Risk-Sensitive Energy Procurement with Uncertain Wind

We formulate a risk-sensitive forward energy procurement problem with uncertain wind generation that penalizes costs and constraint violations via conditional value at risk (CVaR). The risk-sensitive formulation allows a system operator to model her tolerance to high uncertain costs and constraint v...

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Bibliographic Details
Published in:2019 IEEE Global Conference on Signal and Information Processing (GlobalSIP) pp. 1 - 5
Main Authors: Madavan, Avinash N., Bose, Subhonmesh
Format: Conference Proceeding
Language:English
Published: IEEE 01.11.2019
Subjects:
Computational modeling
Optimization
Power transmission lines
Procurement
Uncertainty
Wind power generation
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Summary:We formulate a risk-sensitive forward energy procurement problem with uncertain wind generation that penalizes costs and constraint violations via conditional value at risk (CVaR). The risk-sensitive formulation allows a system operator to model her tolerance to high uncertain costs and constraint violations. We further propose a primal-dual stochastic subgradient based algorithm to solve the energy procurement problem where the dispatch decisions update in each iteration based on samples of wind power output.
DOI:10.1109/GlobalSIP45357.2019.8969200