ALGORITM MODIFICAT ACCELERAT DE DETERMINARE A ECHILIBRULUI NASH NTR-O PIA A ENERGIEI ELECTRICE DE TIP BILATERAL A MODIFIED AND FASTER

ALGORITHM TO DETERMINE NASH EQUILIBRIUM IN A BILATERAL ELECTRICITY MARKET

Ouzhan CEYLAN Hasan DA
Istanbul Techinal University, Informatics Institute Turkey I.T.U. Ayazaa Kampusu Maslak Istanbul, 0212 2857077, 02122857073, oguzhan@be.itu.edu.tr, dag@be.itu.edu.tr Rezumat: Lucrarea prezint o modificare a unui algoritm existent de identificare a echilibrului Nash ntr-o pia a energiei electrice de tip bilateral. Cei doi algoritmi cel modificat i cel iniial sunt testai i se realizeaz o comparaie. Algoritmul modificat este clar mai rapid dac nu exist mai mult de o combinaie generatorsarcin. Keywords: Teoria jocurilor, descentralizare, echilibru Nash, model bilateral de pia. Abstract: This paper presents a modification to an existing algorithm that finds nash equilibrum in a bilateral electricity market. Both the modified algorithm and the existing algorithm are tested and compared. The modified algorithm works appreciably faster if there are not more than one minimum loadgenerator combinations. Keywords: Game theory, deregulation, nash equilibrium, bilateral market model.

1. Introducere. Sistemele electrice de putere sunt n transformare n ntreaga lume ncepnd din anii 80. n locul sistemelor electrice de putere integrate pe vertical sunt puse la punct modele ce se bazeaz pe reguli ale pieei libere. n sisteme electrice de putere integrate pe vertical, producerea, transportul i distribuia sunt conduse, planificate i li se stabilete preul de ctre o singur autoritate. Deci orice cretere de pre n orice parte a sistemului afecteaz toi consumatorii. n 1990 Marea Britanie, n 1994 Australia, n 1996 Norvegia i Suedia, n 1996 Noua Zeeland i-au descentralizat sistemele electrice de putere. n 1982 Chile ncepuse descentralizarea sistemului electric de putere naional. Dup ce au vzut rezultatele pozitive din Chile, i alte ri sudamericane, cum ar fi Argentina, Bolivia, Columbia, Peru sau Brazilia au trecut la descentralizare propriilor sisteme electrice de putere. S.U.A. a trecut la descentralizarea sistemului electrice de putere propriu practic n fiecare din statele componente [1, 2]. Pieele competiionale ale energiei electrice pot fi clasificate dup dou principale. Aceste modele sunt modelul pool market i modelul bilateral, bazat pe tranzacii bilaterale. n cazul modelului pool, un operator central primete ofertele furnizorilor i / sau ale consumatorilor i determin preurile de nchidere. n cazul modelului bilateral furnizorii i consumatorii au libertatea de a conveni tranzaciile de energie ntre ei, corespunztor propriilor aranjamente. Dup descentralizarea sistemelor electrice de putere teoriile economice au ptruns mult mai pronunat n literatura referitoare la sistemele electrice de putere. Teoria jocurilor este i ea folosit atunci cnd apare o interaciune ntre mai mult de un decident. Aceti decideni sunt asimilai

1. Introduction Electric power systems have been changing since 80s worldwide. Instead of vertically integrated power systems new models based on the free trade rules are developed. In vertically integrated power sytems generation, transmission, and distribution are operated, planned and priced by one authority only. Hence any cost increase in any part of system affects all consumers. In 1990 Britain, in 1994 Australia, in 1996 Norway and Sweden, in 1996 New Zealand deregulated their electric power systems. In 1982 Chile deregulated power system of the country. After seeing the good results at Chile, the other Latin American countries such as Argentina, Bolivia, Colombia, Peru and Brasil deregulated their power systems as well. The U.S.A deregulated its power system state by state [1, 2]. The competitive electric markets can be classified into two main models. These models are the pool model and the bilateral model. In a pool model, a central operator receives the bids of the suppliers and/or consumers and computes the clearing prices. In a bilateral model, suppliers and consumers are free to arrange power transactions with each other according to their own arrangements. After deregulation of electric power systems economic theories are involved in power systems literature more heavily. Game theory is used when there is an interaction amongst more than one decision makers. These decision makers are the players of the game. In both the pool model and the bilateral model there are many apllications of the game theory [3-10]. In all of these applications the aim is to find a nash equilibrium. In a nash equilibrium there is a set of strategies of the players that no player can benefit by changing his/her strategy while the other players keep

