risky_constraints_REV1.pdf (2.48 MB)
Risk-based constraints for the optimal operation of an energy community
preprintposted on 2022-05-02, 19:35 authored by Mihály DolányiMihály Dolányi, Kenneth Bruninx, Jean-François Toubeau, Erik Delarue
This paper formulates an energy community's centralized optimal bidding and scheduling problem as a time-series scenario-driven stochastic optimization model, building on real-life measurement data. In the presented model, a surrogate battery storage system with uncertain state-of-charge (SoC) bounds approximates the portfolio's aggregated flexibility.
First, it is emphasized in a stylized analysis that risk-based energy constraints are highly beneficial (compared to chance-constraints) in coordinating distributed assets with unknown costs of constraint violation, as they limit both violation magnitude and probability. The presented research extends state-of-the-art models by implementing a worst-case conditional value at risk (WCVaR) based constraint for the storage SoC bounds. Then, an extensive numerical comparison is conducted to analyze the trade-off between out-of-sample violations and expected objective values, revealing that the proposed WCVaR based constraint shields significantly better against extreme out-of-sample outcomes than the conditional value at risk based equivalent.
To bypass the non-trivial task of capturing the underlying time and asset-dependent uncertain processes, real-life measurement data is directly leveraged for both imbalance market uncertainty and load forecast errors. For this purpose, a shape-based clustering method is implemented to capture the input scenarios' temporal characteristics.
University of Leuven's C2 Research Project C24/16/018 entitled ”Energy Storage as a Disruptive Technology in the Energy System of the Future”.
Email Address of Submitting Authormihaly.email@example.com
Submitting Author's InstitutionKU Leuven
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