimized SCUC algorithm is used in the RAC process to commit SCED.
resources, schedule regulating reserves on committed resources and/or
release emergency operating ranges on resources for the Real-Time
Energy and Operating Reserve Market. The simultaneously co-optimized
SCED algorithm is used in the Real-Time Energy and Operating Reserve
Market to dispatch and price energy, regulating reserve, spinning reserve
and supplemental reserve on a five-minute basis. Demand curves are
utilized to price Energy and Operating Reserve during times of scarcity.
The SCUC algorithms used in the Day-Ahead Energy and
Operating Reserve Market and the RAC process incorporate Mixed
Integer Programming (MIP) solvers to commit resources, schedule
regulating reserve on resources and release emergency operating ranges
on resources (minimum or maximum) when inadequate capacity exists to
meeting energy demand plus operating reserve requirements. The SCED
algorithms used in the Day-Ahead Energy and Operating Reserve
Market and the Real-Time Energy and Operating Reserve Market use
Linear Programming (LP) solvers to clear and price energy, regulating
reserve, spinning reserve and supplemental reserve in a manner that
minimizes production costs.
In both the Day-Ahead and Real-Time Energy and Operating
Reserve Markets, reserve requirement constraints are modeled against
cumulative reserve requirements to ensure operating reserve pricing is
consistent with operating reserve priority for each of the three operating
reserve products. Reserve Zones are also utilized to ensure dispersion of
operating reserve throughout the market in a manner that allows for
deliverability and good utility practice. Reserve zones are established
quarterly and reserve zone requirements are updated daily based on the
results of off-line studies.”

17
Some good description of the Midwest ISO’s reliability assessment
commitment (RAC) is found in the below paper:
Xingwang Ma, Yonghong Chen, Jie Wan, “Midwest ISO Co-Optimization Based
Real-Time Dispatch And Pricing of Energy and Ancillary Services,” 2009.

“Real-time grid reliability is at the center of Midwest ISO’s cooptimized

energy and AS design. While resource schedules are cleared as RAC links
DAM to real-
financially, not physically binding, the day-ahead market is critically time
linked to real-time operation through the reliability assessment operations.
commitment (RAC) and the two-settlement mechanism that guarantees
resource adequacy for reliability and enables participants to arbitrage
price differences between dayahead and real-time markets respectively.
The DA market cleared financially binding resource schedules form the
basis for the DA RAC by which sufficient resources are committed using
the security-constrained unit commitment (SCUC) to meet Midwest
ISO’s demand forecasts and AS requirements subject to transmission
RAC is used to
limits. The DA RAC resource commitment schedules make the operating update the DA-
plan for the next day. During the operating day, more accurate schedules as
information about demand forecasts, net scheduled interchanges (NSI) new info
and transmission limitations is available; the RAC algorithm may be becomes
available.
executed several times during the operating day, called intra-day (ID)
RAC process, to further update the operating plan. The intra-day
operating plan updates allow Midwest ISO operations to prepare
sufficient resources at the right locations to manage load-generation-NSI
balances and transmission congestions under normal and emergency
conditions. With this integrated market-driven scheduling process,
Midwest ISO uses the security-constrained economic dispatch (SCED) to
achieve real-time reliable grid operation at the lowest costs. Energy
deliveries and AS dispatches are priced based on actual system
conditions after the fact.”

18
5.0 Illustrations by MIP

Here, we provide some data to use in solving our UC problem.

We illustrate using an example that utilizes the same system we
have been using in our previous notes, where we had 3 generator
buses in a 4 bus network supplying load at 2 different buses, but this
time we will model each generator with the ability to submit 3
offers.
g2
g1

1 2

y12 =-j10
y14 =-j10
y13 =-j10 Pd2 y23 =-j10

y34 =-j10
4 3

g4 Pd3

Fig. 4: One line diagram for example system

The offers, in terms of fixed costs, production costs, and

corresponding min and max generation limits are as follows

Production costs (in $/pu-hr):

Unit, Fixed Startup Shutdown Production Costs ($/pu-hr)
k costs Costs Costs ($) gk1t gk2t gk4t
($/hr) ($)
1 50 100 20 1246 1307 1358
2 50 100 20 1129 1211 1282
4 50 100 20 1183 1254 1320

Notice that for each unit, the offers increase with generation, i.e.,
gk1t<gk2t<gk3t. This prevents use of a higher generation level before a
lower generation level. It also says that our offer function is convex.

