Electric Power Market Modeling with Multi-Agent Reinforcement Learning

98 Pages·2014·0.55 MB·English

by  Nathanael K. Miksis

University of Massachusetts Amherst
ScholarWorks@UMass Amherst
Masters Theses 1911 - February 2014
2010
Electric Power Market Modeling with Multi-Agent
Reinforcement Learning
Nathanael K. Miksis
University of Massachusetts Amherst
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ELECTRIC POWER MARKET MODELING WITH
MULTI-AGENT REINFORCEMENT LEARNING

A Thesis Presented
By
NATHANAEL K. MIKSIS

Submitted to the Graduate School of the
University of Massachusetts Amherst in partial fulfillment
of the requirements for the degree of
MASTER OF SCIENCE IN INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH
September 2010
Industrial Engineering & Operations Research
© Copyright by Nathanael K. Miksis 2010
All Rights Reserved
ELECTRIC POWER MARKET MODELING WITH
MULTI-AGENT REINFORCEMENT LEARNING

A Thesis Presented
by
NATHANAEL K. MIKSIS

Approved as to style and content by:

_______________________________________________
Erin Baker, Chair
_______________________________________________
Ana Muriel, Member
_______________________________________________
Victor Lesser, Member

________________________________________________
Donald Fisher, Department Chair
Department of Mechanical and Industrial Engineering
DEDICATION

To my supportive parents who always encouraged me in all my endeavors.
ACKNOWLEDGEMENTS
I would like to thank many people who have helped me and encouraged me to pursue
research that became this thesis. I will be ever grateful to my advisor, Erin Baker, for her
constructive feedback and support to see this venture through, and to my committee members
Ana Muriel and Victor Lesser. I would also like to thank Mario DePillis, my good friend and my
mentor at ISO New England Inc. and to all the other incredibly capable people I met and learned
from there. Robert Entriken of the Electric Power Research Institute (EPRI) went above and
beyond, providing the supportive feedback and encouragement that at just the right times.
Ekundayo Shittu was the best office-mate anyone could ask for when I was at the University.
I am grateful for the funding support that came from the University of Massachusetts
Amherst and ISO New England Inc. Funding for research done at Élecricité de France, which
provided a foundation for some of the work presented here, also was provided by EPRI.
And finally, last but certainly not least, to my family and my friends for their unwavering
encouragement.

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ABSTRACT
ELECTRIC POWER MARKET MODELING WITH
MULTI-AGENT REINFORCEMENT LEARNING
SEPTEMBER 2010
NATHANAEL K. MIKSIS, M.S., UNIVERSITY OF MASSACHUSETTS AMHERST
Directed by: Professor Erin Baker

Agent-based modeling (ABM) is a relatively new tool for use in electric power market
research. At heart are software agents representing real-world stakeholders in the industry:
utilities, power producers, system operators, and regulators. Agents interact in an environment
modeled after the real-world market and underlying physical infrastructure of modern power
systems. Robust simulation laboratories will allow interested parties to stress test regulatory
changes with agents motivated and able to exploit any weaknesses, before making these changes
in the real world. Eventually ABM may help develop better understandings of electric market
economic dynamics, clarifying both delineations and practical implications of market power.
The research presented here builds upon work done in collateral fields of machine
learning and computational economics, as well as academic and industry literature on electric
power systems. We build a simplified transmission model with agents having learning
capabilities, in order to explore agent performance under several plausible scenarios. The model
omits significant features of modern electric power markets, but is able to demonstrate successful
convergence to stable profit-maximizing equilibria of adaptive agents competing in a quantity-
based, available capacity model.
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TABLE OF CONTENTS
Page
ACKNOWLEDGEMENTS.............................................................................................................v
ABSTRACT...................................................................................................................................vi
LIST OF TABLES.........................................................................................................................ix
LIST OF FIGURES.......................................................................................................................xi
CHAPTER
1. INTRODUCTION....................................................................................................................1
1.1. Primer on Electric Power Markets.......................................................................3
1.2. Pressing Questions in Electric Power Market Regulation and Design................8
1.3. How Agent-Based Modeling Has Been Used in Electric Power Market
Applications.......................................................................................................15
2. AGENT-BASED MODELING: THE CONTEXT OF THIS RESEARCH...........................18
2.1. Challenges and Opportunities............................................................................23
3. THE ELECTRICITY MARKET MODEL.............................................................................30
3.1. Where This Research Fits: What’s New Under the Sun?..................................31
3.2. Predecessor Model.............................................................................................32
3.3. Current Market Model Description....................................................................36
3.3.1. The Power System Model............................................................................39
3.3.2. Least-Cost Dispatch.....................................................................................41
3.3.3. Pricing and Congestion................................................................................42
3.3.4. Agents..........................................................................................................44
3.4. Implementing the Model in Java........................................................................47
vii
4. EXPLORING THE MODEL..................................................................................................49
5. USING THE MODEL............................................................................................................51
5.1. Scenario 1...........................................................................................................53
5.2. Scenario 2...........................................................................................................59
5.3. Scenario 3...........................................................................................................61
5.4. Using The Model – Conclusion.........................................................................63
6. CONCLUSION AND WHAT’S NEXT.................................................................................64
APPENDIX A: EXPOSITION OF NODAL PRICES..................................................................68
APPENDIX B: DATA...................................................................................................................71
BIBLIOGRAPHY..........................................................................................................................81

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LIST OF TABLES
Table Page
1. Generator Shift Factors (Nodes in Rows, Lines in Columns)..................................................68
2. Transmission System Data........................................................................................................71
3. Defaults Scenarios’ Power System Parameters........................................................................71
4. Scenario 1 Cleared All-Bid-In, Portfolio Results.....................................................................72
5. Scenario 1 Cleared All-Bid-In, Nodal Prices............................................................................72
6. Scenario 1 Cleared All-Bid-In, Transmission Line Flows........................................................72
7. Scenario 1 Cleared All-Bid-In, Nodal MWs.............................................................................73
8. Scenario 1, Cleared Equilibrium Joint Strategy, Agent Quantity Offers..................................73
9. Scenario 1, Cleared Equilibrium Joint Strategy, Portfolio Results...........................................73
10. Scenario 1 Cleared Equilibrium Joint Strategy, Nodal Prices................................................74
11. Scenario 1, Cleared Equilibrium Joint Strategy, Transmission Line Flows...........................74
12. Scenario 1, Cleared Equilibrium Joint Strategy, Nodal MWs................................................74
13. Scenario 2, Cleared All-Bid-In, Portfolio Results..................................................................75
14. Scenario 2, Cleared All-Bid-In, Nodal Prices.........................................................................75
15. Scenario 2, Cleared All-Bid-In, Transmission Line Flows.....................................................75
16. Scenario 2, Cleared All-Bid-In, Nodal MWs..........................................................................76
17. Scenario 2, Cleared Equilibrium Joint Strategy, Agent Quantity Offers................................76
18. Scenario 2, Cleared Equilibrium Joint Strategy, Portfolio Results.........................................76
19. Scenario 2, Cleared Equilibrium Joint Strategy, Nodal Prices...............................................77
20. Scenario 2, Cleared Equilibrium Joint Strategy, Transmission Line Flows...........................77
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