Data-Driven Stochastic Unit Commitment for Integrating Wind Generation

INTRODUCTION

With the increasing penetration of renewable energy, in particular, wind energy,

uncertainties in power energy production have brought significant challenges to power system
operators. For instance, according to Obama's stimulus plan, it is expected that 20% of the total
national energy generation will come from the wind sources in year 2030 . However, due to the
intermittent nature of the wind generation, it is difficult to precisely forecast its generation
amount, or even the distribution of the random generation amount. Therefore, to keep the
system reliable, most ISOs in India, including CAISO, MISO, and PJM, perform reliability unit
commitment runs for the day-ahead market, in order to ensure sufficient generation capacity
available for the real-time power balance. Accordingly, this approach decides the reserve
amounts and the output of this approach affects the costs for reserves and system reliability.
That is a modelling approach that helps achieve cost effectiveness while maintaining the system
reliability can signicantly benefits this reliability unit commitment run process. Significant
research progress has been made recently to model and address the reliability unit commitment
problem under uncertainty. Among these research works, two-stage stochastic and robust
optimization approaches are two common ones, because they fit well for the current day-ahead
and real-time deregulated energy market frame work. Stochastic optimization approaches have
been paid close attention to recently in the power industry. For instance, US Federal Energy
Regulatory Commission (FERC) organizes technical conferences specifically designed to
discuss the research progress and software development on stochastic modelling for unit
commitment and operating reserves. For the two-stage stochastic optimization approach, the
first-stage decisions correspond to the unit commitment decisions for the day-ahead market,
before the realization of uncertain parameters. The second-stage decisions are economic
dispatch amounts corresponding to each scenario for the possible wind power output as
recourse, after uncertain parameters are realized. Besides, different objectives can be used based
on the system operators' preference, such as minimizing the expected total cost for the risk-
neutral case and minimizing the variance for the risk-averse case. Related literatures include an
early work on stochastic optimization formulations for Wind Power Integration in the
Liberalised Electricity Markets (WILMAR) described in the security-constrained unit
commitment algorithm for stochastic optimization addressing wind power in and , the

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stochastic optimization model considering different levels of reserve requirements in , the

stochastic

optimization models for security-constrained unit commitment problems in the

stochastic optimization model to estimate the contribution of demand flexibility in replacing
operating reserves in and the stochastic optimization model with chance constrains to ensure
high utilization of wind power output in , among others. Similarly, robust optimization
approaches also provide the unit commitment decision in the first stage, but consider the worst-
case dispatch cost in the second stage after uncertainties are realized as recourse. The objective
can be minimizing the worst-case cost or minimizing the worst-case regret. For this approach, a
deterministic uncertainty set, such as a box, a cardinality set, or a polyhedral uncertainty set, is
introduced to cover most possible scenarios of the uncertain parameters (e.g., 95% confidence
level guarantee). The optimal first-stage unit commitment decision is feasible for all scenarios
in the uncertainty set. Meanwhile, since the worst-case scenario is considered, this approach can
improve the system robustness. Recently, affine decision rule approaches have also been
developed to solve robust power system economic dispatch problems, which assume that the
real-time decisions an affine function of the uncertain parameter and finally derives a robust
first-stage decision. For the traditional stochastic optimization approach, we usually assume that
the uncertain wind power output follows a certain distribution. This distribution can be chosen
as the one that best ts the historical data. Then, a sampling approach based on the derived
probability distribution is utilized to generate scenarios for the possible realizations of the
uncertain parameter in the two-stage stochastic optimization frame work. However, in practice,
the derived distribution can be biased due to limited amount of data, which might lead to a
suboptimal solution. On the other hand, although the robust optimization approach requires less
in formation of historical data, e.g., limited data to describe the deterministic uncertainty set or
zero historical data information if the uncertainty set is defined based on the expert's
knowledge, this approach can be very conservative, due to its objective function of minimizing
the worst-case cost or worst-case regret. Therefore, robust optimization approach ensures
system robustness while sacrificing the system cost effectiveness. In practice, a significant
amount of historical data for wind power output is available for ISOs/RTOs. It is worthwhile
investigating how these data can potentially help us derive a unit commitment decision that is
robust while less conservative, so as to overcome the shortages of stochastic and robust
optimization approaches. Motivated by this, in this study, we propose a data-driven stochastic

