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For optimal power flow problems with chance constraints, a particularly effective method is based on a fixed point iteration applied to a sequence of deterministic power flow problems. However, a priori, the convergence of such an approach is not necessarily guaranteed. This article analyses the convergence conditions for this fixed point approach, and reports numerical experiments including for large IEEE networks. [ABSTRACT FROM AUTHOR]

We propose a chance-constrained formulation for the problem of dimensioning frequency restoration reserves on a power transmission network. We cast our problem as a two-stage stochastic mixed integer linear program, and propose a heuristic algorithm for solving the problem. Our model accounts for the simultaneous sizing of both upward and downward reserves, and uncertainty driven by imbalances, contingencies and available transmission capacity. Our core methodology is further adapted in order to minimize inter-zonal flows and in order to split reserve requirements between automatic and manual frequency restoration reserves. We apply our methodology to the problem of sizing reserves in the four load frequency control areas of the Swedish power system. We demonstrate the benefits of our method in terms of decreasing reserve requirements in the absence of reserve sharing, we analyze the spatial allocation of reserves, and we perform various sensitivity analyses. [ABSTRACT FROM AUTHOR]

Selecting the solution with the largest or smallest mean of a primary performance measure from a finite set of solutions while requiring secondary performance measures to satisfy certain constraints is called constrained selection of the best (CSB) in the simulation ranking and selection literature. In this paper, we consider CSB problems with secondary performance measures that must satisfy probabilistic constraints, and we call such problems chance constrained selection of the best (CCSB). We design procedures that first check the feasibility of all solutions and then select the best among all the sample feasible solutions. We prove the statistical validity of these procedures for variations of the CCSB problem under the indifference-zone formulation. Numerical results show that the proposed procedures can efficiently handle CCSB problems with up to 100 solutions, each with five chance constraints. [ABSTRACT FROM AUTHOR]

This paper is concerned with the design of a linear control law for a linear system with stationary additive disturbances. The objective is to find a state feedback gain that minimizes a quadratic stage cost function, while observing chance constraints on the input and/or the state. Unlike most of the previous literature, the chance constraints (and the stage cost) are not considered on each input/state of the transient response. Instead, they refer to the input/state of the closed-loop system in its stationary mode of operation. Hence the control is optimized for the long-run, rather than for finite-horizon operation. The controller synthesis problem can be cast as a convex semi-definite program (SDP). The chance constraints appear as linear matrix inequalities. Both single chance constraints (SCCs) and joint chance constraints (JCCs) on the input and/or the state can be included. If the disturbance is Gaussian, this information can be used to improve the controller design. The presented approach can also be extended to the case of output feedback. The entire design procedure is flexible and easy to implement, as demonstrated on a short illustrative example. [ABSTRACT FROM AUTHOR]

This paper designs a model predictive control (MPC) law for constrained linear systems with stochastic additive disturbances and noisy measurements, minimising a discounted cost subject to a discounted expectation constraint. It is assumed that sensor data is lost with a known probability. Taking into account the data losses modelled by a Bernoulli process, we parameterise the predicted control policy as an affine function of future observations and obtain a convex linear-quadratic optimal control problem. Constraint satisfaction and a discounted cost bound are ensured without imposing bounds on the distributions of the disturbance and noise inputs. In addition, the average long-run undiscounted closed loop cost is shown to be finite if the discount factor takes appropriate values. We analyse robustness of the proposed control law with respect to possible uncertainties in the arrival probability of sensor data and we bound the impact of these uncertainties on constraint satisfaction and the discounted cost. Numerical simulations are provided to illustrate these results. [ABSTRACT FROM AUTHOR]

We present an adaptive grid refinement algorithm to solve probabilistic optimization problems with infinitely many random constraints. Using a bilevel approach, we iteratively aggregate inequalities that provide most information not in a geometric but in a probabilistic sense. This conceptual idea, for which a convergence proof is provided, is then adapted to an implementable algorithm. The efficiency of our approach when compared to naive methods based on uniform grid refinement is illustrated for a numerical test example as well as for a water reservoir problem with joint probabilistic filling level constraints. [ABSTRACT FROM AUTHOR]

