Economic Load Dispatch Constrained by Wind Power Availability A Here-And-Now Approach-R8t

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IEEE TRANSACTIONS ON SUSTAINABLE ENERGY, VOL. 1, NO. 1, APRIL 2010
Economic Load Dispatch Constrained by Wind Power

Availability: A Here-and-Now Approach
Xian Liu, Senior Member, IEEE, and Wilsun Xu, Fellow, IEEE
AbstractIn this paper, a load dispatch model is developed

for the system consisting of both thermal generators and wind
turbines. The probability of stochastic wind power is included
in the model as a constraint. This strategy, referred to as the
here-and-now approach, avoids the probabilistic infeasibility
appearing in conventional models. It is shown that, based on the
presented model, the impacts of stochastic wind speed on the
generated power can be readily assessed.
Real power generated by generator .

Optimal value of
Cost index in the economic load dispatch

(ELD) model.
Optimal value of .
Index TermsEconomic load dispatch, optimization, renewable

energy, Weibull distribution, wind power (WP).
NOMENCLATURE
Scale factor of the Weibull distribution.
Cumulative distribution function (cdf) of
random variable .
Probability density function (pdf) of random
variable .
Shape factor of the Weibull distribution.
Number of wind power generation (WPG)
units.
Number of generators.
Total load demand.
Probability of event
Total transmission losses.

Upper bound of probability that the sum of
real power not greater than
.
,
Cost coefficients of generator .
Rated, cut-in, and cut-out wind speeds.

Real power generated by WPG unit .
Rated power of WPG unit .
Rated power of WPG units if all the same.
Manuscript received October 06, 2009; revised January 20, 2010; accepted
February 23, 2010. Date of publication March 18, 2010; date of current version
April 19, 2010.
X. Liu is with the Department of Systems Engineering, University
of Arkansas at Little Rock, Little Rock, AR 72204-1099 USA (e-mail:
xxliu@ualr.edu).
W. Xu is with the Department of Electrical and Computer Engineering, University of Alberta, Edmonton, AB T6G 2V4, Canada (e-mail: wxu@ualberta.
ca).
Color versions of one or more of the figures in this paper are available online
at http://ieeexplore.ieee.org.
Digital Object Identifier 10.1109/TSTE.2010.2044817
I. INTRODUCTION
UE to the impeding demand of mitigating the greenhouse
effect, the share of WPG in the total utility is daily on the
increase. Some European countries like Denmark are making
very ambitious plans to increase the share of WPG up to 50%
of the national electricity demand in the near future [1]. In the
U.S., the research and practice of WPG have also been accelerated since the American Recovery and Reinvestment Act was
passed by the Congress in February 2009. For off-grid applications, the wind power technology has nearly matured. For example, it was reported that the rated power of the single wind
turbine and the wind farm had reached 7 and 160 MW, respectively [2], [3]. Nevertheless, there still are some difficulties to
effectively integrate the power generated by wind turbines into
power grids. One of the difficulties is the stochastic availability
of wind power. Conventional ELD models need to be enhanced
to characterize the stochastic behavior of wind power. In this
paper, we develop a generic ELD model that takes the probability distribution function of wind as one of the constraints.
In the literature, various approaches have been proposed to
describe the impact of random parameters on power systems.
Most reported studies focused on the power flow problems with
random parameters. This type of problem was commonly referred to as the probabilistic load flow problem [4] and an extension was called the probabilistic optimal power flow (P-OPF)
problem [5]. In principle, for these problems, the goal was to
find the cdf or pdf of their solutions. A simplified variant was to
find the average and deviation of their solutions. One of the basic
approaches has been based on Monte Carlo simulation. The convolution method was another common approach to estimate the
pdf of solutions [6], [7]. Recently, an alternative approach based
on cumulants was proposed in [4]. Afterward it was applied to
solve P-OPF in [5] and [8]. All of these approaches tried to find
probabilistic characteristics of solutions of the problem under
investigation. This kind of approach is called the wait-and-see
(WS) strategy in the context of stochastic programming (SP) [9],
[10]. In contrast, the here-and-now (HN) strategy introduces the
probabilistic characteristics to the problem model itself. A typical approach is to introduce the cdf of parameters to constraints.
1949-3029/$26.00 2010 IEEE

