Optimal Prediction in Local Electricity Markets
Lead Research Organisation:
University of Manchester
Department Name: Mathematics
Abstract
Over the next four years this Fellowship aims to build an internationally leading research team in stochastic modelling of local energy markets. The Fellow and researcher will develop theory and numerical methods to solve emerging mathematical problems in UK power systems, with a focus on modelling the community scale, in order to achieve the maximum welfare benefit from the design of these markets. The research programme will be carried out in the context of the Fellow's existing Energy group, which includes three PhD students working in power systems and energy storage. This work will involve fruitful interactions with other probabilists in the UK, power systems engineers in the UK, US and Canada, and UK industry experts working on such problems. It will have significant impact through the creation of algorithms and software, enabling the efficient numerical solution of planning and operational problems for local electricity markets. A longer term impact will be to further establish Manchester (and the UK) as a centre for talented researchers in cross-disciplinary applications of probability theory to power systems.
Planned Impact
The ultimate impact from the application in future power systems will be to UK plc. The need for new and fruitful approaches to problems in future power systems, particularly at the distribution level and with respect to demand participation and storage, is evidenced by the recent Technology Stategy Board (TSB) 'Future grid: Smart power distribution and demand' competition for feasibility funding, and by the EPSRC Storage Grand Challenge. The Fellow currently has applications under consideration in both of these initiatives and, in order to maximise impact, will remain fully involved in such initiatives over the period of the Fellowship.
The Fellow's proposal to the TSB competition is to assess the feasibility of extending his 2011 knowledge transfer project with IBM UK Ltd (List of Publications [8, 9]) to an application on the Isle of Wight in partnership with the EcoIsland Community Interest Company. IBM UK Ltd have committed to making an in-kind contribution of time worth £2,000 assessing the feasibility of the communications architecture necessary for the project. Since this and similar industrial collaborations will be key pathways to impact, the Fellow has requested 10% of the time funded by this Fellowship to pursue engagement with the public and with industry. Knowledge transfer activity in this area is likely to generate intellectual property (IP) and the Fellow will work closely with UMIP, the University of Manchester's IP commercialisation company, to ensure that these issues of IP are dealt with transparently and professionally.
Electricity supply is a key public service, and its efficiency is crucial to the UK's economic competitiveness. Further, the productive efficiency of electricity generation is increased by efficient local power systems which can respond to price signals, for example through reduced spillage of wind generation and reduced use of inefficient thermal peaking plant generation. This leads to reduced carbon emissions and the associated environmental benefits. To maximise the impact of the Fellowship in this respect, results on local electricity markets will be made available to regulatory policymaking bodies as appropriate, in a format suitable for use as an evidence base.
Regarding timescales, the UK is committed to achieving its legally binding targets for integration of renewable electricity generation by 2020. At the same time technological advances have recently been made in the physical assets required for local electricity markets, and continue to be made. As an example in April 2011 Sony began bulk shipments of 1.2kW 'Ion Energy' battery storage modules suitable for local applications, with a lifespan of over ten years based on one daily charge/discharge cycle at room temperature. Since the application area of this Fellowship concerns the underpinning mathematics and welfare economics of local electricity markets, its impact can realistically be expected to be realised within 8-10 years.
The Fellow's proposal to the TSB competition is to assess the feasibility of extending his 2011 knowledge transfer project with IBM UK Ltd (List of Publications [8, 9]) to an application on the Isle of Wight in partnership with the EcoIsland Community Interest Company. IBM UK Ltd have committed to making an in-kind contribution of time worth £2,000 assessing the feasibility of the communications architecture necessary for the project. Since this and similar industrial collaborations will be key pathways to impact, the Fellow has requested 10% of the time funded by this Fellowship to pursue engagement with the public and with industry. Knowledge transfer activity in this area is likely to generate intellectual property (IP) and the Fellow will work closely with UMIP, the University of Manchester's IP commercialisation company, to ensure that these issues of IP are dealt with transparently and professionally.
Electricity supply is a key public service, and its efficiency is crucial to the UK's economic competitiveness. Further, the productive efficiency of electricity generation is increased by efficient local power systems which can respond to price signals, for example through reduced spillage of wind generation and reduced use of inefficient thermal peaking plant generation. This leads to reduced carbon emissions and the associated environmental benefits. To maximise the impact of the Fellowship in this respect, results on local electricity markets will be made available to regulatory policymaking bodies as appropriate, in a format suitable for use as an evidence base.