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optimization approach to solve the unit commitment problem under wind power output
uncertainty. In our approach, starting from the given set of historical data, we construct a
confidence set for the unknown probability distribution, instead of constructing a confidence
set for the uncertain wind power output as the above traditional two-stage robust optimization
does. In our approach, we use the statistical inference techniques to derive a set for the
unknown distribution. Then, we solve the corresponding derived risk-averse two-stages to
chiastic unit commitment problem with

This article has been accepted for inclusion in a future issue of this journal. Content is
final as presented, with the exception of pagination. The objective of minimizing the total cost,
including first-stage unit commitment and second-stage economic dispatch costs, under the
worst-case distribution. This approach has the potential to help address the shortages generated
by the stochastic and robust optimization approaches. Our proposed approach is related to
distributional robust optimization in the literature, for which the true distribution of a random
variable is unknown and assumed within a confidence set. For this stream of research, research
progress has been made on constructing the confidence sets by assuming the moments (e.g.,
mean and covariance) given or assuming the mean and covariance of the true distribution not
far away from the reference mean and covariance. Recently, the confidence sets are also
constructed based on the density information. In this approach, we focus on applying norm and
norm on norm for distribution robustness to construct the confidence sets under the data-driven
environment. These constructed confidence sets fit well with the data-driven approach: directly
linking the conservativeness of the model and the amount of historical data. Our approach will
be less conservative as the amount of historical data increases. Eventually, the conservativeness
of our approach vanishes as the amount of historical data goes to infinity. Accordingly, the
contributions of our proposed approach can be summarized as follows:

1) We study data-driven stochastic optimization approaches to solve stochastic unit

commitment problems for which the distribution of wind power output is ambiguous. By
utilizing and norms, our proposed model solves the problem directly from the historical data
without assuming/generating the true distribution of wind power output.

2) Although the objective of our proposed model is risk-averse, the conservativeness of

our model can be adjusted based on the amount of historical data available. As compared to the
robust optimization approach for which the uncertainty set is usually xed, the uncertainty set

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for our proposed approach is adjustable with the amount of historical data available, satisfying
the same level of confidence guarantee.

3) The conservativeness of our proposed model vanishes as the size of data goes to
infinity. Our numerical experiments also show how the objective value changes as the size of
data increases, which in dictates the value of data. There minder of this paper is organized as
follows. We first provide a detailed description of the unit commitment problem with DC
network constraints. Then, we introduce the confidence set construction for the unknown
probability distribution of the uncertain wind power generation, based on the given set of
historical data .We provide and norms, respectively, to construct the confidence sets.
Afterwards, we derive the reformulation and develop solution algorithms to solve the
corresponding models.

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LITRATURE SURVEY

[1] Unit Commitment for Systems With Signicantly Wind Penetration

Aidan Tuohy, Peter Meibom, Eleanor Denny and Mark OMalley, IEEE members MAY 2009

The stochastic nature of wind alters the unit commitment and dispatch problem. By
accounting for this uncertainty when scheduling the system, more robust schedules are
produced, which should, on average, reduce expected costs. In this paper, the effects of
stochastic wind and load on the unit commitment and dispatch of power systems with high
levels of wind power are examined. By comparing the costs, planned operation and
performance of the schedules produced, it is shown that stochastic optimization results in less
costly, of the order of 0.25%, and better performing schedules than deterministic optimization.
The impact of planning the system more frequently to account for updated wind and load
forecasts is then examined. More frequent planning means more up to date forecasts are used,
which reduces the need for reserve and increases performance of the schedules. It is shown that
mid-merit and peaking units and the interconnection are the most affected parts of the system
where uncertainty of wind is concerned.

Unit Commitment for Systems With Significant Wind Penetration examined the impact of the
stochastic nature of wind on planning and dispatch of a system. Examining the modes of
optimization, it is shown that stochastic mode result in better performing and less costly
schedules than deterministic optimization when the uncertainty of wind is taken in to account.
mid-merit and peaking plant are used less, and interconnection used more. More frequent
scheduling of the system means wind and load forecasts are being updated more often and more
of the uncertainty of wind is captured in the model. This means more of the costs due to
uncertainty will be minimized, leading to more optimal results and better performing schedules.

