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Risk-Sensitive Energy Procurement with Uncertain Wind

Event Type
Seminar/Symposium
Sponsor
Grainger CEME
Location
4070 ECEB
Date
Nov 4, 2019   3:00 - 4:00 pm  
Speaker
Avinash Madavan
Views
6

Slides

Video

 

Abstract

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.

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