Regarding timescales, the UK is committed to achieving its legally binding targets for integration of renewable electricity generation by 2020. At the same time technological advances have recently been made in the physical assets required for local electricity markets, and continue to be made. As an example in April 2011 Sony began bulk shipments of 1.2kW 'Ion Energy' battery storage modules suitable for local applications, with a lifespan of over ten years based on one daily charge/discharge cycle at room temperature. Since the application area of this Fellowship concerns the underpinning mathematics and welfare economics of local electricity markets, its impact can realistically be expected to be realised within 8-10 years.
People |
ORCID iD |
John Moriarty (Principal Investigator / Fellow) |
Publications
Angelis T
(2019)
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
in Mathematics of Operations Research
Chiarolla M
(2015)
Analytical pricing of American Put options on a Zero Coupon Bond in the Heath-Jarrow-Morton model
in Stochastic Processes and their Applications
Chiarolla M
(2015)
Optimal Stopping of a Hilbert Space Valued Diffusion: An Infinite Dimensional Variational Inequality
in Applied Mathematics & Optimization
De Angelis T
(2015)
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
De Angelis T
(2014)
A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis
in Stochastic Processes and their Applications
De Angelis T
(2018)
On the Optimal Exercise Boundaries of Swing Put Options
in Mathematics of Operations Research
De Angelis T
(2017)
Optimal entry to an irreversible investment plan with non convex costs
in Mathematics and Financial Economics
De Angelis T
(2018)
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
in The Annals of Applied Probability
Description | Our theoretical work so far has generated significant new knowledge in the area of optimal control for electricity markets, by taking into account the key characteristics of electricity as a commodity, for example: (i) that electricity cannot be economically stored at large scales, (ii) that wholesale electricity prices can at times be negative, and (iii) that uncertainty is a main consideration. We have a number of papers already accepted (see detailed entries). In particular we have successfully developed research methods based on the geometric characterisation of excessive functions to solve these challenging new optimal control problems. All of this work has started noteworthy new research collaborations: for example, with Dr Jan Palczewski at Leeds and Dr Giorgio Ferrari at Bielefeld, Germany. My group has grown to six members (three PhD, three postdoc) of whom five participate actively in these collaborations, thus increasing our research capability generated from this training in specialist skills. |
Exploitation Route | Our theoretical work provides financial valuations and corresponding operational strategies for complex contracts in electricity markets: these are of independent academic interest and are also needed in the energy industry to form business models, make investment decisions, and form operational strategies. An example is our work on pricing American call options for power system balancing (see my web page linked above). Further, in our collaborations with startups we have developed complex algorithms for the real-time control of 'automated demand response' which these startups are attempting to pilot and bring to market at the moment. The decision support tool we are developing for a Distribution Network Operator will be employed as an input to major capital investment decisions, for example on new or reinforced power lines or transformers, in order to provide best value for their electricity customers. |
Sectors | Energy,Environment |
URL | https://sites.google.com/site/jmoriartygroup/home/research |
Description | 1. Helping Electricity North West Ltd. pick the best capital investments Under a consultancy arrangement with Electricity North West Ltd. (ENWL) we have developed a spreadsheet tool for decision support. This tool compares the value of possible capital investments, taking account of management flexibility and of uncertainty over future peak electricity demand. Making the best capital investment decisions is economically important for society, since i) the cost of capital assets is spread among electricity customers, and ii) poor capital investment decisions may lead to increased unreliability in the distribution network, or the stranding of expensive investments if they prove not to be needed. In addition to a joint paper published in 2016, this collaboration produced a software tool whose use is now normal practice for ENWL. To date its use across 14 capital investment projects has produced savings for the company of £5.3 million. These 'smart' network upgrades benefit the physical electricity supply to over 100,000 of ENWL's customers and the associated financial savings reach 5 million people in 2.4 million properties throughout the North West. Further, a National Grid report has recommended ENWL's new process as its preferred approach to the use of Real Options Analysis, the theory on which the tool is based. 