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[2] Impact of Wind Power Forecasting on Unit Commitment and Dispatch

Jianhui Wang, Audun Botterud Vladimiro Miranda, Cludio Monteiro, Gerald Sheble,March
2008

The impact of wind power forecasting on unit commitment and dispatch is investigated
in this paper. We present two unit commitment methods to address the variability and
intermittency of wind power. The uncertainty in wind power forecasting is captured by a
number of scenarios in the stochastic unit commitment approach, while a point forecast of wind
power output is used in the deterministic alternative. Several cases with different wind power
forecasts and reserve requirements are simulated. The preliminary results show that the quality
of wind power forecasting has a great impact on unit commitment and dispatch. The stochastic
method shows its value in terms of relatively lower dispatch cost. However, the dispatch results
are also sensitive to the level of reserve requirement. Our results so far indicate that a
deterministic method combined with an increased reserve requirement can produce results that
are comparable to the stochastic case. However, most of the models presented so far are used
for planning purposes. There is very limited research on the impact of wind forecasting errors
on the real-time dispatch in the market operation. The linkage between day-ahead unit
commitments to real-time economic dispatch is largely missing. The forecasting errors, which
are the mismatch between what is used in the unit commitment stage and the real-time dispatch,
may cause great difficulty for system operators to balance the unexpected surplus or deficit of
wind power. Hence, in this paper we focus on the impact of wind forecasting errors on power
system operations. We propose two different unit commitment methods, that is, stochastic and
deterministic to analyze the possibility of using alternative scheduling methods to accommodate
the uncertainty and variability of wind power. After the unit commitment solution is obtained
from unit commitment runs with a wind power forecast, we run an economic dispatch model
with the realized wind generation to investigate what impact the forecast errors can exert on the
system. Several cases are simulated to analyze and compare the results in detail.

This paper analyzes the impact of wind power forecasting on unit commitment and economic
dispatch. Two unit commitment methods are tested in trying to address the uncertainty and
variability inherent in the wind power output. The preliminary results show that wind power
forecasting errors have great impact on the scheduling of generating units in the day-ahead
market with implications for the real-time dispatch. Various wind forecast methods have distinct
impacts on the market operations. The stochastic UC approach that models the wind forecasting
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errors by scenarios shows promising results, measured in terms of cost and reliability.
However, the amount of reserve requirement imposed in the unit commitment also has an
important impact on the results. A deterministic unit commitment strategy with increased
reserve requirements shows similar results to the stochastic one. The value of wind power
forecasting is confirmed by comparing the scenario with no wind forecast and the one with a
perfect forecast. A better wind forecast can definitely lower the system dispatch cost as shown
in the perfect forecast case. It is important to notice that there is no wind curtailment observed
in the case studies. One potential reason is that we do not consider transmission constraints in
the model so far. Other future research topics include re-scheduling of fast starting units such as
combined-cycle gas units between day-ahead and real-time dispatch, reserve bidding and
compensation for providing reserves, fixed vs. demand curve for operating reserves, price
response of energy demand, and a more detailed financial settlement including day-ahead
market clearing. These are issues we will continue investigating in the ongoing project.

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[3] Coupling Renewable Energy Supply with Deferrable Demand

Professor Shmuel S. Oren, Chair Professor Philip Kaminsky Assistant Professor Duncan
Callaway Fall, 2011

However, utilizing renewable resources at a bulk scale is hindered by the fact that these
resources are neither controllable nor accurately predictable. Our analysis focuses on the cost of
balancing power system operations in the presence of renewable resources and on the amount
of capital investment in operating reserves that is necessary for ensuring the reliable operation
of the system when renewable resources are integrated at a large scale. We also explore the
extent to which demand-side flexibility can mitigate these impacts. We specifically focus on a
contract that couples the operations of renewable energy resources with deferrable loads that
can shift a fixed amount of energy demand over a given time window. Various exible energy
consumption tasks can be characterized in this way, including electric vehicle charging or
agricultural pumping. We use a two-stage stochastic unit commitment model for our analysis.
The use of this model is justied by the fact that it is capable of quantifying the operating costs
of the system and the amount of required capacity in order to face the increased uncertainty of
daily operations. We present a dual decomposition algorithm for solving the model and various
scenario selection algorithms for representing uncertainty that are necessary for achieving
computational tractability in the stochastic unit commitment formulation. We present results for
a reduced network of the California power system that consists of 124 generators, 225 buses
and 375 lines. Our analysis proceeds in two steps. We first validate the stochastic unit
commitment policy that we derive from the stochastic optimization model by demonstrating
that it outperforms deterministic unit commitment rules commonly used in practice. We
demonstrate this superior performance for both a transmission-constrained as well as an
unconstrained system for various types of uncertainty including network element failures as
well as two levels of wind integration that roughly correspond to the 2012 and 2020 renewable
energy integration targets of California. Once we establish the validity of the stochastic unit
commitment policy we quantify the impacts of coupling renewable energy supply with
deferrable demand on operating costs and reserve requirements. We also demonstrate the
superiority of coupling contracts to demand-side bidding in the day-ahead market which is due