The constraints on the offers are given below.

19
 0  g11t  0.50
0  g  0.60
   12t   
0  g13t  0.40
     
g
0  21t  0.35
0   g 22t   0.60, t
     
0  g 23t  0.20
0  g  0.45
   41t   
0  g 42t  0.50
0  g  0.40
   43t   
The UC problem is for a 24 hour period, with loading data given as
below. Figure 5, the load curve, illustrates variation of load with
time over the 24 hour period.

20
 Hour, t Load, Dt (pu)
1 1.50
2 1.40
3 1.30
4 1.40
5 1.70
6 2.00
7 2.40
8 2.80
9 3.20
10 3.30
11 3.30
12 3.20
13 3.20
14 3.30
15 3.35
16 3.40
17 3.30
18 3.30
19 3.20 Notice between the hours of
20 2.80 t=20 and t=21 that the load
drops 0.5 pu. We must have
21 2.30 the reserves available to
22 2.00 handle such a drop!
23 1.70
24 1.60
One Day Load variation

400
350
300
Load (MW)

250
200 Series1
150
100
50
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Time (hr)

Fig. 5: Load curve

21
 5.1 Example – 4 hours
For this solution, we will only include startup and shutdown
constraints. In order to illustrate all data entered, we will analyze
only the first four hours. The CPLEX code to do this is given below.
minimize
50 z11 +50 z12 + 50 z13 + 50 z14
+50 z21 +50 z22 + 50 z23 +50 z24 Fixed costs.
+50 z41 +50 z42 + 50 z43 +50 z44
+1246 g111 + 1307 g121 + 1358 g131
+1129 g211 + 1211 g221 + 1282 g231
+1183 g411 + 1254 g421 + 1320 g431
+1246 g112 + 1307 g122 + 1358 g132
+1129 g212 + 1211 g222 + 1282 g232
+1183 g412 + 1254 g422 + 1320 g432 Production costs.
+1246 g113 + 1307 g123 + 1358 g133
+1129 g213 + 1211 g223 + 1282 g233
+1183 g413 + 1254 g423 + 1320 g433
+1246 g114 + 1307 g124 + 1358 g134
+1129 g214 + 1211 g224 + 1282 g234
+1183 g414 + 1254 g424 + 1320 g434
+100 y12 + 100 y13 +100 y14
+100 y22 + 100 y23 +100 y24
+100 y42 + 100 y43 +100 y44 Startup costs.
+20 x12 + 20 x13 +20 x14
+20 x22 + 20 x23 + 20 x24
+20 x42 + 20 x43 +20 x44 Shutdown costs.
subject to
loadhr1: g111+g121+g131+g211+g221+g231+g411+g421+g431=1.5
loadhr2: g112+g122+g132+g212+g222+g232+g412+g422+g432=1.4
loadhr3: g113+g123+g133+g213+g223+g233+g413+g423+g433=1.3 Power balance constraint for each hour.
loadhr4: g114+g124+g134+g214+g224+g234+g414+g424+g434=1.4
initialu1: z11=0
initialu2: z21=1 Initial conditions
initialu4: z41=1
starthr21u1: z12-z11-y12<=0
starthr32u1: z13-z12-y13<=0
starthr43u1: z14-z13-y14<=0
Constraints associated with starting. For example, 12z ≤z +y 11 12,
starthr21u2: z22-z21-y22<=0
starthr32u2: z23-z22-y23<=0 z ≤z
or more generally, kt +y
k,t-1 kt, which says
starthr43u2: z24-z23-y24<=0
starthr21u4: z42-z41-y42<=0
starthr32u4: z43-z42-y43<=0
Status of unit k in time t ≤status of unit k in time t-1+start flag in time t
starthr43u4: z44-z43-y44<=0
shuthr21u1: z12-z11+x12>=0
shuthr32u1: z13-z12+x13>=0
shuthr43u1: z14-z13+x14>=0 Constraints associated with shutting. For example, 12 z ≥z -x 11 12,
shuthr21u2: z22-z21+x22>=0
shuthr32u2: z23-z22+x23>=0 z ≥z
or more generally, kt -x
k,t-1 kt, which says
shuthr43u2: z24-z23+x24>=0
shuthr21u4: z42-z41+x42>=0
shuthr32u4: z43-z42+x43>=0 Status of unit k in time t ≥status of unit k in time t-1-shut flag in time t
shuthr43u4: z44-z43+x44>=0