2. Minimising electricity bills through demand response We have delivered a mathematical algorithm for electricity supplier Tempus Energy Limited which automates 'demand response'. The algorithm has been supplied under a commercial agreement whereby Tempus Energy Limited pays the University of Manchester a royalty on its profits. Demand response makes more efficient use of electricity generation and lowers costs, pollution and consumer bills, and enables a new business model for UK electricity supply. This impact is important since it demonstrates a new way to improve the overall efficiency of electricity generation. If this model is adopted more widely then this will i) reduce electricity bills through increased efficiency ii) decrease pollution and thus enhance quality of life and health. |
First Year Of Impact | 2017 |
Sector | Energy |
Impact Types | Societal,Economic |
Description | Citation in National Grid systematic review |
Geographic Reach | National |
Policy Influence Type | Citation in systematic reviews |
URL | https://www.nationalgrideso.com/document/90851/download |
Description | National Grid - RO |
Geographic Reach | National |
Policy Influence Type | Citation in other policy documents |
URL | https://www.nationalgrideso.com/document/90851/download |
Description | EPSRC Fellowship (Extension) |
Amount | £576,855 (GBP) |
Funding ID | EP/P002625/1 |
Organisation | Engineering and Physical Sciences Research Council (EPSRC) |
Sector | Public |
Country | United Kingdom |
Start | 07/2017 |
End | 07/2020 |
Description | EPSRC Indo-UK Workshops |
Amount | £25,000 (GBP) |
Organisation | International Centre for Mathematical Sciences (ICMS) |
Sector | Academic/University |
Country | United Kingdom |
Start | 06/2016 |
End | 06/2016 |
Description | Environmental Sustainability Knowledge Hub 'Innovation Voucher' |
Amount | £3,000 (GBP) |
Organisation | Higher Education Innovation Funding (HEIF) |
Sector | Public |
Country | United Kingdom |
Start | 01/2014 |
End | 07/2014 |
Description | Isaac Newton Institute research programmes |
Amount | £101,700 (GBP) |
Funding ID | MES |
Organisation | Isaac Newton Institute for Mathematical Sciences |
Sector | Academic/University |
Country | United Kingdom |
Start | 01/2019 |
End | 05/2019 |
Description | Localised Energy Systems |
Amount | £472,388 (GBP) |
Funding ID | EP/M507155/1 |
Organisation | Engineering and Physical Sciences Research Council (EPSRC) |
Sector | Public |
Country | United Kingdom |
Start | 01/2015 |
End | 07/2016 |
Description | Research Fellowship for Data-Centric Engineering Programme |
Amount | £276,297 (GBP) |
Funding ID | R-LRF-JM1 |
Organisation | Alan Turing Institute |
Sector | Academic/University |
Country | United Kingdom |
Start | 04/2020 |
End | 04/2022 |
Description | Research fellowship for data-centric engineering programme |
Amount | £276,297 (GBP) |
Funding ID | R-LRF-JM1 |
Organisation | Alan Turing Institute |
Sector | Academic/University |
Country | United Kingdom |
Start | 04/2020 |
End | 04/2022 |
Description | Standard Grants |
Amount | £1,268,170 (GBP) |
Funding ID | EP/N001974/1 |
Organisation | Engineering and Physical Sciences Research Council (EPSRC) |
Sector | Public |
Country | United Kingdom |
Start | 01/2016 |
End | 06/2019 |
Description | The Mathematics of Energy Systems |
Amount | £185,000 (GBP) |
Funding ID | MES |
Organisation | Isaac Newton Institute for Mathematical Sciences |
Sector | Academic/University |
Country | United Kingdom |
Start | 01/2019 |
End | 05/2019 |
Description | FD |
Organisation | Future Decisions Ltd |
Country | United Kingdom |
Sector | Private |
PI Contribution | Development of an optimal control algorithm for participation in demand response using a commercial building's thermostatic load |
Collaborator Contribution | Problem formulation and feedback during algorithm development |
Impact | The developed algorithm has provided Future Decisions with a new capability |
Start Year | 2016 |
Description | Secondment to Energy Systems Catapult Ltd to assist with Digital Twin Demonstrator project for BEIS |
Organisation | Energy Systems Catapult Ltd |
Country | United Kingdom |
Sector | Private |
PI Contribution | I had the role of Product Owner, responsible for the development of a Visual Demonstrator for a potential future Digital Twin of the UK energy system for the UK Government Department for Business, Energy and Industrial Strategy (BEIS). One of my team was responsible for developing a reinforcement learning environment, which translated modelling output from BEIS into a form suitable for the Visual Demonstrator. |