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cu nite participani la joc. Att n cazul modelului pool, ct i n cazul modelului bilateral exist multe aplicaii ale teoriei jocurilor [3-10]. n toate aceste aplicaii scopul este de a se identifica un echilibru Nash. ntr-un echilibru Nash exist un set de strategii ale juctorilor pentru care nici un juctor nu poate profita prin modificarea strategiei proprii, iar ceilali s i pstreze strategiile nemodificate. Strategiile i veniturile constituie un echilibrul Nash. Organizarea acestei lucrri este: n seciunea 2 este prezentat o imagine a subiectului n literatura actual. Seciunea 3 descrie modelul bilateral i algoritmul actual pentru echilibru Nash. n seciunea 4 sunt prezentate rezultatele testelor realizate. Concluziile desprinse din rezultatele testelor efectuate sunt prezentate n seciunea 6. 2. Situaia n literatura actual Teoria jocurilor este prima oar folosit n [3] n cadrul tarifri funcie de timpul de utilizare, cu abordare de tip joc cooperativ i non-cooperativ normal. Pe de alt parte jocuri extensive sunt folosite n [4] pentru un juctor care cogenereaz i vinde n sistem sau altor consumatori producia n exces. n [5], modelele Cournot i Bertnard cu folosirea contractelor pentru diferene (CPD) sunt explicate prin exemple, n care jocuri matriceale simple sunt analizate i se identific echilibrul. n [6] sunt folosite ntr-un model pool al teoriei jocurilor ambele puncte de vedere, al Operatorului Independent de Sistem i cel al productorului, considerndu-se situaia perfect de informare. Pe de alt parte jocuri cu informare imperfect sunt analizate i transformate n jocuri cu informare perfect, care apoi sunt soluionate pentru echilibru Nash n [7]. O metod nou de stabilire a preului utiliznd circulaia de puteri i teoria jocurilor, explicat n [8], maximizeaz profiturile ntr-o metod cu acces deschis la sistemul de transport. Teoria jocurilor poate fi utilizat de asemenea atunci cnd se produc congestii pe linii de transport. n [9] se analizeaz modul n care ineficienele regulilor North American Reliability Council (NERC) de nlturare a acestora ofer posibiliti de comportament de tip joc pentru participanii la pia. Exist de asemenea i lucrri despre modul n care participanii la licitaii trebuie s fac ofertele ntr-o licitaie. n [10] se folosete un model bilateral pentru a determina preurile de echilibru Nash la o licitaie. 3. Modelul bilateral de pia n [10] s-a utilizat un model bilateral de pia. n acest model de pia bilateral este folosit o licitaie cu ofert de prim pre sigilat. Cumprtorii (consumatorii) i vnztorii (productorii) sunt juctorii n acest model. Ipotezele din acest model sunt urmtoarele: Costul fiecrui productor pentru furnizarea pentru fiecare consumator i fiecare sum maxim de plat a consumatorilor fa de productori sunt presupuse cunoscute de ctre toi juctorii. Fiecare productor transmite oferte unui consumator i preul minim este cel care se consider ctigtor.

their strategies unchanged. The strategies and payoffs constitute a nash equilibrium. The organization of the paper is as follows: in section 2 a literature review is given. Section 3 describes both the bilateral model and the existing algorithm for nash equilibrium. In section 4 the modified algorithm is explained. Section 5 shows the test results. Conclusions derived from the test results are presented in section 6.