22
g111 - 0.5 z11<= 0
g112 - 0.5 z12<= 0 Constraints relating generation values for unit 1 in time period t to on-off status
g113 - 0.5 z13<= 0 of unit 1 in time period t.
g114 - 0.5 z14<= 0
g121 - 0.6 z11<= 0  If z1t=0, then generation value g1jt must also be zero.
g122 - 0.6 z12<= 0  If z1t=1, then generation value g1jt must be ≤ maximum value for the offer.
g123 - 0.6 z13<= 0
g124 - 0.6 z14<= 0
g131 - 0.4 z11<= 0
g132 - 0.4 z12<= 0
g133 - 0.4 z13<= 0
g134 - 0.4 z14<= 0

g211 - 0.35 z21<= 0

g212 - 0.35 z22<= 0
g213 - 0.35 z23<= 0 Constraints relating generation values for unit 2 in time period t to on-off status
g214 - 0.35 z24<= 0 of unit 2 in time period t.
g221 - 0.6 z21<= 0
g222 - 0.6 z22<= 0
 If z1t=0, then generation value g2jt must also be zero.
g223 - 0.6 z23<= 0  If z1t=1, then generation value g2jt must be ≤ maximum value for the offer.
g224 - 0.6 z24<= 0
g231 - 0.2 z21<= 0
g232 - 0.2 z22<= 0
g233 - 0.2 z23<= 0
g234 - 0.2 z24<= 0

g411 - 0.45 z41<= 0

g412 - 0.45 z42<= 0 Constraints relating generation values for unit 3 in time period t to on-off status
g413 - 0.45 z43<= 0
g414 - 0.45 z44<= 0
of unit 4 in time period t.
g421 - 0.5 z41<= 0  If z1t=0, then generation value g4jt must also be zero.
g422 - 0.5 z42<= 0  If z1t=1, then generation value g4jt must be ≤ maximum value for the offer.
g423 - 0.5 z43<= 0
g424 - 0.5 z44<= 0
g431 - 0.4 z41<= 0
g432 - 0.4 z42<= 0
g433 - 0.4 z43<= 0
g434 - 0.4 z44<= 0

23
Bounds
0<= g111
0<= g112
0<= g113
0<= g114
0<= g121
0<= g122
0<= g123
0<= g124
0<= g131
0<= g132
0<= g133
0<= g134

0<= g211
0<= g212
0<= g213
0<= g214
0<= g221
0<= g222
0<= g223
0<= g224
0<= g231
0<= g232
0<= g233
0<= g234

0<= g411
0<= g412
0<= g413
0<= g414
0<= g421
0<= g422
0<= g423
0<= g424
0<= g431
0<= g432
0<= g433
0<= g434
Integer
z11 z12 z13 z14
z21 z22 z23 z24
z41 z42 z43 z44
y12 y13 y14
y22 y23 y24
y42 y43 y44
x12 x13 x14
x22 x23 x24
x42 x43 x44
end

24
Result: CPLEX gives an objective function value of 7020.7 $.

CPLEX> display solution variables -

Variable Name Solution Value
z21 1.000000
z22 1.000000
z23 1.000000
z24 1.000000
z41 1.000000
z42 1.000000
z43 1.000000
z44 1.000000
g211 0.350000
g221 0.600000
g411 0.450000
g421 0.100000 Offer 4,2 is the marginal unit in time period 1.
g212 0.350000
g222 0.600000 Offer 2,2 is the marginal unit in time period 2.
g412 0.450000
g213 0.350000
g223 0.500000 Offer 2,2 is the marginal unit in time period 3.
g413 0.450000
g214 0.350000
g224 0.600000 Offer 2,2 is the marginal unit in time period 4.
g414 0.450000
All other variables in the range 1-66 are 0.