[4] Contingency-Constrained Unit Commitment with nK Security

Criterion: A Robust Optimization Approach

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Alexandre Street de Aguiar Fabrcio Oliveira Jos M. Arroyo, November 2010

Contingency-constrained unit commitment with nK security criterion a robust

optimization approach presents a new approach for the contingency-constrained single-bus unit
commitment problem. The proposed model explicitly incorporates an n-K security criterion by
which power balance is guaranteed under any contingency state comprising the simultaneous
loss of up to K generation units. Instead of considering all possible contingency states, which
would render the problem intractable, a novel method based on robust optimization is proposed.
Using the notion of umbrella contingency, the robust counterpart of the original problem is
formulated. The resulting model is a particular instance of bi-level programming which is
solved by its transformation to an equivalent single-level mixed-integer programming problem.
Unlike previously reported contingency dependent approaches, the robust model does not
depend on the size of the set of credible contingencies, thus providing a computationally
efficient framework. Simulation results back up these conclusions.

Contingency-constrained unit commitment with nK security criterion a robust optimization

approach presents a robust optimization approach for the contingency-constrained single-bus
unit commitment problem with an n-K security criterion. As a major contribution of this paper,
the model described allows system operators to schedule power and reserves while explicitly
considering all combinations of up to K generation unit outages. The original contingency-
dependent model is first formulated as a robust bi-level counterpart. The resulting bi-level
program is subsequently transformed into an equivalent single-level mixed-integer program that
is efficiently solved using available commercial software. Numerical results show that the
proposed robust model outperforms the contingency-dependent formulation since solutions
within the optimality tolerance are achieved in moderate computing times. Moreover, the robust
model can handle problems that are essentially intractable for the contingency-dependent
model. Research is currently underway to address a network constrained model. This further
work considers two aspects:

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[5] Adaptive Robust Optimization for the Security Constrained Unit

Commitment Problem

Dimitris Bertsimas, Eugene Litvinov, XuAndy Sun, Jinye Zhao, and Tongxin Zheng, Members
IEEE, February 2013

Unit commitment, one of the most critical tasks in electric power system operations,
faces new challenges as the supply and demand uncertainty increases dramatically due to the
integration of variable generation resources such as wind power and price responsive demand.
To meet these challenges, we propose a two-stage adaptive robust unit commitment model for
the security constrained unit commitment problem in the presence of nodal net injection
uncertainty. Compared to the conventional stochastic programming approach, the proposed
model is more practical in that it only requires a deterministic uncertainty set, rather than a
hard-to-obtain probability distribution on the uncertain data. The unit commitment solutions of
the proposed model are robust against all possible realizations of the modelled uncertainty. We
develop a practical solution methodology based on a combination of Benders decomposition
type algorithm and the outer approximation technique. Computational results demonstrate the
economic and operational advantages of our model over the traditional reserve adjustment
approach.

The adaptive robust model and its solution technique presented in this paper provide a novel
and practical approach to handle uncertainties in the unit commitment process. Such a
framework naturally fits into the daily reliability unit commitment process in an ISO
environment. We develop a practical solution method with the real-world large scale power
system operation in mind. We conduct extensive tests on the large scale system operated by the
ISO New England, and compare our model with the current reserve adjustment approach. We
find that by properly setting the level of conservatism in the uncertainty model, the adaptive
robust model exhibits sizable savings on both average dispatch and total costs, and signicantly
reduces the volatility of the dispatch cost, thus, improves the real-time reliability of the power
system operation. The robust model also shows resilient performance under different
probability distributions of load. The advantages of the adaptive robust model are further
illustrated by numerical tests on the same large scale system with higher level of net injection
uncertainty .Some discussions are in order. The proposed robust UC model is designed for the
reliability unit commitment phase in the daily market operation. The RUC phase is carried out