Intelligent home energy management system (IHEMS) manages various home appliances depending on user preferences in order to save energy cost and assure user satisfaction. To realize cooperation between the distribution system operator (DSO) and end-user, a two-stage scheduling optimization model is developed based on the flexibility quantification, with the user privacy in demand-side management in a specific cluster taken into account. It also aids to reduce the network operation cost, and the distribution system's uncertainty caused by wind power is represented using chance constraints. The user uploads the IHEMS-calculated offered flexibility to DSO via cluster; DSO optimizes the optimal flexibility to minimize the operation cost; then, clusters distribute the flexibility requirement based on the flexibility index; finally, the user updates the optimal schedule. The numerical results using MATLAB are provided to show the effectiveness of the proposed approach. [ABSTRACT FROM AUTHOR]

Most state-of-the-art algorithms for the Vehicle Routing Problem, such as Branch-and-Price algorithms or meta heuristics, rely on a fast feasibility test for a given route. We devise the first approach to approximately check feasibility in the Stochastic Vehicle Routing Problem with time windows, where travel times are correlated and depend on the time of the day. Assuming jointly normally distributed travel times, we use a chance constraint approach to model feasibility, where two different application scenarios are considered, depending on whether missing a customer makes the rest of the route infeasible or not. The former case may arise, e.g., in drayage applications or in the pickup-and-delivery VRP. In addition, we present an adaptive sampling algorithm that is tailored for our setting and is much faster than standard sampling techniques. We use a case study for both scenarios, based on instances with realistic travel times, to illustrate that taking correlations and time dependencies into account significantly improves the quality of the solutions, i.e., the precision of the feasibility decision. In particular, the nonconsideration of correlations often leads to solutions containing infeasible routes. [ABSTRACT FROM AUTHOR]

• Novel constrained grey-box optimization framework using Gaussian process models. • New almost everywhere differentiable acquisition function for composite functions. • Efficient moment-based approximation of chance constraints. • Tailored algorithm for enrichment sub-problem that exploits model structure. • Performance comparison with Bayesian optimization on diverse set of test problems. [Display omitted] Many engineering problems involve the optimization of computationally expensive models for which derivative information is not readily available. The Bayesian optimization (BO) framework is a particularly promising approach for solving these problems, which uses Gaussian process (GP) models and an expected utility function to systematically tradeoff between exploitation and exploration of the design space. BO, however, is fundamentally limited by the black-box model assumption that does not take into account any underlying problem structure. In this paper, we propose a new algorithm, COBALT, for constrained grey-box optimization problems that combines multivariate GP models with a novel constrained expected utility function whose structure can be exploited by state-of-the-art nonlinear programming solvers. COBALT is compared to traditional BO on seven test problems including the calibration of a genome-scale bioreactor model to experimental data. Overall, COBALT shows very promising performance on both unconstrained and constrained test problems. [ABSTRACT FROM AUTHOR]

Motion primitive planning under parametric uncertainty may be modeled as a chance-constrained Markov Decision Process (CCMDP). Single-query solutions to CCMDPs can be obtained by searching the And/Or graph representing the state–action space of the system. The Risk-bounded AO* (RAO*) algorithm has been proposed as a solution method for this problem, but it scales poorly to MDPs resulting from a motion primitive discretization because it has no mechanism to prioritize expansion of AND nodes. This paper describes an induced heuristic for state–action pairs that can be rapidly computed by leveraging the properties of motion primitives; its value can be used to prioritize AND nodes for more efficient search. Search is further accelerated by leveraging shared symmetry in constraints and dynamics to move almost all computation necessary to enforce convex polytope constraints offline. The performance improvements are demonstrated with path planning problems involving a Dubins Car and a nonlinear aircraft model. • Motion primitives discretize vehicle action set while retaining high performance. • Koopman operator based expected value calculations combine with primitives. • And/Or graph search techniques produce optimal chance constrained primitive plans. • A novel admissible heuristic accelerates the presented algorithm by a factor of 15. [ABSTRACT FROM AUTHOR]

