2015/08/21 by Cosmin Safta, Safta, Cosmin, Richard Li-Yang Chen +7
Computer Science · Decision Sciences · #Advanced Multi-Objective Optimization Algorithms #Computational Engineering #FOS: Computer and information sciences #FOS: Mathematics #Finance #Gaussian Processes and Bayesian Inference #Optimization and Control (math.OC) #Probabilistic and Robust Engineering Design #and Science (cs.CE)
paper · pdf · doi:10.48550/arxiv.1508.05176
openalex publication_date 2015/08/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Stochastic economic dispatch models address uncertainties in forecasts of renewable generation output by considering a finite number of realizations drawn from a stochastic process model, typically via Monte Carlo sampling. Accurate evaluations of expectations or higher-order moments for quantities of interest, e.g., generating cost, can require a prohibitively large number of samples. We propose an alternative to Monte Carlo sampling based on Polynomial Chaos expansions. These representations are based on sparse quadrature methods, and enable accurate propagation of uncertainties in model parameters. We also investigate a method based on Karhunen-Loeve expansions that enables us to efficiently represent uncertainties in renewable energy generation. Considering expected production cost, we demonstrate that the proposed approach can yield several orders of magnitude reduction in computational cost for solving stochastic economic dispatch relative to Monte Carlo sampling, for a given target error threshold.