Name
Title | ||
|---|---|---|
Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system. |
Abstract | ||
|---|---|---|
In this paper, we develop a stochastic programming model for economic dispatch of a power system with operational reliability and risk control constraints. By defining a severity-index function, we propose to use conditional value-at-risk (CVaR) for measuring the reliability and risk control of the system. The economic dispatch is subsequently formulated as a stochastic program with CVaR constraint. To solve the stochastic optimization model, we propose a penalized sample average approximation (SAA) scheme which incorporates specific features of smoothing technique and level function method. Under some moderate conditions, we demonstrate that with probability approaching to 1 at an exponential rate with the increase of sample size, the optimal solution of the smoothing SAA problem converges to its true counterpart. Numerical tests have been carried out for a standard IEEE-30 DC power system. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1007/s10287-016-0251-8 | Comput. Manag. Science |
Keywords | Field | DocType |
Stochastic programming,Economic dispatch,Conditional value-at-risk,Sample average approximation,Level function method | Economic dispatch,Mathematical optimization,Stochastic optimization,Electric power system,Smoothing,Stochastic programming,Sample size determination,Mathematics,Expected shortfall,CVAR | Journal |
Volume | Issue | ISSN |
13 | 3 | 1619-697X |
Citations | PageRank | References |
0 | 0.34 | 8 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| X. J. Tong | 1 | 0 | 0.34 |
| Huifu Xu | 2 | 394 | 32.01 |
| Felix F. Wu | 3 | 273 | 43.65 |
| Zhe Zhao | 4 | 23 | 9.12 |