Sample average approximation for risk-averse problems: A virtual power plant scheduling application - Archive ouverte HAL
Article Dans Une Revue EURO Journal on Computational Optimization Année : 2021

Sample average approximation for risk-averse problems: A virtual power plant scheduling application

Résumé

In this paper, we address the decision-making problem of a virtual power plant (VPP) involving a self-scheduling and market involvement problem under uncertainty in the wind speed and electricity prices. The problem is modeled using a risk-neutral and two risk-averse two-stage stochastic programming formulations, where the conditional value at risk is used to represent risk. A sample average approximation methodology is integrated with an adapted L-Shaped solution method, which can solve risk-neutral and specific risk-averse problems. This methodology provides a framework to understand and quantify the impact of the sample size on the variability of the results. The numerical results include an analysis of the computational performance of the methodology for two case studies, estimators for the bounds of the true optimal solutions of the problems, and an assessment of the quality of the solutions obtained. In particular, numerical experiences indicate that when an adequate sample size is used, the solution obtained is close to the optimal one.
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Dates et versions

hal-03188611 , version 1 (02-04-2021)

Identifiants

Citer

Ricardo M Lima, Antonio J Conejo, Loïc Giraldi, Olivier Le Maître, Ibrahim Hoteit, et al.. Sample average approximation for risk-averse problems: A virtual power plant scheduling application. EURO Journal on Computational Optimization, 2021, 9, pp.100005. ⟨10.1016/j.ejco.2021.100005⟩. ⟨hal-03188611⟩
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