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LIU AND XU: ECONOMIC LOAD DISPATCH CONSTRAINED BY WIND POWER AVAILABILITY
Both WS and HN strategies are representative approaches in the

discipline of SP. Our work is along the avenue of HN.
In the context of optimal power flow with WPG, there are also
several representative works. In the model presented in [11], the
objective was to minimize the total generation cost of traditional
units, subject to power flow constraints and others. This model
can be regarded as the ELD model constrained by power flows.
In the simulation, the planning horizon was divided into five
stages, and each stage was 30 min. Later this model was extended in [12] and [13], where the costs of expected surplus
wind power and expected deficit wind power were added to
the objective function. Moreover, the power flow analysis was
included in [13]. In the model investigated in [14], the objective function consisted of the costs of both thermal units and
wind turbines, but the latter was formatted as a linear term that
was different than [12] or [13]. However, much attention in
[14] was paid to develop an algorithm called the direct search
method. A recent yet comprehensive review can be found in
[15], where the authors described the representative models of
ELD with WPG and also discussed risk management strategies
in the power market.
For the convenience of presentation, throughout this paper,
wind power (WP) means the real electric power generated by
WPG units rather than the input wind power. The rest of this
paper is organized as follows. In Section II, we present a basic
ELD model with WP. Then, in Section III, we introduce the
concept of probabilistic infeasibility. Next, in Section IV we
introduce the probability distribution of WP to the constraint.
Simulation results for a six-generator system are reported in
Section V. Finally, remarks and conclusions are included in
Section VI.
II. BASIC ELD MODEL WITH WIND POWER
is a functional of random variable (RV) . The

where
will be discussed in details in Sections IV
formulation of
and V.
III. PROBABILISTIC INFEASIBILITY
One of the challenges is how to appropriately characterize
WP in the ELD model. A conventional way was to use the average WP. Although this approach seems intuitionally fine and
can be easily implemented, it has a less-known pitfall, called the
probabilistic infeasibility, as shown in the following simple example:
(6)
(7)
(8)
Suppose that and are RVs, statistically independent from
each other, distributed uniformly in [2, 3] and [1, 2], respectively. Thus the averages of and are 2.5 and 1.5, respectively. If we use these average values in the constraints, then it
is easy to know, analytically or graphically, that the optimal so. Now we investigate the probabilistic
lution is
infeasibility as follows:
(9)
where Pr(event) stands for probability of event. The above result reveals that the probabilistic feasibility of using
is as small as 0.25, or equivalently, the probabilistic infeasibility is as large as 0.75. For this reason, one of the more
appropriate strategies is to introduce the probability distribution
into the concerned constraint
In electric power systems, the generic ELD problem takes the

following form:
(10)
(1)
where
is a specified threshold. This approach is
sometimes referred to as the HN method in the literature [9],
[10].
(2)
IV. PROBABILITY OF WIND POWER

(3)
In this formulation, if the unit of is megawatts (MW), then
,
, and
are, respectively,
, MW ,
the units of
and MW . Consequently, the unit of is
. In numerical
analysis, usually the per unit (p.u.) system is employed, in which
the base is 100 MVA.
In the present work, we develop a new generic ELD model to
minimize the fuel cost and take the stochastic WP as constraint.
The proposed model will add a set of constraints
m/s is an RV. (In this section, RVs will

The wind speed
be denoted by upper case symbols, as the convention adopted in
most probability textbooks.) A comprehensive review for probability distributions of wind speed can be found in [16], where the
authors cited more than two hundred publications and described
more than ten well-known distributions. They indicated that the
two-parameter Weibull distribution had become the most widely
accepted model and had been included in regulatory works as
well as several popular computer modeling packages. The cdf
of Weibull distribution is
(4)
(11)
and replace (3) with