The increasing complexity of modern technical systems can exacerbate model uncertainty in model-based control, posing a great challenge to safe and effective system operation under closed loop. Online learning of model uncertainty can enhance control performance by reducing plant–model mismatch. This article presents a learning-based stochastic model predictive control (LB-SMPC) strategy for reference tracking of stochastic linear systems with additive state-dependent uncertainty. The LB-SMPC strategy adapts the state-dependent uncertainty model online to reduce plant–model mismatch for control performance optimization. Standard reachability and statistical tools are leveraged along with the state-dependent uncertainty model to develop a chance constraint-tightening approach, which ensures state constraint satisfaction in probability. The stability and recursive feasibility of the LB-SMPC strategy are established for tracking time-varying targets, without the need to redesign the controller every time the target is changed. The performance of the LB-SMPC strategy is experimentally demonstrated on an atmospheric pressure plasma jet (APPJ) testbed with prototypical applications in plasma medicine and materials processing. Real-time control comparisons with learning-based MPC with no uncertainty handling and offset-free MPC showcase the usefulness of LB-SMPC for predictive control of safety-critical systems with hard-to-model and/or time-varying dynamics. [ABSTRACT FROM AUTHOR]

We extend the theory of penalty functions to stochastic programming problems with nonlinear inequality constraints dependent on a random vector with known distribution. We show that the problems with penalty objective, penalty constraints and chance constraints are asymptotically equivalent under discretely distributed random parts. This is a complementary result to Branda (Kybernetika 48(1):105-122, ), Branda and Dupačová (Ann Oper Res 193(1):3-19, ), and Ermoliev et al. (Ann Oper Res 99:207-225, ) where the theorems were restricted to continuous distributions only. We propose bounds on optimal values and convergence of optimal solutions. Moreover, we apply exact penalization under modified calmness property to improve the results. [ABSTRACT FROM AUTHOR]

Deterministic optimization approaches have been developed and used in the optimization of hydrogen network in refinery. However, uncertainties may have a large impact on the optimization of hydrogen network. Thus the consideration of uncertainties in optimization approaches is necessary for the optimization of hydrogen network. A novel chance constrained programming (CCP) approach for the optimization of hydrogen network in refinery under uncertainties is proposed. The stochastic properties of the uncertainties are explicitly considered in the problem formulation in which some input and state constraints are to be complied with predefined probability levels. The problem is then transformed to an equivalent deterministic mixed-integer nonlinear programming (MINLP) problem so that it can be solved by a MINLP solver. The solution of the optimization problem provides comprehensive information on the economic benefit under different confidence levels by satisfying process constraints. Based on this approach, an optimal and reliable decision can be made, and a suitable compensation between the profit and the probability of constraints violation can be achieved. The approach proposed in this paper makes better use of resources and can provide significant environmental and economic benefits. Finally, a case study from a refinery in China is presented to illustrate the applicability and efficiency of the developed approach. [ABSTRACT FROM AUTHOR]

Obstacle avoidance, and by extension collision checking, is a basic requirement for robot autonomy. Most classical approaches to collision-checking ignore the uncertainties associated with the robot and obstacle’s geometry and position. It is natural to use a probabilistic description of the uncertainties. However, constraint satisfaction cannot be guaranteed, in this case, and collision constraints must instead be converted to chance constraints. Standard results for linear probabilistic constraint evaluation have been applied to probabilistic collision evaluation; however, this approach ignores the uncertainty associated with the sensed obstacle. An alternative formulation of probabilistic collision checking that accounts for robot and obstacle uncertainty is presented which allows for dependent object distributions (e.g., interactive robot-obstacle models). In order to efficiently enforce the resulting collision chance constraints, an approximation is proposed and the validity of this approximation is evaluated. The results presented here have been applied to robot-motion planning in dynamic, uncertain environments. [ABSTRACT FROM AUTHOR]

