Risk-Sensitive Security-Constrained Economic Dispatch: Pricing and Algorithm Design
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arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866929721129828352 |
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| author | Madavan, Avinash N. Dahlin, Nathan Bose, Subhonmesh Tong, Lang |
| author_facet | Madavan, Avinash N. Dahlin, Nathan Bose, Subhonmesh Tong, Lang |
| contents | We propose a risk-sensitive security-constrained economic dispatch (R-SCED) formulation capturing the tradeoff between dispatch cost and resilience against potential line failures, where risk is modeled via the conditional value at risk (CVaR). In the context of our formulation, we analyze revenue adequacy and side payments of two pricing models, one based on nominal generation costs, and another based on total marginal cost including contingencies. In particular, we prove that the system operator's (SO) merchandising surplus (MS) and total revenue are nonnegative under the latter, while under the former the same does not hold in general. We demonstrate that the proposed R-SCED formulation is amenable to decomposition and describe a Benders' decomposition algorithm to solve it. In numerical examples, we illustrate the differences in MS and total revenue under the considered pricing schemes, and the computational efficiency of our decomposition approach. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_14150 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Risk-Sensitive Security-Constrained Economic Dispatch: Pricing and Algorithm Design Madavan, Avinash N. Dahlin, Nathan Bose, Subhonmesh Tong, Lang Systems and Control Theoretical Economics We propose a risk-sensitive security-constrained economic dispatch (R-SCED) formulation capturing the tradeoff between dispatch cost and resilience against potential line failures, where risk is modeled via the conditional value at risk (CVaR). In the context of our formulation, we analyze revenue adequacy and side payments of two pricing models, one based on nominal generation costs, and another based on total marginal cost including contingencies. In particular, we prove that the system operator's (SO) merchandising surplus (MS) and total revenue are nonnegative under the latter, while under the former the same does not hold in general. We demonstrate that the proposed R-SCED formulation is amenable to decomposition and describe a Benders' decomposition algorithm to solve it. In numerical examples, we illustrate the differences in MS and total revenue under the considered pricing schemes, and the computational efficiency of our decomposition approach. |
| title | Risk-Sensitive Security-Constrained Economic Dispatch: Pricing and Algorithm Design |
| topic | Systems and Control Theoretical Economics |
| url | https://arxiv.org/abs/2502.14150 |