(5)
where
and
are referred to as the scale factor
and shape factor, respectively. Note that there are two special
and
lead to the exponential
cases. The cases of
distribution and the Rayleigh distribution, respectively. In the
literature, most studies adopted

the pdf of is
. Corresponding to its cdf,
(12)
The relation between the input wind power and the output
electric power (recall that the latter has been briefly referred to
as WP in the foregoing section) relies on several factors, such as
the efficiencies of generator, wind rotor, gearbox, and inverter,
depending on what kind of power generation unit is investigated.
For a generic WPG unit, some researchers [12], [17] used a simplified model to characterize the relation between the WP and
wind speed
(13)
.
We will adopt the above model in our ELD model. According
to the probability theory for function of RVs [18], in the interval
, the pdf of
is
Fig. 1. Examples of cdf of WP.
TABLE I
WIND PARAMETERS AND TOTAL POWER DEMAND
For the continuous part, the integration of (14) is

(14)
where
. (In [12, eq. (18)], there was a minor
typo:
was missing in the denominator of the leading term
in (14) above.) The cdf of , however, must take into account
the piecewise linear properties shown in (13). The probability
is
of event
(15)
and the probability of event
is
(16)
(17)
Furthermore,
(18)
According to (15) through (18), the cdf of is shown in (19),
at the bottom of the page.
The reader is reminded that the derivation of (19) has followed several axioms in the probability theory [18], including
the continuity from the right. Three examples of the cdf of
are illustrated in Fig. 1, where the values of factor are specified and other WP parameters are given in Table I. The unit of
wind speed is miles/hour. In Fig. 1, note that the positions of
and
characterize the property
square symbols at
of continuity from the right. Since the cdf notion includes both
continuous and discrete probabilities, the overall height of cdf
is affected by the probability of
.
(19)
V. MODELS AND SOLUTIONS

In this section, we establish and solve two ELD models constrained by the probabilistic metric. The first model, ELD_EQ,
has a closed-form solution, which is helpful to gain some fundamental insights. The second model, ELD_INEQ, includes more
constraints and has no closed-form solution.
The above inequality can be easily converted into expression

is the penetration
(23), at the bottom of the page, where
factor of WP and defined as
(24)
In (24), note that
A. ELD Model With Equality Constraints Only

In this subsection, we consider the model, referred to as
ELD_EQ, which consists of (1) and the following constraint:
(20)
represents all WP to be dispatched, and
is a specwhere
ified threshold representing the tolerance that the total demand
cannot be satisfied. For example, if
, then up to
10% of the chance of insufficient supply could be tolerated.
implies more tolerance toward insuffiTherefore, a larger
cient supply, and vice versa. To avoid degenerated results,
is chosen such that
. Since the total
WP is characterized by a single RV here, it implies that all wind
turbines are located in a coherent geographic area, represented
by a small wind farm or a cluster of turbines in a large wind
farm. Note that the transmission loss is omitted in (20), since
typically the transmission distance is short and, in such circumstances, is quite small relative to the real power. Accordingly,
constraint (20) can be rewritten as
(25)
since
As a result, constraint (20) in model ELD_EQ becomes

(26)
B. Analysis of the WP Penetration Factor

In Model ELD_EQ, the WP penetration factor
characterizes the contribution of stochastic WP to the system. Without
which implies
WP, the constraint will become
that the total load must be supplied by the power generated from
thermal generators. It is instructive to investigate several basic
properties of . First, it always has
. This is because,
from (24), the condition of
is equivalent to
(27)
(28)
(21)
Substituting (19) into (21), for
at the bottom of the page.
we obtain (22)
(29)
.
while the last inequality is held because
is a monotonic function of the specified probability
Second,
(22)
(23)
. More insights can be gained from the partial derivative of

with . It follows from (24) that
C. Solution of Model ELD_EQ

In this subsection, we solve ELD_EQ by means of the classic
Lagrange multiplier method. First, we construct the following
augmented function:
(35)
(30)
Then, we derive the partial derivative
Note that in the above derivation we used (25). The result
implies that
,
. Recall that a large
implies more tolerance toward insufficient supply, and vice versa.
This trend can also be observed from the numerical experiments
also depends on wind
shown in the next section. Besides ,
,
, , and The dependency on the first
parameters ,
three parameters can be investigated analytically. First
(36)
Next, letting
, we obtain
(37)
Substituting (37) into (26), we have
(38)
(31)
Finally, substituting (38) into (37), we obtain the optimal solution
Second, if
(32)
then
(39)
(33)
Third
(34)
Finally, we note that it is not easy to analytically investigate

