Data-Driven Risk-Averse Two-Stage Optimal Stochastic Scheduling of Energy and Reserve With Correlated Wind Power

This paper proposes a data-driven optimization method to solve the integrated energy and reserve dispatch problem with variable and correlated renewable energy generation. The proposed method applies the kernel density estimation to establish an ambiguity set of continuous multivariate probability distributions and the optimization model for the integrated dispatch is formulated as a combination of stochastic and robust optimization problems. First, a risk-averse two-stage stochastic optimization model is formulated to hedge the distributional uncertainty. Next, the second-stage worst case expectation is evaluated, using the equivalent model reformulation, as a combination of conditional value-at-risk (CVaR) and the extreme cost in the worst case scenario. The CVaR is calculated using a scenario-based stochastic optimization problem. After describing the wind power correlation in ellipsoidal uncertainty sets, the robust optimization problem for finding the worst case cost is cast into a mixed-integer second-order cone programming problem. Finally, the column-and-constraint generation method is employed to solve the proposed risk-averse two-stage problem. The proposed method is tested on the 6-bus and IEEE 118-bus systems and validated by comparing the results with those of conventional stochastic and robust optimization methods.