Collaborator Contribution | The Energy Systems Catapult were responsible for scoping and managing the overall project, and for development of a Technical Demonstrator to illustrate the potential role of new data feeds and modelling approaches. |
Impact | The Energy System Digital Twin Demonstrator was delivered to the UK government department for Business, Energy and Industrial Strategy (BEIS) and showcased to BEIS in October 2022. Follow-on work is ongoing at the Energy Systems Catapult. |
Start Year | 2021 |
Description | Tempus Energy |
Organisation | Tempus Energy |
Country | United Kingdom |
Sector | Private |
PI Contribution | Through a sponsored PhD student in my group we have developed stochastic control algorithms for the automatic control of flexible electricity demand (such as electric heating). These algorithms have been successfully delivered to the company in the form of computer code, and have been adopted industrially by the company. This has enabled the company to successfully complete a £250,000 Technology Strategy Board Smart Grant project. |
Collaborator Contribution | The partner has helped us develop an understanding of the practical problem to be addressed. |
Impact | This collaboration directly enabled the company to successfully complete a £250,000 Technology Strategy Board Smart Grant project. Subsequently the company has continued to develop and to date it has raised over £5 million in venture capital and grant funding. |
Start Year | 2012 |
Description | Upside Ltd. |
Organisation | Upside Ltd. |
Country | New Zealand |
Sector | Private |
PI Contribution | We have developed predictive statistical models of the CO2 intensity of UK electricity generation. These models will enable Upside to operate in the most environmentally responsible way by purchasing electricity at the times of lowest CO2 intensity. |
Collaborator Contribution | Upside helped us develop an understanding of the practical problem to be addressed. |
Impact | Upside has a cloud service which enables households and small businesses to get paid to reduce their energy usage at peak times. This will help reduce the cost of energy in the UK while also reducing the environmental impact of energy generation. During my EPSRC fellowship I partnered with Upside to help them build their cloud service. This partnership was formalised by a linked EPSRC-Innovate UK grant (see 'further funding') which funded an 18 month pilot project for the Upside business. I was principal investigator on the EPSRC part of the grant (£47,463). This partnership is described at http://upsideenergy.co.uk/2016/10/19/upside-delivers-successful-innovate-uk-project/ |
Start Year | 2014 |
Title | Algorithm for optimisation of demand response |
Description | The algorithm provides online optimal control of demand response for an electricity supplier. The controllable demand is used to minimise the physical imbalance experienced within each 30-minute electricity settlement period, and thus to maximise the efficiency of generation and minimise costs. |
IP Reference | |
Protection | Copyrighted (e.g. software) |
Year Protection Granted | 2015 |
Licensed | Yes |
Impact | The algorithm is at the heart of the 'smart technology' on which Tempus Energy's business model is based. So far Tempus Energy has raised over £5 million in venture capital and grant funding. |
Title | Algorithm for optimisation of demand response |
Description | The algorithm provides online optimal control of demand response for an electricity supplier. The controllable demand is used to minimise the physical imbalance experienced within each 30-minute electricity settlement period, and thus to maximise the efficiency of generation and minimise costs. |
Type Of Technology | Software |
Year Produced | 2015 |
Impact | The algorithm is at the heart of the 'smart technology' on which Tempus Energy's business model is based. So far Tempus Energy has raised over £5 million in venture capital and grant funding. |
Company Name | Future Decisions Ltd. |
Description | Future Decisions Ltd. is a provider of software and secure networking services for building management systems. Their products optimise both internal air quality and energy consumption from heating, ventilation and cooling units. |
Year Established | 2015 |
Impact | Future Decisions has developed an automated control service for buildings which improves indoor air quality by reducing the measured levels of pollutants; increases the energy efficiency of the building's heating, ventilation and cooling system; and also provides demand response to support the power grid. In 2017 the company completed a six-figure contract installing its technology in a new building in central London and in 2020 it was granted a UK patent on its technology. |