Abstract: This paper addresses super-efficiency issue based on input relaxation model in stochastic data envelopment analysis. The proposed model is not limited to using the input amounts of evaluating DMU, and one can obtain a total ordering of units by using this method. The input relaxation super-efficiency model is developed in stochastic data envelopment analysis, and its deterministic equivalent, also, is derived which is a nonlinear program. Moreover, it is shown that the deterministic equivalent of the stochastic super-efficiency model can be converted to a quadratic program. As an empirical example, the proposed method is applied to the data of textile industry of China to rank efficient units. Finally, when allowable limits of data variations for evaluating DMU are permitted, the sensitivity analysis of the proposed model is discussed. [Copyright &y& Elsevier]

Abstract: In this paper, additive model is used to provide an alternative approach for estimating returns to scale in data envelopment analysis. The proposed model is developed in both stochastic and fuzzy data envelopment analysis. Deterministic (crisp) equivalents are obtained which correspond to the stochastic and fuzzy models. Numerical examples are, also, used to illustrate the proposed approaches. [Copyright &y& Elsevier]

Abstract: This paper deals with chance constraints based reliability stochastic optimization problem in the series system. This problem can be formulated as a nonlinear integer programming problem of maximizing the overall system reliability under chance constraints due to resources. The assumption of traditional reliability optimization problem is that the reliability of a component is known as a fixed quantity which lies in the open interval (0,1). However, in real life situations, the reliability of an individual component may vary due to some realistic factors and it is sensible to treat this as a positive imprecise number and this imprecise number is represented by an interval valued number. In this work, we have formulated the reliability optimization problem as a chance constraints based reliability stochastic optimization problem with interval valued reliabilities of components. Then, the chance constraints of the problem are converted into the equivalent deterministic form. The transformed problem has been formulated as an unconstrained integer programming problem with interval coefficients by Big-M penalty technique. Then to solve this problem, we have developed a real coded genetic algorithm (GA) for integer variables with tournament selection, uniform crossover and one-neighborhood mutation. To illustrate the model two numerical examples have been solved by our developed GA. Finally to study the stability of our developed GA with respect to the different GA parameters, sensitivity analyses have been done graphically. [Copyright &y& Elsevier]

Deterministic optimization approaches have been well developed and widely used in the process industry to accomplish off-line and on-line process optimization. The challenging task for the academic research currently is to address large-scale, complex optimization problems under various uncertainties. Therefore, investigations on the development of stochastic optimization approaches are needed. In the last few years we proposed and utilized a new solution concept to deal with optimization problems under uncertain operating conditions as well as uncertain model parameters. Stochastic optimization problems are solved with the methodology of chance constrained programming. The problem is to be relaxed into an equivalent nonlinear optimization problem such that it can be solved by a nonlinear programming (NLP) solver. The major challenge towards solving chance constrained optimization problems lies in the computation of the probability and its derivatives of satisfying inequality constraints. Approaches to addressing linear, nonlinear, steady-state as well as dynamic optimization problems under uncertainty have been developed and applied to various optimization tasks with uncertainties such as optimal design and operation, optimal production planning as well as optimal control of industrial processes under uncertainty. In this paper, a comprehensive summary of our recent work on the theoretical development and practical applications is presented. [Copyright &y& Elsevier]

In this paper, the selective travelling salesperson problem with stochastic service times, travel times, and travel costs (SSTSP) is addressed. In the SSTSP, service times, travel times and travel costs are known a priori only probabilistically. A non-negative value of reward for providing service is associated with each customer and there is a pre-specified limit on the duration of the solution tour. It is assumed that not all potential customers can be visited within this tour duration limit, even under the best circumstances. And, thus, a subset of customers must be selected. The objective of the SSTSP is to design an a priori tour that visits each chosen customer once such that the total profit (total reward collected by servicing customers minus travel costs) is maximized and the probability that the total actual tour duration exceeds a given threshold is no larger than a chosen probability value. We formulate the SSTSP as a chance-constrained stochastic program and propose both exact and heuristic approaches for solving it. Computational experiments indicate that the exact algorithm is able to solve small- and moderate-size problems to optimality and the heuristic can provide near-optimal solutions in significantly reduced computing time. [ABSTRACT FROM AUTHOR]

