Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems

2024/07/18 by Thomas Mortimer, Mortimer, Thomas, Robert Mieth +1 · 1 citation
Engineering · #FOS: Electrical engineering #Mining Techniques and Economics #Oil and Gas Production Techniques #Reservoir Engineering and Simulation Methods #Systems and Control (eess.SY) #electronic engineering #information engineering

paper · pdf · doi:10.48550/arxiv.2407.13626

openalex publication_date 2024/07/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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