2. Literature Review Game theory is firstly used in [3] under time of use pricing, with cooperative and non-cooperative normal game approaches. On the other hand extensive games are used in [4] for a player that cogenerates and sells excess power to the system or to the consumers. Using contracts for differences (CFD) Bertnard and Cournot models are explained by means of examples, where simple matrix games are analyzed and equilibrium is found, in [5]. In a pool model game theory is used both in Independent System Operators point of view and in a generator companys point of view assuming perfect information [6]. On the other hand games with imperfect information are analyzed and converted into games with perfect information, where they are solved for nash equilibrium, in [7]. A new pricing method that uses power flow and the game theory is explained in [8] to maximize the profits in an open access transmission method. Game theory can also be used when there is congestion on the transmission lines. How inefficiencies of North American Reliability Councils (NERC) transmission loading relief rules give gaming opportunities among market participants under conditions of congestion or potential congestion of the transmission grid is analyzed in [9]. There is also some work about how auctioneers must bid in an auction. In [10] using a bilateral model, nash equilibrium bidding prices are calculated.

3. Bilateral Market Model We use the bilateral market model of [10]. In this bilateral market model a first price sealed bid auction is used. Buyers (loads) and sellers (generators) are the players in this model. The assumptions in this model are as follows: Each generators cost for supplying each load and each loads maximum amount to pay to generators are assumed to be known by all players. Each generator submits bids to a load and the minimum price is the winning price. Each generator can win only one load.

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Fiecare productor poate ctiga doar un consumator. A generator is responsible for paying system losses and Un productor este rspunztor pentru plata pierderilor transmission charges. din sistem i a taxelor de transport. If the minimum price is not smaller than the maximum Dac preul minim nu este mai mic dect valoarea amount that a load can pay none of the generators maxim pe care un consumator o poate plti nu ctig wins and no rebidding occurs. It is assumed that the load can supply itself with own resources or enter a nici un productor i nu se face o nou licitaie. Se new market as spot market. presupune c consumatorul i poate furniza resursele All the generator load combinations can be represented necesare sau poate intra pe o alt pia, spot de exemplu. Toate combinaiile generator - consumator pot fi repreas a matrix shown below. zentate ca o matrice aa cum este urmtoarea. G1 L1 G1 L2 ... G1 Ln G L G L ... G L 2 2 2 n 2 1 ... ... ... ... T = Gm L1 Gm L2 ... Gm Ln (1) w1 ... ... ... ... ... w ... n (1) orice GiLj nseamn al i-lea cost al productorului In (1) any GiLj means ith generators cost of supplying pentru acoperirea sarcinii j, iar wj este valoarea maxim load j, and wj is the maximum amount that a load can pay pe care un consumator o poate plti unui productor. to a generator.
3 12 T = 8 15 9 5 6 20

(2)

n (2) este dat un exemplu. Aceste preuri de echilibru Nash sunt identificate dup cum urmeaz. n primul pas trebuie s se identifice suma minim a combinaiilor consumator-generator care are n elemente alese din fiecare coloan i nu este n acelai rnd. Suma minim a combinaiei consumator-generator este 8=min (3+5, 3+6, 3+, 3+20, 12+9, 12+6, 12+, 12+20, 8+3, 8+5, 8+, 8+20, .). Productorii din suma minim a combinaiilor consumator-generator sunt exclui din pia secvenial i o nou sum minim a combinaiilor consumator-generator este determinat. Dac primul element al combinaiilor consumator-generator (productor 2) este exclus din pia noua matrice ia forma de mai jos.
12 8 T = 15

In (2) an example system is given. This systems nash equilibrium prices are found as follows. In the first step one has to find the minimum sum of the load-generator combinations that has n elements chosen from each column and not in the same row. Minimum sum of load generator combination is 8 = min (3+5, 3+6, 3+, 3+20, 12+9, 12+6, 12+, 12+20, 8+3, 8+5, 8+, 8+20, .) Generators in the minimum sum load-generator combinations are excluded from the market sequentially and the new minimum sum load-generator combinations is computed. If the first element of the minimum sum load-generator combinations (generator 2) is excluded from the market the new matrix takes the form below.
5 6 20

