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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2407.13626 |
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| _version_ | 1866913435416002560 |
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| author | Mortimer, Thomas Mieth, Robert |
| author_facet | Mortimer, Thomas Mieth, Robert |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_13626 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems Mortimer, Thomas Mieth, Robert Systems and Control 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. |
| title | Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems |
| topic | Systems and Control |
| url | https://arxiv.org/abs/2407.13626 |