Note that all y- and x-variables are zero, therefore there is no

starting up or shutting down.
One should check that the generation in each hour equals the
demand in that hour:
g211+g221+g411+g421=0.35+0.6+0.45+0.1=1.5
g212+g222+g412=0.35+0.6+0.45=1.4
g213+g223+g413=0.35+0.5+0.45=1.3
g214+g224+g414=0.35+0.6+0.45=1.4

25
This very simple solution was obtained as a result of the fact that the
initial solution of
initialu1: z11=0
initialu2: z21=1
initialu4: z41=1
was in fact the best one for the initial loading condition, and since
the loading condition hardly changed during the first four hours,
there was no reason to change any of the units.

Let’s try a different initial condition:

initialu1: z11=1
initialu2: z21=0
initialu4: z41=1

26
Result: CPLEX gives an objective function value of 7208.9 $.

CPLEX> display solution variables -

Variable Name Solution Value
z11 1.000000
z22 1.000000
z23 1.000000
z24 1.000000
z41 1.000000
z42 1.000000
z43 1.000000
z44 1.000000
g111 0.500000
g121 0.050000
g411 0.450000
g421 0.500000
g212 0.350000 What happened here relative to hour 1?
g222 0.600000
g412 0.450000
g213 0.350000 Now unit 2 backs off a bit.
What is the marginal unit?
g223 0.500000
g413 0.450000
g214 0.350000
g224 0.600000
g414 0.450000
y22 1.000000
x12 1.000000
All other variables in the range 1-66 are 0.
Why was this solution more expensive?

 Because we initialized the solution with more expensive units, to

get back to the less expensive solution, notice that the program
forces unit 2 to start up (y22=1) and unit 1 to shut down (x12=1) at
the beginning of period 2. Apparently, the additional cost of starting
unit 2 ($100) and shutting down unit 1 ($20) was less than the

27
savings associated with running the more efficient unit (unit 2) over
the remaining three hours of the simulation, and so the program
ordered starting of unit 2 and shutting down unit 1.

Let’s test our theory by increasing the startup costs of unit 2 from
$100 to $10,000. The objective function value in this case is
$7281.25 (higher than the last solution). The decision variables are:
Variable Name Solution Value
z11 1.000000
z12 1.000000
z13 1.000000
z14 1.000000
z41 1.000000
z42 1.000000
z43 1.000000
z44 1.000000
g111 0.500000
g121 0.050000
g411 0.450000
g421 0.500000
g112 0.500000
g412 0.450000
g422 0.450000
g113 0.500000
g413 0.450000
g423 0.350000
g114 0.500000
g414 0.450000
g424 0.450000
All other variables in the range 1-66 are 0.

We observe that unit 1 was on-line the entire four hours, i.e, there
was no switching, something we expected since the start-up cost of
unit 2 was so very high.

28
5.2 Example – 24 hours

We refrain from providing the data in this case because it is

extensive, having 426 variables:
72 z-variables
69 y-variables
69 x-variables
216 g-variables
Rather, we have posted the dataset on the web page under “UC24
Data."

The solution was initialized at

initialu1: z11=0
initialu2: z21=1
initialu4: z41=1
which is the most economic solution for this loading level.