(3)

Suma minim a combinaiilor consumator-generator din (3) este 8+5=13. Prin extragerea tuturor combinaiilor consumator-generator de sum minim neexcluse din pia, se determin preurile incrementale ale tuturor productorilor exclui. Rezult c preul incremental al productorului 1 este 13-8=5. Preul incremental al productorului 2 este 1 i poate fi calculat simplu n acelai fel. Aceste preuri incrementale calculate sunt adugate tuturor liniilor productorilor exclui i se formeaz o nou matrice. n final, prin scderea celui mai mic numr pozitiv acceptat din noua matrice a indicilor de sum minim, pot fi calculate preurile de licitaie de echilibru Nash. Dac este 0,001 matricea de licitaie de echilibru Nash se poate obine astfel:

The minimum sum load-generator combination of (3) is 8 + 5 = 13. By subtracting all the combinations from the notexcluded market minimum sum load-generator combinations, all excluded generators incremental prices are calculated. Hence generator 1s incremental price is 13-8 = 5. Generator 2s incremental price is 1 and can be computed in the same way easily. These computed incremental prices are added to the excluded generators all row elements and a new matrix is formed. Finally by subtracting the accepted smallest positive number from the new matrixs minimum sum load-generator indices nash equilibrium bidding prices can be calculated. If is 0.001 then nash equilibrium bidding matrix can be found as follows:

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7.999 13 Nash = 8 15

14 5.999 6 20

(4)

Preurile de licitaie Nash apar cum s-a artat mai sus. Productorii ctigtori pentru consumatorii 1 i respectiv 2, sunt productorul 1, respectiv 2. preurilor lor de licitaie sunt 7,999 i 5,999. 4. Algoritmul modificat Vom prezenta o modificare a algoritmului de determinare a echilibrului Nash ntr-un model de pia bilateral din [10]. Algoritmul funcioneaz dac exist o singur combinaie consumator-generator de sum minim. Algoritmul modificat lucreaz astfel: Mai nti se gsete cel mai mic element de pe prima coloan a matricii, apoi se gsete al doilea element minim din aceeai coloan. n sistemul exemplu de mai sus aceste valori sunt: 3 i respectiv 8. La pasul urmtor valoarea celui mai mic element din prima coloan este nlocuit cu valoarea celui de-al doilea element minim minus , astfel c modificrile sistemul exemplu sunt:
7 . 999 12 T = 8 15

Nash bidding prices occur as shown above. The winner generators for load 1 and load 2 are generator 1 and generator 2 respectively. Their bidding prices are 7.999 and 5.999. 4. The Modified Algorithm We present a modification to the algorithm to determine nash equilibrium in the bilateral market model in [10]. The algorithm works if there is only one minimum loadgenerator combination. The modified algorithm works as follows: First we find the smallest element of the first column of the matrix, then we find the second smallest element in the same column. In the example system above these values are: 3 and 8 respectively. In the next step the smallest elements value of the first column of the matrix is replaced with second smallest elements value minus , so the example system changes as shown below:
9 5 6 20

(5)

Diferena absolut a valorilor cele dou elemente minime identificate 3 i 8, gsite n primul pas este adunat la celelalte elemente din acelai rnd cu valorile modificate (8-3 = 5 este adunat la 9, elementul din primul rnd dar nu n prima coloan). Rezult noile valori ale sistemului exemplu:
7 . 999 12 T = 8 15

The absolute difference of the values, the two smallest elment 3 and 8, found in the first step is added to the other elements in the same row of the changed value (8-3 = 5 is added to 9, the element in the first row but not in the first column). Hence example systems new values are as given below.
14 5 6 20

(6)

Urmtorul pas este repetarea aceleiai proceduri pentru toate coloanele. n sistemul exemplu ntreaga procedur aplicat pentru prima coloan trebuie aplicat pentru a doua coloan. Astfel noile valori pentru sistemul exemplu iau forma urmtoare.

