Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems
Systems and Control
2024-07-19 v1 Systems and Control
Abstract
We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In addition to a risk-neutral objective, this paper formulates two risk-aware objectives that control the conditional value-at-risk of system cost and the buffered probability of exceeding a predefined threshold of unserved load. The resulting policy uses a parameter-modified cost function approximation that reduces the computational load compared to the direct inclusion of those risk measures in the problem objective. We demonstrate our method on a numerical case study.
Keywords
Cite
@article{arxiv.2407.13626,
title = {Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems},
author = {Thomas Mortimer and Robert Mieth},
journal= {arXiv preprint arXiv:2407.13626},
year = {2024}
}