the dependency of
on the scale factor and shape factor .
Thus we investigate the dependence numerically at the end of
Section V-C.
As an example, in the following, we present a set of optimal

solutions for a system consisting of six thermal generators and
one wind farm. The wind parameters were the same as given in
Table I, while the generator parameters are listed in Table II.
(p.u.) and
(p.u.).
Moreover, we chose
and various are listed in
The optimal solutions for various
are expressed by
Tables IIIV, where
their p.u. values. Note that for practical systems only small
values make sense, due to the potential risk of insufficient WP.
Thus the solutions corresponding to large values are omitted
to save space. It is observed that
decreases as increases,
because the larger implies using more WP. At the optimums,
the penetration of WP increases as the shape factor increases.
and
, WP reaches 4.88%.
For example, when
It is expected that the penetration of WP gets larger if the ratio
increases.
In the following, we investigate the dependency of penetraon scale factor and shape factor . With the
tion factor
and
given in Table II, the profiles of
values of
versus are calculated and illustrated in Fig. 2. It is observed
TABLE II
SYSTEM PARAMETERS
TABLE III
OPTIMAL SOLUTIONS ( = 1 2) OF MODEL ELD_EQ
Fig. 2. Example profiles of
versus .
Fig. 3. Example profiles of
versus .
TABLE IV
constraints:
(40)
TABLE V
Similar to Model ELD_EQ, constraint (40) can be converted

into the following expression:
(41)
that
is not a monotonic function of . The profiles of
illustrated in Fig. 3 and the curves are monotonic.
are
D. ELD Model With Inequality Constraints

In this subsection, we consider the model, referred to as
ELD_INEQ, which consists of (1), (2), and the following
was defined in (24). Note that model ELD_INEQ inwhere

volves two sets of inequality constraints. Therefore, the classic
Lagrange multiplier method cannot be directly applied. A numerical optimization procedure is needed. Therefore, we have
developed a computer program to solve Model ELD_INEQ and
implemented it in Matlab. In the following, we present a selected set of solutions for a system consisting of six thermal
generators and one wind farm. Primary parameters were listed
p.u. ,
in Tables I and II. Moreover, we used
p.u. ,
. The optimal solutions
for various and various are listed in Tables VIVIII, where
are expressed by their p.u. values. It
TABLE VI
K = 1:2) OF MODEL ELD_INEQ
OPTIMAL SOLUTIONS (
TABLE VII
OPTIMAL SOLUTIONS ( = 1 7) OF MODEL ELD_INEQ
Fig. 4. ELD_EQ: Minimum cost versus shape factor .
TABLE VIII
OPTIMAL SOLUTIONS ( = 2 2) OF MODEL ELD_INEQ
Fig. 5. ELD_INEQ: Minimum cost versus shape factor .
is observed that
decreases as
increases, because the
implies using more WP.
larger
In Tables VIVIII, the maximum thermal power is restricted
to 1.5 as expected, while in Tables IIIV, the maximum thermal
power can be as high as 2.1245. However, the optimal cost of
ELD_EQ is lower than that of ELD_INEQ, as shown in Figs. 4
and 5. This trend is generally held for various values of and .
VI. CONCLUSIONS AND REMARKS