The next step is repeating the same procedure for all columns. In the example system all this procedure applied for the first column must be applied to the second column. Hence the new values of the example system takes the form below. (7)

7.999 14 13 5.999 T = 8 6 15 20

Dup aplicarea procedurii pentru toate coloanele, dac toate diferenele ntre cele mai mici dou elemente sunt egale cu , ceea ce s-a obinut reprezint echilibrul Nash. Altfel aceeai procedur trebuie aplicat tuturor coloanelor pn cnd diferenele obinute sunt egale cu . n exemplul dat 8-7,999 = i 6-5,999 = , deci procedura se oprete. Preurile de echilibru Nash sunt obinute aa cum s-a artat mai sus. Productorii nvingtori sunt 1 i 2, cu preurile de licitaie 7,999 i, respectiv, 5,999.

After applying the procedure to all columns, if all the differences between the two smallest elements are equal to , this is a nash equilibrium. Otherwise the same procedure must be applied to all columns until all differences are equal to . In our example 8-7.999 = and 6-5.999 = , hence we stop. Nash equilibrium bidding prices are occurred as shown above. The winner generators are generator 1 and generator 2 with 7.999 and 5.999 bid prices respectively.

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5. Teste numerice i rezultate Att algoritmul actual, ct i cel modificat au fost programate n limbajul de programare octave [11]. Performanele lor sunt comparate i reprezentrile grafice sunt prelucrate folosind gnuplot [12]. Programele au fost rulate pe un calculator PC cu CPU Pentium IV, 1500 MHz. n toate testele dimensiunile matricelor sunt introduse n program ca date de intrare, iar combinaiile consumatorgenerator sunt generate aleator de program. Figura 1 prezint numrul de generator n raport cu timpul CPU (secunde) pentru primul algoritm presupunnd numrul de consumatori constant i numrul de productori cresctor. Cum se poate vedea timpul CPU este aproximativ proporional cu patratul numrului productorilor

5. Numerical Tests and Results Both the existing and the modified algorithms are programmed in octave programming language [11]. Their performances are compared and graphical outputs are handled using gnuplot [12]. The programs are run on a PC with Pentium IV, 1500MHz CPU. In all tests the dimensions of the matrices are given to the program as input and the generator-load combinations are randomly generated by the program. Figure 1 shows generator number versus CPU time (seconds) for the first algorithm assuming load number is constant and generator number is increasing. As can be seen from the figure the CPU time is approximately proportional to the square of the generator numbers.

Fig.1. Timpi CPU pentru numr cresctor de productori Fig 1. CPU times while increasing generator numbers.

Figura 2 prezint numrul de consumatori n funcie de timpul CPU pstrndu-se numrul de productori constant n cazul primului algoritm.

Figure 2 shows load number versus CPU times while keeping generator numbers constant using the first algorithm.

Fig.2. Timpi CPU pentru numr cresctor de consumatori Fig 2. CPU times while increasing load numbers.

Se poate vedea c timpul CPU este o funcie liniar n raport cu consumul. Astfel din figura 1 i figura 2 se poate spune c numrul productorilor are o influen mai mare dect cea a numrului consumatorilor n cazul primului algoritm.

It can be seen from the figure that the CPU time is a linear function of the load. Hence from figure 1 and figure 2 we can say that generator numbers has bigger effect than load numbers in the first algorithm.

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Figura 3 prezint numrul productorilor n raport cu timpul CPU pentru al doilea algoritm (cel propus), considernd numrul de consumatori constant. Creterea timpului CPU din grafic nu apare ca liniar. Aa cum s-a precizat anterior combinaiile consumator-generator sunt generate aleator de program. Astfel creterea timpului CPU din grafic poate fi acceptat ca fiind practic liniar.

Figure 3 shows generator number versus CPU time for the second (the proposed) algorithm assuming load number is constant. The increase of CPU times in the graphic doesnt seem to be linear. As mentioned before the generator-load combinations are randomly generated by the program. Hence the increase of the CPU time in the graphic can be accepted as a linear.