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by the ISO after the clearance of the day-ahead energy market. The purpose is to evaluate the
reliability of the day-a head market solution against forecast load and contingencies, and to
commit additional resources if necessary. RUC is an indispensable step for ensuring reliability
and security of the power system. Electricity prices should still be set in the day-a head market,
which functions as a purely nancial market. The proposed robust model includes basic reserve
requirement in order to cover generator contingencies, since generator contingency is not
considered in the uncertainty model. The computational results show that the robust approach is
economically efficient in reducing additional reserve requirement, when the net nodal injection
is uncertain. The stochastic factors that inuence the unit commitment problem are associated
with both supply and demand (e.g., demand forecast errors and price responsive demand). To
address these various uncertainty elements, the proposed two-stage adaptive robust framework
models the uncertainty at the individual nodal level. Therefore, the impact of resource level
uncertainty on the transmission system can be evaluated. Moreover, the proposed model can be
readily extended to include uncertainties related to inter-tie exchanges, system-wide and zonal
level load, and interface limited-rating. In our model, we assume that the commitment cost
function and the dispatch cost function are both linear, which is a common assumption in the
UC literature. In more realistic settings, the production cost can be modelled as a quadratic
function, the start-up cost can be described by an exponential function, both of which can be
approximated by piecewise linear functions and readily incorporated in our model. A non
convex cost function can also be approximated by a non convex piecewise linear function with
binary variable techniques. The outer-approximation algorithm needs to be modified in this case
and the performance of such reformulation is subject to detailed experimentation. The
framework of the proposed solution methodology, especially the outer approximation technique
to solve the second-stage problem, is not restricted to the budgeted uncertainty set and can be
applied to general polyhedral uncertainty sets. The methodology can also be generalized to
handle nonlinear convex constraints, such as ellipsoidal uncertainty sets, which have been used
to model correlations between uncertain variables; see .We can also fun derlying common
factors to model the correlation between uncertain variables. This approach has the advantage
of allowing polyhedral uncertainty sets, which reduces computational complexity to solve the
large-scale mixed integer robust unit commitment problem. We also remark that the second-
stage problem can be alternatively formulated as a mixed-integer optimization problem, using
the common technique of linearization of the bilinear term. However, in our experiments, we
observe slow convergence of this formulation for large scale problems. In the current practice,
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the SFT runs iteratively with the unit commitment procedure by gradually adding violated
transmission security constraints to the economic dispatch problem. Alternatively, as we
implemented in our numerical test, we can impose a set of critical transmission security
constraints in the second-stage problem without running the SFT. These critical transmission
security constraints are more likely to be violated than other constraints based on expert
knowledge and historical data, and they are usually a small subset of the total transmission
constraints. Therefore, this alternative approach can reduce the computation time for solving the
second-stage problem. To demonstrate the performance of the proposed algorithm in handling
more transmission lines, we conducted further experiments where 1876 transmission constraints
are modelled under the normal and contingency conditions. For all levels of uncertainty budget,
the algorithm is able to solve the problem to the same level of accuracy as set for the previous
experiments. The average computation time is 8.21 h on the PC laptop for the high accuracy
setting.

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[6] Robust Optimization for Transmission Expansion Planning: Minimax

Cost vs. Minimax Regret.

Bokan Chen, Jianhui Wang, Lizhi Wang, Yanyi He, and Zhaoyu Wang, Member, IEEE,
November 2014

Due to the long planning horizon, transmission expansion planning is typically

subjected to a lot of uncertainties including load growth, renewable energy penetration, policy
changes, etc. In addition, deregulation of the power industry and pressure from climate change
introduced new sources of uncertainties on the generation side of the system. Generation
expansion and retirement become highly uncertain as well. Some of the uncertainties do not
have probability distributions, making it difficult to use stochastic programming. Techniques
like robust optimization that do not require a probability distribution became desirable. To
address these challenges, we study two optimization criteria for the transmission expansion
planning problem under the robust optimization paradigm, where the maximum cost and
maximum regret of the expansion plan over all uncertainties are minimized, respectively. With
these models, our objective is to make planning decisions that are robust against all scenarios.
We use a two-layer algorithm to solve the resulting tri-level optimization problems. Then, in our
case studies, we compare the performance of the minimax cost approach and the minimax
regret approach under different characterizations of uncertainties.