Website | http://www.futuredecisions.net |
Company Name | Tempus Energy Ltd. |
Description | Tempus Energy's mission is to remove artificial price barriers from the electricity markets, bringing transparency and connecting customers with the cheapest available energy. Tempus has a technology platform for automated demand response powered by algorithms developed in my group under a PhD studentship agreement. These algorithms were licensed to Tempus by the University of Manchester. |
Year Established | 2012 |
Impact | In early 2015 Tempus started to use their technology platform in their own electricity supply business in the UK. They continue to develop and refine the platform in other international markets. |
Website | http://tempusenergy.com |
Description | CPD course |
Form Of Engagement Activity | Participation in an activity, workshop or similar |
Part Of Official Scheme? | No |
Geographic Reach | National |
Primary Audience | Professional Practitioners |
Results and Impact | I developed and co-organised a continuous professional development (CPD) workshop, titled 'Air quality in urban areas: Harnessing data to breathe easy'. The workshop raised awareness among relevant professionals on indoor air quality standards, highlighting both challenges around implementation, and data-driven solutions to improving indoor air quality which also unlock electricity demand response. It was attended by 34 relevant professionals and, according to the feedback collected, its attendees were likely to take steps to improve indoor air quality reaching over 4,000 people. |
Year(s) Of Engagement Activity | 2019 |
URL | https://www.qmul.ac.uk/maths/news-and-events/events-/air-quality-in-urban-areas-harnessing-data-to-b... |
Description | ICMS UK-India workshop on Energy Management |
Form Of Engagement Activity | Participation in an activity, workshop or similar |
Part Of Official Scheme? | No |
Geographic Reach | International |
Primary Audience | Other audiences |
Results and Impact | I was lead organiser for this workshop. 45 researchers, including 9 from India, attended a one week research workshop at the International Centre for Mathematical Sciences, Edinburgh titled "Energy Management: Flexibility, Risk and Optimisation". There was also a public lecture with approximately 100 attendees from industry and the general public. During the workshop significant work was done towards an application to the Isaac Newton Institute in Cambridge for a 6 month research programme in 2019 titled "The mathematics of energy systems", which is presently in review. |
Year(s) Of Engagement Activity | 2016 |
URL | http://www.icms.org.uk/icmsnews/energy-management-flexibility-risk-and-optimisation |
Description | Keynote talk at UK Energy Storage Conference 2019 |
Form Of Engagement Activity | A talk or presentation |
Part Of Official Scheme? | No |
Geographic Reach | National |
Primary Audience | Industry/Business |
Results and Impact | I gave the closing keynote talk 'Storage in the Digital World' at the 2019 UK Energy Storage conference, to an audience of approximately 70 from both industry and academia, leading to questions and discussion afterwards. |
Year(s) Of Engagement Activity | 2019 |
URL | https://conferences.ncl.ac.uk/ukes2019/ |
Description | MES |
Form Of Engagement Activity | Participation in an activity, workshop or similar |
Part Of Official Scheme? | No |
Geographic Reach | International |
Primary Audience | Professional Practitioners |
Results and Impact | I was principal organiser for The Mathematics of Energy Systems, a four month international visitor research programme at the University of Cambridge. The programme was highly interdisciplinary, involving 100 visiting researchers across mathematics, economics and power systems engineering, from the Americas, Europe, Asia and Australasia, with 3 international workshops and 2 industry outreach days attracting a further 250 people, and sponsorship from National Grid and Google DeepMind. The programme has given rise in particular to a theme issue of Philosophical Transactions of the Royal Society A based upon it. |
Year(s) Of Engagement Activity | 2019 |
URL | http://www.newton.ac.uk/event/mes |
Description | Presentation at DataLead 2015 |
Form Of Engagement Activity | A talk or presentation |
Part Of Official Scheme? | No |
Geographic Reach | International |
Primary Audience | Industry/Business |
Results and Impact | Presentation of the work of Future Decisions Ltd. (see 'spinouts' section) and underlying research. |
Year(s) Of Engagement Activity | 2015 |
URL | https://www.youtube.com/watch?v=R17U92KPNdY&list=PLMhs4-EUscndoQe0ZrzgEVyzaE2MIExjk&index=33&t=0s |