The required time for surgical interventions in operating rooms (OR) may vary significantly from the predicted values depending on the type of operations being performed, the surgical team, and the patient. These deviations diminish the efficient utilization of OR resources and result in the disruption of projected surgery start times. This paper proposes a two-stage chance-constrained model to solve the OR scheduling problem under uncertainty. The goal is to minimize the costs associated with OR opening and overtime as well as reduce patient waiting times. The risk of OR overtime is controlled using chance constraints. Numerical experiments show that the proposed model provides a better trade-off between minimizing costs and reducing solution variability when compared to two existing models in the literature. It is also shown that the three models converge as the overtime probability threshold approaches one. Moreover, it is observed that the individual chance constraints result in the opening of fewer rooms, lower waiting times, and shorter solution times when compared to that of joint chance constraints. A decomposition algorithm is applied that solves large test instances of the OR scheduling problem, that of which is known to be NP-hard. Strong valid inequalities are derived in order to accelerate the convergence speed. The proposed approach outperformed both a commercial solver and a basic decomposition algorithm after solving all test instances with up to 89 surgeries and 20 ORs in less than 48 minutes.

An unmanned surface vehicles (USV) set point tracking problem is investigated in this paper. The stochastic model predictive control (SMPC) scheme is utilized to design the controller in order to reject the environment disturbances and meet the physical constraints. The design problem is formulated as a chance-constrained stochastic optimization problem, which is non-convex. Thus, the problem is computationally prohibitive. For this, the convex conditional value at risk (CVaR) approximation is introduced to convert the chance constraints into deterministic convex constraints. The converted constraints are then further transformed into the second order cone (SOC) constraints. Therefore, the proposed method is computationally tractable and hence can be implemented online. A numerical example is provided to illustrate the effectiveness of the proposed method.

The increased penetration of plug-in electric vehicles asks for efficient algorithms to be adopted in parking lots equipped with charging units. In this paper, the peak power minimization problem for a plug-in charging station is addressed. A chance constraint approach is adopted in order to minimize the daily peak power, allowing for a tolerance on the charging service customer satisfaction expressing the probability that a vehicle leaves the station violating the agreed level of charge. Numerical simulations are provided to evaluate the performance of the proposed approach as well as to make a comparison with other techniques. [ABSTRACT FROM AUTHOR]

We describe a practical two-stage algorithm, BootComp, for multi-objective optimization via simulation. Our algorithm finds a subset of good designs that a decision-maker can compare to identify the one that works best when considering all aspects of the system, including those that cannot be modeled. BootComp is designed to be straightforward to implement by a practitioner with basic statistical knowledge in a simulation package that does not support sequential ranking and selection. These requirements restrict us to a two-stage procedure that works with any distributions of the outputs and allows for the use of common random numbers. Comparisons with sequential ranking and selection methods suggest that it performs well, and we also demonstrate its use analyzing a real simulation aiming to determine the optimal ward configuration for a UK hospital. [ABSTRACT FROM AUTHOR]

An industrial microgrid (IMG) consists in a microgrid involving manufacturer plants that are usually equipped with distributed generation facilities, industrial electric vehicles, energy storage systems, and so on. In this paper, the problem of IMG-efficient operation in the presence of plug-in electric vehicles is addressed. To this purpose, the schedule of the different device operations of IMGs has to be optimally computed, minimizing the operation cost while guaranteeing the electrical network stability and the production constraints. Such a problem is formulated in a receding horizon framework involving dynamic optimal power flow equations. Uncertainty affecting plug-in electric vehicles is handled by means of a chance constraint approach. The obtained nonconvex problem is then approximately solved by exploiting suitable convex relaxation techniques. The numerical simulations have been performed showing computational feasibility and robustness of the proposed approach against increased penetration of the electric vehicles.

In this paper, we propose the distributionally robust secure transmit schemes in multi-input single-output (MISO) downlink wireless networks which consist of a transmitter, a desired receiver, multiple eavesdroppers and an assisting jammer. The imperfect channel state information (CSI) is considered and the CSI errors are only captured by the mean and covariance. We first study the transmit power minimization by jointly designing the beamforming vector at transmitter and artificial noise(AN) covariance at jammer, while the lower bound of connection probability at desired receiver and lower bound of outage probability at eavesdroppers are guaranteed simultaneously. Since the chance-constrained problem is non-convex, we derive two safe convex approximations by exploiting the Conditional Value-at-risk (CVaR) based method and Bernstein-type inequality (BTiE) based method, respectively. Specifically, we extend the application of BTiE originally proposed with the Gaussianity assumption to other possible distributions which satisfy the proposed sufficient condition. Furthermore, the secrecy rate maximization is exploited under the constraint of total transmit power. The original problem is non-convex and fractional, hence we design the Bilevel Quick Search (BQS) method to make it tractable. Finally, the simulation results verify the effectiveness and the robustness of the proposed transmit schemes.