We propose two robust optimization models for the transmission expansion planning
problem under uncertainty, where we take into consideration both the high-frequency
uncertainty caused by load fore cast errors and the low-frequency uncertainty caused by future
generation expansion and retirement. We use two criteria: minimax cost and minimax regret,
and compare their performances. The uncertain parameters are described by a polyhedral
uncertainty set. With this approach, we can derive an expansion plan that is robust under all
scenarios. The resulting models can be formulated as tri level mixed-integer problems. We use a
branch and cut type mechanism to decompose the problem in to a master problem and a sub
problem. The sub problem generates scenarios and returns them to the master problem to cut off
sub-optimal solutions. The bi level mixed-integer sub problem is reformulated into a single
level mixed-integer-programming problem with the KKT conditions to obtain the global
optimal solution.

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[7] Non-stationary Robust Transmission Expansion Planning

Raquel Garca-Bertrand, Senior Member, IEEE and Roberto Mnguez,May 2013

Recent breakthroughs in Transmission Network Expansion Planning (TNEP) have

demonstrated that the use of robust optimization, as opposed to stochastic programming
methods, renders the expansion planning problem computationally tractable for real systems.
State-of-the-art robust methods treat this problem as stationary throughout the study period,
with all the required investments on expansion of lines being made at the beginning of the
project horizon. However, it is common knowledge that socioeconomic and environmental
constraints might change considerably during the network life, such as planned increases in
wind-power generation capacities, variations of environmental conditions due to climate
change, or changing trends in consumption patterns, and these changes might also affect
optimal capacity expansion planning. In this paper the classical stationary assumption is
dispensed with and the existing adaptive robust transmission expansion planning formulation
for non-stationary approaches is expanded. The solution for this problem provides information
not only about what additional lines must be installed but the construction timing during the
study horizon as well. Moreover, the more evenly spread scheduling of construction, which,
with the method put forward in this paper, is distributed throughout the life of the network,
enables corrective measures to be taken in case the variables involved change in a manner
different from that initially conceived. Numerical results from an illustrative example and the
IEEE 118-bus system are presented and discussed, demonstrating the benefits of this non-
stationary approach with respect to classical methods.

In this paper the use of robust optimization for solving the transmission expansion
planning problem for non-stationary situations has been extended, which is more realistic as
regards the variability of energy resources and requirements. The model put forward herein
provides the initial design and the expansion plan as regards forthcoming years, assuming that
the Units in million e (): A dimensional value probability distributions for the random
variables (uncertainty sets) change between consecutive years. These changes might be due to
climate change or economic development of the area. With such a strategy, investment is made
little by little on request rather than entirely at the beginning of the project.

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[8] Two-Stage Robust Unit Commitment Problem

Muhong Zhang & Yongpei Guan, Shangai University, June 2009

As an energy market transforms from a regulated market to a deregulated one, the

demands for a power plant are highly uncertain. In this paper, we study a two-stage robust
optimization formulation and provide a tractable solution approach for the problem. The
computational experiments show the effectiveness of our approach.

Once a thermal unit generator is started up (or shut down), it will stay on (or off) for a
minimum amount of time, referred as the minimum-up (or -down) time, before it can be shut
down (or started up) again.

Once a thermal unit is on, the output for the unit should be between a certain range. For
instance, it should be between the minimum and the maximum output levels.

There are start-up and shut-down costs for unit operations. These two costs mainly include
labour and maintenance costs.

The heat rate profile is a non-decreasing convex function. Accordingly, the fuel cost can be
written as a non-decreasing quadratic function of the generation level. For instance, let the fuel
cost c(x) = c0x2 +c1x+c2, where x represents the generation level. Parameters c0, c1, and c2
are non-negative.

In this paper, we proposed a robust optimization approach to address demand

uncertainty for the unit-commitment problem under a deregulated energy market. In our
approach, we developed a robust integer programming formulation and the corresponding
algorithm to solve the problem. Our study shows that the problem is tractable and the
computational results verify the effectiveness.

