Monte Carlo based unit commitment procedures for the deregulated market environment

The unit commitment problem, originally conceived in the framework of short term operation of vertically integrated utilities, needs a thorough re-examination in the light of the ongoing transition towards the open electricity market environment. In this work the problem is re-formulated to adapt unit commitment to the viewpoint of a generation company (GENCO) which is no longer bound to satisfy its load, but is willing to maximize its profits. Moreover, with reference to the present day situation in many countries, the presence of a GENCO (the former monopolist) which is in the position of exerting the market power, requires a careful analysis to be carried out considering the different perspectives of a price taker and of the price maker GENCO. Unit commitment is thus shown to lead to a couple of distinct, yet slightly different problems. The unavoidable uncertainties in load profile and price behaviour over the time period of interest are also taken into account by means of a Monte Carlo simulation. Both the forecasted loads and prices are handled as random variables with a normal multivariate distribution. The correlation between the random input variables corresponding to successive hours of the day was considered by carrying out a statistical analysis of actual load and price data. The whole procedure was tested making use of reasonable approximations of the actual data of the thermal generation units available to come actual GENCOs operating in Italy.