A modern power system is characterized by a stochastic variation of the loads and an increasing penetration of renewable energy generation, which results in large uncertainties in its states. These uncertainties bring formidable challenges to the power system planning and operation process. To address these challenges, we propose a cost-effective, iterative response-surface-based approach for the chance-constrained AC optimal power-flow problem that aims to ensure the secure operation of the power systems considering dependent uncertainties. Starting from a stochastic-sampling-based framework, we first utilize the copula theory to simulate the dependence among multivariate uncertain inputs. Then, to reduce the prohibitive computational time required in the traditional Monte-Carlo method, we propose, instead of using the original complicated power-system model, to rely on a polynomial-chaos-based response surface. This response surface allows us to efficiently evaluate the time-consuming power-system model at arbitrary distributed sampled values with a negligible computational cost. This further enables us to efficiently conduct an online stochastic testing for the system states that not only screens out the statistical active constraints, but also assists in a better design of the tightened bounds without using any Gaussian or symmetric assumption. Finally, an iterative procedure is executed to fine-tune the optimal solution that better satisfies a predefined probability. The simulations conducted in multiple test systems demonstrate the excellent performance of the proposed method. [ABSTRACT FROM AUTHOR]

This work considers nonsmooth and nonconvex optimization problems whose objective and constraint functions are defined by difference-of-convex (DC) functions. We consider an infeasible bundle method based on the so-called improvement functions to compute critical points for problems of this class. Our algorithm neither employs penalization techniques nor solves subproblems with linearized constraints. The approach, which encompasses bundle methods for nonlinearly-constrained convex programs, defines trial points as solutions of strongly convex quadratic programs. Different stationarity definitions are investigated, depending on the functions' structures. The approach is assessed in a class of nonsmooth DC-constrained optimization problems modeling chance-constrained programs. [ABSTRACT FROM AUTHOR]

This paper presents a convex, multi-period, AC-feasible Optimal Power Flow (OPF) framework that robustly dispatches flexible demand-side resources in unbalanced distribution feeders against uncertainty in very-short timescale solar Photo-Voltaic (PV) forecasts. This is valuable for power systems with significant behind-the-meter solar PV generation as their operation is affected by uncertainty from forecasts of demand and solar PV generation. The aim of this work is then to ensure the feasibility and reliability of distribution system operation under high solar PV penetration. We develop and present a novel, robust OPF formulation that accounts for both the nonlinear power flow constraints and the uncertainty in forecasts. This is achieved by linearizing an optimal trajectory and using first-order methods to systematically tighten voltage bounds. Case studies on a realistic distribution feeder shows the effectiveness of a receding-horizon implementation. [ABSTRACT FROM AUTHOR]

There is an emerging need for efficient solutions to stochastic AC Optimal Power Flow (AC-OPF) to ensure optimal and reliable grid operations in the presence of increasing demand and generation uncertainty. This paper presents a highly scalable data-driven algorithm for stochastic AC-OPF that has extremely low sample requirement. The novelty behind the algorithm's performance involves an iterative scenario design approach that merges information regarding constraint violations in the system with data-driven sparse regression. Compared to conventional methods with random scenario sampling, our approach is able to provide feasible operating points for realistic systems with much lower sample requirements. Furthermore, multiple sub-tasks in our approach can be easily paralleled and based on historical data to enhance its performance and application. We demonstrate the computational improvements of our approach through simulations on different test cases in the IEEE PES PGLib-OPF benchmark library. [ABSTRACT FROM AUTHOR]