The output is most easily analyzed by using

“display solution variables -”
and then searching the output variables for y-variables and/or x-
variables that are listed (and therefore 1). These variables indicate
changes in the unit commitment. In studying the load curve, what
kind of changes do you expect?
The result, objective value=$77667.3, shows that the only x and y
variables that are non-zero are y1,8 and x1,21. This means that the
changes in the unit commitment occur only for unit 1 and only at
hours 8 and 21. A pictorial representation of the unit commitment
through the 24 hour period is shown below.
One Day Load variation

400
350
300
Load (MW)

250
200
150
100
50
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Time (hr)

29
 Unit 1

1.2

0.8

Up or down
0.6 Unit 1

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Hour

Unit 2

1.2

0.8
Up or down

0.6 Unit 2

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Hour

Unit 3

1.2

0.8
Up or down

0.6 Unit 3

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Hour

To perform additional investigation, the load curve was modified as

shown below ([Link]). All other data remained as before. The
result, with objective function value of $?, shows that the only x and
y variables that are non-zero are y1,8, x1,20, and x4,24. A pictorial
representation of the UC through the 24 hour period is shown below.
One day load variation

400

350

300

250
load

200

150

100

50

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
hour

30
 Unit 1

1.2

0.8

0.6

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Unit 2

1.2

0.8

0.6

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Unit 3

1.2

0.8

0.6

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

In a last investigation, the load curve remained modified, and startup

costs were reduced to $10, shutdown costs reduced to $2. All other data
remained as before ([Link]). The result, with objective function value
of $66,867.95, shows that the only x and y variables that are non-0 are
y1,8, y1,12, y4,5, x1,11, x1,20, x4,2, x4,24. A pictorial representation of
the UC through the 24 hour period is shown below.

31
 One day load variation

400

350

300

250

load
200

150

100

50

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
hour

Unit 1

1.2

0.8

0.6

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Unit 2

1.2

0.8

0.6

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Unit 3

1.2

0.8

0.6

0.4

0.2

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

[1] “PJM Emergency Procedures,”

[Link]/etools/downloads/edart/edart-training-pres/edart-training-
[Link].

32
[2] H. Pinto, F. Magnago, S. Brignone, O. Alsaç, B. Stott, “Security
Constrained Unit Commitment: Network Modeling and Solution Issues,”
Proc. of the 2006 IEEE PES Power Systems Conference and Exposition, Oct.
29 2006-Nov. 1 2006, pp. 1759 – 1766.
[3] R. Chhetri, B. Venkatesh, E. Hill, “Security Constraints Unit Commitment
for a Multi-Regional Electricity Market,” Proc. of the 2006 Large Engineering
Systems Conference on Power Engineering, July 2006, pp. 47 – 52.
[4] J. Guy, “Security Constrained Unit Commitment,” IEEE Transactions on
Power Apparatus and Systems Vol. PAS-90, Issue 3, May 1971, pp. 1385-
1390.
[5] B. Hobbs, M. Rothkopf, R. O’Neill, and H. Chao, editors, “The Next
Generation of Electric Power Unit Commitment Models,” Kluwer, 2001.
[6] M. Rothleder, presentation to the Harvard Energy Policy Group, Dec 7,
2007.
[7] J. Chow, R. De Mello, K. Cheung, “Electricity Market Design: An
Integrated Approach to Reliability Assurance,” Proceedings of the IEEE, Vol.
93, No. 11, November 2005.
[8] Q. Zhou, D. Lamb, R. Frowd, E. Ledesma, A. Papalexopoulos,
“Minimizing Market Operation Costs Using A Security-Constrained Unit
Commitment Approach,” 2005 IEEE/PES Transmission and Distribution
Conference & Exhibition: Asia and Pacific Dalian, China.
[9] A. Ott, “Experience with PJM Market Operation, System Design, and
Implementation,” IEEE Transactions on Power Systems, Vol. 18, No. 2, May
2003, pp. 528-534.
[10] D. Streiffert, R. Philbrick, and A. Ott, “A Mixed Integer Programming
Solution for Market Clearing and Reliability Analysis,” Power Engineering
Society General Meeting, 2005. IEEE 12-16 June 2005 , pp. 2724 - 2731 Vol.
3.

33