In this paper, we developed load dispatch models for the
system consisting of both thermal generators and WPG units.
In these models, the probability of stochastic wind power
is included in the constraint set. This approach avoids the
probabilistic infeasibility caused by using the average of RVs.
into the
In particular, we introduce a threshold parameter
constraint to characterize the tolerance that the total load dewill mitigate the
mand cannot be satisfied. Choosing small
risk of insufficient wind power, while increasing the demand

for thermal power. The effect of
has been analytically
and
investigated through the wind power penetration factor
numerically assessed through a computer program. Moreover,
it is observed that the optimal cost decreases as the shape
factor of wind speed increases. The effects of multiple wind
have been investigated
parameters on the penetration factor
analytically or numerically. The obtained results would provide
direct guidelines for system operators to make correct decisions
to schedule the system with WP.
There are several remarks for the present work. First, this
paper focuses on the HN approach applied to the ELD problem,
which is a special case of the optimal power flow (OPF)
problem. Thus some network constraints, such as line thermal
limits and reactive power limits, are not considered here. The
interested reader is referred to [11] and [13] for problems
with OPF features. The second remark is about the application
context of the ELD model. In principle, the ELD model can be
applied to the context of long term, medium term, or short term.
However, many authors elaborated the generic ELD model in
the context of short term to solve the unit commitment (UC)
problem [11], [19]. For example, in [11], the planning horizon
is divided into five stages, and every stage is 30 min. It is noted
that most studies define the duration of one hour as a stage. For
ELD-WPG applied to the UC context, since the wind speed
is a stochastically dynamic variable, it would be appropriate
to treat half or one hour as a stage. Accordingly, the presented
model can be regarded as a description for one particular stage.
The power demand and wind parameters would change on
the hourly basis. Third, the transmission losses are omitted
in analysis. This is mainly because the effect of transmission
losses is usually insignificant for short transmission lines (say,
less than 3%), while the transmission distance of most systems
with WP are short and less than 100 km. However, if necessary,
the losses in terms of -coefficients [20]
(42)
could be added to the presented models as a constraint and
the solving approach described in [20, p. 557] could be used.
Fourth, the objective function adopted in this paper is based on
the widely used quadratic curve that describes thermoelectric
power production costs. It is remarked that the proposed model
is easily extendible to more general cost functions. To use most
optimizers (such as those built-in functions in Matlab), the cost
function needs to be continuous. However, if the cost function is
piecewise continuous, there still are many well-developed optimization methods (e.g., the Simplex method). Fifth, in the presented models, the total WP is characterized by a single RV.
To analytically remove this assumption, the correlated Weibull
distribution is needed. To our best knowledge, this is a very nontrivial issue in probability theory. It is noted that, in the literature, some progress has been reported for the bivariate Rayleigh
distribution that is a special case of the Weibull distribution [21].
Practically, a large wind farm can be divided into multiple clusters. Then for each cluster the presented model is still applicable.
Sixth, it is interesting that there is a notion of value at risk (VaR)
in the context of market analysis [22]. Basically, the VaR is the
threshold that specifies how much a portfolio could lose for a
given probability and a given time horizon. The given probain
bility is called the confidence level, which corresponds to
our models, while VaR corresponds to in our models. Finally,
the approach addressed in this paper is under the assumption that
the system operator has direct control for all dispatchable generators. Consequently, the optimal dispatch is obtained by minimizing the overall production costs. This assumption is appropriate for vertically integrated electricity markets. On the other
hand, for liberalized markets, other issues may play important
roles, such as the market equilibrium point. Although beyond
the scope of the present work, the issues raised from liberalized
markets have attracted much attention in the power engineering
society. The interested reader is referred to [15] and [22].
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2002.
Xian Liu (M99SM09) received the Bachelor, Master, and Ph.D degrees, all
in electrical engineering, and the M.Math. degree in optimization.
His industrial experience includes Nortel Networks, Canada. In 1999, he
joined the Department of Electrical and Computer Engineering, the University
of Alberta, Canada, as a faculty member. Now he is an Associate Professor
in the Department of Systems Engineering, University of Arkansas at Little
Rock. His special fields of interest include optimization of sustainable energy
systems.
Wilsun Xu (S85M88F05) received the Ph.D. degree from the University

of British Columbia, Vancouver, Canada, in 1989.
He worked at BC Hydro from 1990 to 1996 as an engineer. He is presently a
Research Chair Professor at the University of Alberta, Edmonton, AB, Canada.
His current main research interests are power quality, power distribution systems, and power system modeling.

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IEEE TRANSACTIONS ON SUSTAINABLE ENERGY, VOL. 1, NO. 1, APRIL 2010