Generating electricity by co-combusting biomass and coal, known as biomass cofiring, is shown to be an economically attractive option for coal-fired power plants to comply with emission regulations. However, the total carbon footprint of the associated supply chain still needs to be carefully investigated. In this study we propose a stochastic biobjective optimization model to analyze the economic and environmental impacts of biopower supply chains. We use a life cycle assessment approach to derive the emission factors used in the environmental objective function. We use chance constraints to capture the uncertain nature of energy content of biomass feedstocks. We propose a cutting plane algorithm which uses the sample average approximation method to model the chance constraints and finds high confidence feasible solutions. In order to find Pareto optimal solutions we propose a heuristic approach which integrates the ϵ -constraint method with the cutting plane algorithm. We show that the developed approach provides a set of local Pareto optimal solutions with high confidence and reasonable computational time. We develop a case study using data about biomass and coal plants in North and South Carolina. The results indicate that, cofiring of biomass in these states can reduce emissions by up to 8%. Increasing the amount of biomass cofired will not result in lower emissions due to biomass delivery. [ABSTRACT FROM AUTHOR]

Recent increases in renewable power generation challenge the operation of the power grid: generation rates fluctuate in time and are not synchronized with power demand fluctuations. Demand response (DR) consists of adjusting user electricity demand to match available power supply. Chemical plants are appealing candidates for DR programs; they offer large, concentrated loads that can be modulated via production scheduling. Price‐based DR is a common means of engaging industrial entities; its benefits increase significantly when a longer (typically, a few days) scheduling time horizon is considered. DR production scheduling comes with its own challenges, related to uncertainty in future (i.e., forecast) electricity prices and product demand. In this work, we provide a framework for DR production scheduling under uncertainty based on a chance‐constrained formulation that also accounts for the dynamics of the production facility. The ideas are illustrated with an air separation unit case study. [ABSTRACT FROM AUTHOR]

In classic Markov Decision Processes (MDPs), action costs and transition probabilities are assumed to be known, although an accurate estimation of these parameters is often not possible in practice. This study addresses MDPs under cost and transition probability uncertainty and aims to provide a mathematical framework to obtain policies minimizing the risk of high long-term losses due to not knowing the true system parameters. To this end, we utilize the risk measure value-at-risk associated with the expected performance of an MDP model with respect to parameter uncertainty. We provide mixed-integer linear and nonlinear programming formulations and heuristic algorithms for such risk-averse models of MDPs under a finite distribution of the uncertain parameters. Our proposed models and solution methods are illustrated on an inventory management problem for humanitarian relief operations during a slow-onset disaster. The results demonstrate the potential of our risk-averse modeling approach for reducing the risk of highly undesirable outcomes in uncertain/risky environments. [ABSTRACT FROM AUTHOR]

Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize the uncertainty and their scenario-based stochastic extensions are limited in their ability to simultaneously maximize social welfare and guarantee non-confiscatory market outcomes in expectation and per each scenario. This article proposes a chance-constrained stochastic market design, which is capable of producing a robust competitive equilibrium and internalizing uncertainty of the renewable resources in the price formation process. The equilibrium and resulting prices are obtained for different uncertainty assumptions, which requires using either linear (restrictive assumptions) or second-order conic (more general assumptions) duality in the price formation process. The usefulness of the proposed stochastic market design is demonstrated via the case study carried out on the 8-zone ISO New England testbed. [ABSTRACT FROM AUTHOR]

We introduce a novel chance-constrained stochastic unit commitment model to address uncertainty in renewables' production in operations of power systems. For most thermal generators, underlying technical constraints that are universally treated as "hard" by deterministic unit commitment models are in fact based on engineering judgments, such that system operators can periodically request operation outside these limits in non-nominal situations, e.g., to ensure reliability. We incorporate this practical consideration into a chance-constrained stochastic unit commitment model, specifically by infrequently allowing minor deviations from the minimum and maximum thermal generator power output levels. We demonstrate that an extensive form of our model is computationally tractable for medium-sized power systems given modest numbers of scenarios for renewables' production. We show that the model is able to potentially save significant annual production costs by allowing infrequent and controlled violation of the traditionally hard bounds imposed on thermal generator production limits. Finally, we conduct a sensitivity analysis of optimal solutions to our model under two restricted regimes and observe similar qualitative results. [ABSTRACT FROM AUTHOR]