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[9] Data-Driven Risk-Averse Stochastic Optimization with Wasserstein

Metric

Chaoyue Zhao & Yongpei Guan, IEEE Members, May 2013

The traditional two-stage stochastic programming approach is to minimize the total

expected cost with the assumption that the distribution of the random parameters is known.
However, in most practices, the actual distribution of the random parameters is not known, and
instead, only a series of historical data are available. Thus, the solution obtained from the
traditional two stage stochastic program can be biased and suboptimal for the true problem, if
the estimated distribution of the random parameters is not accurate, which is usually true when
only a limited amount of historical data are available. In this paper, we propose a data-driven
risk-averse stochastic optimization approach. Based on the observed historical data, we
construct the confidence set of the ambiguous distribution of the random parameters, and
develop a risk averse stochastic optimization framework to minimize the total expected cost
under the worst case distribution within the constructed confidence set. We introduce the
Wasserstein metric to construct the confidence set and by using this metric, we can successfully
reformulate the risk-averse two-stage stochastic program to its tractable counterpart. In
addition, we derive the worst-case distribution and develop efficient algorithms to solve the
reformulated problem.

Moreover, we perform convergence analysis to show that the risk averseness of the
proposed formulation vanishes as the amount of historical data grows to infinity, and
accordingly, the corresponding optimal objective value converges to that of the traditional risk-
neutral two stage stochastic program. We further precisely derive the convergence rate, which
indicates the value of data. Finally, the numerical experiments on risk-averse stochastic facility
location and stochastic unit commitment problems verify the effectiveness of our proposed
framework.

We proposed one of the first studies on data-driven stochastic optimization with

Wasserstein metric. These approaches can fit well in the data-driven environment. Based on a
given set of historical data, which corresponds to an empirical distribution, we can construct a
confidence set for the unknown true probability distribution using the Wasserstein metric
through statistical non parametric estimation, and accordingly develop a data-driven risk-averse

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two-stage stochastic optimization framework. The derived formulation can be reformulated into
a tractable two-stage robust optimization problem. Moreover, we obtained the corresponding
worst-case distribution and demonstrated the convergence of our risk-averse model to the
traditional risk-neutral one as the number of historical data samples increases to infinity.
Furthermore, we obtained a stronger result in terms of deriving the convergence rate and
providing the closed-form expression for the distance value (in constructing the confidence set)
as a function of the size of available historical data, which shows the value of data. Finally, we
applied our solution framework to solve the stochastic facility location and stochastic unit
commitment problems respectively, and the experiment results verified the effectiveness of our
proposed approach.

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 Data-Driven Stochastic Unit Commitment for Integrating Wind Generation

FUTURE SCOPE AND APPLICATIONS

We developed a data-driven risk-averse stochastic unit commitment model for

ISOs/RTOS to enhance their reliability unit commitment runs in the day-ahead market. Our
proposed approach does not require the detailed distribution of the uncertain problem
parameters as the traditional stochastic optimization approach does. Mean while, with the same
level of confidence guarantee, the conservativeness of our proposed approach is adjustable
based on the given amount of historical data and eventually vanishes as the size of historical
data goes to infinity, as compared to the traditional robust optimization approach, for which the
conservativeness does not vanish. Thus, our proposed approach is data driven and has the
potential to eventually become risk-neutral as the size of historical data goes to infinity.
Furthermore, for a given finite set of historical data, our approach can numerically show how
the extra amount of historical data can help reduce the conservativeness of our proposed model,
which can be considered the value of data. Finally, this proposed data-driven stochastic
optimization frame work can not only help solve the unit commitment problem, but also help
solve other power system problems such as generation investment, transmission planning, and
contingency analysis. In future research, we will study non-convex generation cost cases. We
will also explore more efficient decomposition algorithms to solve large-scale problems.

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 Data-Driven Stochastic Unit Commitment for Integrating Wind Generation

FUTURE PLAN

Data-Driven Stochastic Unit Commitment for Integrating Wind Generation

is work on the basis of the data that we are given to our simulation. The
data we are collect from the KSEB Load Dispatch Centre Kalammassery
Ernakulum Kerala and the Generation Station Thermal Power Generation in
Mettur Tamil Nadu. From that date we are project the next future
generation details and inbuilt the disasters mode. By using the Matlab
simulation the project will do. The data use for the Data-Driven Stochastic
Unit Commitment For Integrating Wind Generation.

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 Data-Driven Stochastic Unit Commitment for Integrating Wind Generation

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