Fig.3. Numr de productori funcie de timp CPU Fig 3. Generator number versusCPU time

Figura 4 prezint numrul de consumatori n raport cu timpul CPU pentru al doilea algoritm presupunnd numrul de productori constant. Creterea timpului CPU din grafic este liniar. Astfel din figura 3 i figura 4 rezult c numrul productorilor i numrul consumatorilor au efecte similare n cazul celui de al doilea algoritm.

Figure 4 shows load number versus CPU time for the second algorithm assuming generator number is constant. The increase of CPU time in the graphic is linear. Hence from figure 3 and figure 4 generator numbers and load numbers have similar effects in the second algorithm.

Fig.4. Numr de consumatori funcie de timp CPU Fig 4. Load number versus CPU time

Figura 5 prezint numrul de consumatori n raport cu timpul CPU pentru ambii algoritmi presupunnd numrul productorilor constant. Se poate observa imediat c al doilea algoritm este mult mai rapid dect primul.

Figure 5 shows load number versus CPU time for both the first and the second algorithm assuming generator number is constant. It can easily be seen from the figure that second algorithm is much faster than the first algorithm.

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Fig.5. Numr de consumatori funcie de timp CPU Fig 5. Load number versus CPU time.

Figura 6 prezint numrul de productori n raport cu timpul CPU pentru ambii algoritmi presupunnd numrul de consumatori constant. Algoritmul modificat este mai rapid dect cel actual.

Figure 6 shows generator number versus CPU time for both the first and the second algorithm assuming load number is constant. The modified algorithm is faster than the existing algorithm.

Fig.6. Numr de productori funcie de timp CPU Fig 6. Generator number versus CPU time.

Pn aici n toate graficele un parametru a fost meninut constant pentru a observa efectele unui alt parametru. Figura 7 prezint simultan numrul de productori i numrul de consumatori n raport cu timpul CPU. Rezultatele arat c primul algoritm este mult mai rapid dect cel de al doilea. 6. Concluzii i cercetri viitoare n aceast lucrare un algoritm existent pentru identificarea echilibrului Nash ntr-o pia bilateral este modificat pentru condiii particulare. Dac nu exist mai mult de o combinaie consumator-generator de sum minim, algoritmul lucreaz mai bine dect cel existent. Aa cum se poate vedea din figurile prezentate algoritmul modificat lucreaz mai rapid dect cel existent.

Up to now in all graphics a parameter was kept constant to see the effects of the other parameter. Figure 7 shows both generator number and load number versus cpu time at the same time. The results show that the first algorithm is much faster than the second algorithm. 6. Conclusion and Future Work An existing algorithm for finding the nash equilibrium in bilateral market is modified for a special condition in this work. If there is not more than one minimum loadgenerator combination the algorithm works better than the existing algorithm. As can be seen from the given figures the modified algorithm works faster than the existing algorithm.

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Fig.7. Timp CPU funcie de numr de productori i numr de consumatori Fig 7. Load and generator numbers versus CPU time.

n lucrare se accept a fi cunoscut costul productorului pentru acoperirea sarcinii. n lucrri viitoare acesta poate fi acceptat ca i parametru. n lumea real jocurile nu se desfoar n condiii de informare perfect. Astfel jocul din aceast lucrare poate fi modificat pentru a corespunde unui joc cu informaie imperfect. Exist unele aplicaii cu logic fuzzy n teoria jocurilor [13]. Juctorii pot avea unele cunotine probabiliste despre strategiile celorlali juctori. Deci prin unele modificri n ipotezele modelului bilateral jocul poate fi jucat ca un joc fuzzy. Bibliografie (References)

Generators supplying load cost isaccepted to be known in this paper. In future work they can be taken as parameters. In real world games there is no perfect information. Hence the game in this work can be modified to an imperfect information game. The game in this paper is played once and no replay occurs. The problem can be accepted as a repeated game and can be solved accordingly. There are some fuzzy logic applications of the game theory [13]. Players can have some probabilistic knowledge about the other players strategies. Hence by some modifications in the assumptions of the bilateral model the game can be played as a fuzzy game.

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