A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers

W. A. Bukhsh, A. Papakonstantinou, P. Pinson

Research output: Contribution to conferencePaper

Abstract

The large scale integration of renewable energy sources (RES) challenges power system planners and operators alike as it can potentially introduce the need for costly investments in infrastructure. Furthermore, traditional market clearing mechanisms are no longer optimal due to the stochastic nature of RES. This paper presents a risk-aware market clearing strategy for a network with significant shares of RES.We propose an electricity market that embeds the uncertainty brought by wind power and other stochastic renewable sources by accepting probabilistic offers and use a risk measure defined by conditional value-at-risk (CVaR) to evaluate the risk of high re-dispatching cost due to the mis-estimation of renewable energy. The proposed model is simulated on a 39-bus network, whereby it is shown that significant reductions can be achieved by properly managing the risks of mis-estimation of stochastic generation.
LanguageEnglish
Pages1-6
Number of pages6
Publication statusAccepted/In press - 1 Sep 2015
EventIEEE International Energy Conference - Leuven, Belgium
Duration: 4 Apr 20168 Apr 2016

Conference

ConferenceIEEE International Energy Conference
CountryBelgium
CityLeuven
Period4/04/168/04/16

Fingerprint

LSI circuits
Wind power
Costs
Power markets
Uncertainty

Keywords

  • conditional value-at-risk
  • market clearing
  • optimal power flow
  • risk analysis
  • renewable energy

Cite this

Bukhsh, W. A., Papakonstantinou, A., & Pinson, P. (Accepted/In press). A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers. 1-6. Paper presented at IEEE International Energy Conference, Leuven, Belgium.
Bukhsh, W. A. ; Papakonstantinou, A. ; Pinson, P. / A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers. Paper presented at IEEE International Energy Conference, Leuven, Belgium.6 p.
@conference{e714121cf84e4aecbd72a0bf45d80e36,
title = "A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers",
abstract = "The large scale integration of renewable energy sources (RES) challenges power system planners and operators alike as it can potentially introduce the need for costly investments in infrastructure. Furthermore, traditional market clearing mechanisms are no longer optimal due to the stochastic nature of RES. This paper presents a risk-aware market clearing strategy for a network with significant shares of RES.We propose an electricity market that embeds the uncertainty brought by wind power and other stochastic renewable sources by accepting probabilistic offers and use a risk measure defined by conditional value-at-risk (CVaR) to evaluate the risk of high re-dispatching cost due to the mis-estimation of renewable energy. The proposed model is simulated on a 39-bus network, whereby it is shown that significant reductions can be achieved by properly managing the risks of mis-estimation of stochastic generation.",
keywords = "conditional value-at-risk, market clearing, optimal power flow, risk analysis, renewable energy",
author = "Bukhsh, {W. A.} and A. Papakonstantinou and P. Pinson",
note = "{\circledC} 2016 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works; IEEE International Energy Conference ; Conference date: 04-04-2016 Through 08-04-2016",
year = "2015",
month = "9",
day = "1",
language = "English",
pages = "1--6",

}

Bukhsh, WA, Papakonstantinou, A & Pinson, P 2015, 'A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers' Paper presented at IEEE International Energy Conference, Leuven, Belgium, 4/04/16 - 8/04/16, pp. 1-6.

A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers. / Bukhsh, W. A.; Papakonstantinou, A.; Pinson, P.

2015. 1-6 Paper presented at IEEE International Energy Conference, Leuven, Belgium.

Research output: Contribution to conferencePaper

TY - CONF

T1 - A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers

AU - Bukhsh, W. A.

AU - Papakonstantinou, A.

AU - Pinson, P.

N1 - © 2016 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works

PY - 2015/9/1

Y1 - 2015/9/1

N2 - The large scale integration of renewable energy sources (RES) challenges power system planners and operators alike as it can potentially introduce the need for costly investments in infrastructure. Furthermore, traditional market clearing mechanisms are no longer optimal due to the stochastic nature of RES. This paper presents a risk-aware market clearing strategy for a network with significant shares of RES.We propose an electricity market that embeds the uncertainty brought by wind power and other stochastic renewable sources by accepting probabilistic offers and use a risk measure defined by conditional value-at-risk (CVaR) to evaluate the risk of high re-dispatching cost due to the mis-estimation of renewable energy. The proposed model is simulated on a 39-bus network, whereby it is shown that significant reductions can be achieved by properly managing the risks of mis-estimation of stochastic generation.

AB - The large scale integration of renewable energy sources (RES) challenges power system planners and operators alike as it can potentially introduce the need for costly investments in infrastructure. Furthermore, traditional market clearing mechanisms are no longer optimal due to the stochastic nature of RES. This paper presents a risk-aware market clearing strategy for a network with significant shares of RES.We propose an electricity market that embeds the uncertainty brought by wind power and other stochastic renewable sources by accepting probabilistic offers and use a risk measure defined by conditional value-at-risk (CVaR) to evaluate the risk of high re-dispatching cost due to the mis-estimation of renewable energy. The proposed model is simulated on a 39-bus network, whereby it is shown that significant reductions can be achieved by properly managing the risks of mis-estimation of stochastic generation.

KW - conditional value-at-risk

KW - market clearing

KW - optimal power flow

KW - risk analysis

KW - renewable energy

UR - http://www.ieee-energycon2016.org/

M3 - Paper

SP - 1

EP - 6

ER -

Bukhsh WA, Papakonstantinou A, Pinson P. A robust optimisation approach using CVaR for unit commitment in a market with probabilistic offers. 2015. Paper presented at IEEE International Energy Conference, Leuven, Belgium.