Risk-sensitive energy procurement with uncertain wind

Avinash N. Madavan, Subhonmesh Bose

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We formulate a risk-sensitive forward energy procurement problem with uncertain wind generation that penalizes costs and constraint violations via conditional value at risk (CVaR). The risk-sensitive formulation allows a system operator to model her tolerance to high uncertain costs and constraint violations. We further propose a primal-dual stochastic subgradient based algorithm to solve the energy procurement problem where the dispatch decisions update in each iteration based on samples of wind power output.

Original languageEnglish (US)
Title of host publicationGlobalSIP 2019 - 7th IEEE Global Conference on Signal and Information Processing, Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9781728127231
DOIs
StatePublished - Nov 2019
Event7th IEEE Global Conference on Signal and Information Processing, GlobalSIP 2019 - Ottawa, Canada
Duration: Nov 11 2019Nov 14 2019

Publication series

NameGlobalSIP 2019 - 7th IEEE Global Conference on Signal and Information Processing, Proceedings

Conference

Conference7th IEEE Global Conference on Signal and Information Processing, GlobalSIP 2019
Country/TerritoryCanada
CityOttawa
Period11/11/1911/14/19

ASJC Scopus subject areas

  • Information Systems
  • Information Systems and Management
  • Artificial Intelligence
  • Computer Vision and Pattern Recognition
  • Signal Processing

Fingerprint

Dive into the research topics of 'Risk-sensitive energy procurement with uncertain wind'. Together they form a unique fingerprint.

Cite this