This article studies optimal plug-in electric vehicle (PEV) charging station planning, with consideration for the “overstay” problem. Today, public PEV charging station utilization is typically around 15%. When un-utilized, the chargers are either idle or occupied by a fully charged PEV that has not departed. We call this “overstay.” This motivates a strategy for increasing utilization by interchanging fully charged PEVs with those waiting for service—an issue which is not well addressed in the existing literature. Thus, this article studies the PEV charging station planning problem taking strategic interchange into account. To our best understanding, this has not been studied in the literature. With interchange, the objective is to enhance the charger utilization rate and, thus, reduce the number of chargers. This potentially reduces the capital investment and operational cost. A novel power/energy aggregation model is proposed, and a chance-constrained stochastic programming planning model with interchange is developed for a public charging station to incorporate customer demand uncertainties. Numerical experiments are conducted to illustrate the performance of the proposed method. Simulation results show that incorporating strategic interchange operation can significantly decrease the number of chargers, enhance utilization and economic efficiency. [ABSTRACT FROM AUTHOR]

The selection and planning of technical projects is an important and challenging investment decision for companies as significant amount of capital is often involved. With the growing complexity and scale, managing technical research projects and technology roadmap (TRM) are greatly affected by uncertainties than ever before. However, existing approaches for addressing these problems are restricted to deterministic environments. In this study, a general methodology based on graph theory and mathematical programming for R&D projects planning subject to uncertainty is proposed to maximize profit and to find precedence relations according to technological trends for given budgets and time. We first put forward a new graph model and its mathematical definition to represent the relations among technologies. The network contains nodes to represent technologies and edges to denote feasible paths between two technology nodes. To deal with uncertainty, a network-based novel robust optimization model as well as a chance constrained model is developed. Finally, we apply the proposed model and solution approach to the TRM of Smart Home industry. The numerical study shows that the proposed method can effectively and efficiently solve the optimization problems for technical project planning, path designing, and project management, under uncertainty. [ABSTRACT FROM AUTHOR]

In stochastic optimization, probabilities naturally arise as cost functionals and chance constraints. Unfortunately, these functions are difficult to handle both theoretically and computationally. The buffered probability of failure and its subsequent extensions were developed as numerically tractable, conservative surrogates for probabilistic computations. In this manuscript, we introduce the higher-moment buffered probability. Whereas the buffered probability is defined using the conditional value-at-risk, the higher-moment buffered probability is defined using higher-moment coherent risk measures. In this way, the higher-moment buffered probability encodes information about the magnitude of tail moments, not simply the tail average. We prove that the higher-moment buffered probability is closed, monotonic, quasi-convex and can be computed by solving a smooth one-dimensional convex optimization problem. These properties enable smooth reformulations of both higher-moment buffered probability cost functionals and constraints. [ABSTRACT FROM AUTHOR]

Managers seek to meet quarterly profit targets because missing a target affects both the stock price and bonuses. To capture how these targets can affect a retailer's procurement decisions, we analyze a periodic‐review inventory model with a chance constraint in each period that requires meeting a profit target with a given probability, while maximizing expected profit. Corporate profits are reported using accrual accounting, but inventory models typically use cash‐basis accounting. We consider both methods. The optimal policy under accrual accounting is quite complicated, involving a state‐dependent disposal policy, so we focus on the class of policies in which, in each period, the disposal quantity is increasing in the remaining inventory after demand has occurred, and show that the optimal policy consists of an order‐up‐to level and a dispose‐down‐to level in each period. These values may depend upon the constraint in that period and in all subsequent periods, so each constraint may have far‐reaching effects. We also derive the optimal policy under cash‐basis accounting for the infinite horizon stationary case and find that it is state‐ and demand dependent, even in this "easy" case. We offer insights into how the chance constraints affect the optimal procurement decisions and profits under both accounting schemes, and show that the chance constraints can lead to perverse behavior under cash‐basis accounting. [ABSTRACT FROM AUTHOR]