Risk-Sensitive Energy Procurement with Uncertain Wind
Risk-Sensitive Energy Procurement with Uncertain Wind
复制标题
风能不确定的风险敏感型能源采购
DOI：
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
S. Bose
中科院分区：
文献类型：
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作者：
Avinash N. Madavan;S. Bose
我们提出了一个具有不确定风力发电的风险敏感型远期能源采购问题，该问题通过条件风险价值（CVaR）对成本和约束违反进行惩罚。风险敏感型公式使系统运营商能够对其对高不确定性成本和约束违反的容忍度进行建模。我们进一步提出了一种基于原始 - 对偶随机次梯度的算法来解决能源采购问题，其中调度决策在每次迭代中根据风力发电输出的样本进行更新。
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.