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Critical chain buffer management (CCBM) has been extensively studied in recent years. This paper investigates a new formulation of CCBM, the multimode chance-constrained CCBM problem. A flow-based mixed-integer linear programming model is described and the chance constraints are tackled using a scenario approach. A reinforcement learning (RL)-based algorithm is proposed to solve the problem. A factorial experiment is conducted and the results of this study indicate that solving the chance-constrained problem produces shorter project durations than the traditional approach that inserts time buffers into a baseline schedule generated by solving the deterministic problem. This paper also demonstrates that our RL method produces competitive schedules compared to established benchmarks. The importance of solving the chance-constrained problem and obtaining a project buffer tailored to the desired probability of completing the project on schedule directly from the solution is highlighted. Because of its potential for generating shorter schedules with the same on-time probabilities as the traditional approach, this research can be a useful aid for decision makers. [ABSTRACT FROM AUTHOR]

The existing distribution system planning methods do not fully consider improving power supply capacity and reliability through the coordination of multiple planning factors, and they are not comprehensive enough in quantifying planning risks. Therefore, this paper proposes a collaborative planning method for sources and networks that considers risk measurement. A multi-layer planning model is first constructed that includes a grid planning layer, a power planning layer, a switch planning layer, and an operation optimization layer. In the model, a risk measurement method combining opportunity constraints and conditional value-at-risk objectives is used to comprehensively assess the risk of the node voltage and branch current exceeding the limit caused by load uncertainty. Then, a solution strategy based on a genetic algorithm and a sparrow search algorithm is proposed to coordinate the contradiction between the solution time and the accuracy of the multi-layer model. Finally, taking a planned area to be expanded as an example, the results show that compared to the existing collaborative planning methods for sources and networks, the proposed method in this paper reduces the planning risks caused by load uncertainty by more than 50% and increases the annual net income of the power distribution company and the DG operators by RMB 1.5 million and RMB 1.1 million, respectively. [ABSTRACT FROM AUTHOR]

As the share of renewables in the grid increases, the operation of power systems becomes more challenging. The present paper proposes a method to formulate and solve chance-constrained optimal power flow while explicitly considering the full nonlinear ac power flow equations and stochastic uncertainties. We use polynomial chaos expansion to model the effects of arbitrary uncertainties of finite variance, which enables to predict and optimize the system state for a range of operating conditions. We apply chance constraints to limit the probability of violations of inequality constraints. Our method incorporates a more detailed and a more flexible description of both the controllable variables and the resulting system state than previous methods. Two case studies highlight the efficacy of the method, with a focus on satisfaction of the ac power flow equations and on the accurate computation of moments of all random variables. [ABSTRACT FROM AUTHOR]

Recently there has been a considerable increase in the penetration level of distributed energy resources (DERs) due to various factors, such as the increasing affordability of these resources, the global movement towards sustainable energy, and the energy democracy movement. However, the uncertainty and variability of DERs introduce new challenges for power system operations. Advanced techniques that account for the characteristics of DERs, i.e., their intermittency and human-in-the-loop factors, are essential to improving distribution system operations. This paper proposes a behavior-aware approach to analyze and aggregate prosumers' participation in demand response (DR) programs. A convexified AC optimal power flow (ACOPF) via a second-order cone programming (SOCP) technique is used for system scheduling with DERs. A chance-constrained framework for the system operation is constructed as an iterative two-stage algorithm that can integrate loads, DERs' uncertainty, and SOCP-based ACOPF into one framework to manage the violation probability of the distribution system's security limits. The benefits of the analyzed prosumers' behaviors are shown in this paper by comparing the optimal system scheduling with socially aware and non-socially aware approaches. The case study illustrates that the socially aware approach within the chance-constrained framework can utilize up to 43% more PV generation and improve the reliability and operation of distribution systems. [ABSTRACT FROM AUTHOR]

In this paper, integrated operation management of cooperative microgrids is formulated in the framework of stochastic predictive control. In the proposed scheme, a joint probabilistic constraint on the microgrids power exchange with the main grid couples operation of individual microgrids. In order to tackle the coupling constraint, a cooperative energy management strategy is proposed in which based on the statistical characteristics of uncertain parameters, the deterministic counterpart of the problem is derived and an efficient solution strategy is achieved. The proposed strategy is evaluated for an illustrative test case including two microgrids based on modified CIGRE benchmark. Moreover, statistical analysis is conducted to evaluate robustness characteristics of the solution strategy. [ABSTRACT FROM AUTHOR]

This paper presents a scalable method for improving the solutions of ac optimal power flow (AC OPF) with respect to deviations in predicted power injections from wind and other uncertain generation resources. The aim of this paper is on providing solutions that are more robust to short-term deviations, and that optimize both the initial operating point and a parametrized response policy for control during fluctuations. We formulate this as a chance-constrained optimization problem. To obtain a tractable representation of the chance constraints, we introduce a number of modeling assumptions and leverage recent theoretical results to reformulate the problem as a convex, second-order cone program, which is efficiently solvable even for large instances. Our experiments demonstrate that the proposed procedure improves the feasibility and cost performance of the OPF solution, while the additional computation time is on the same magnitude as a single deterministic AC OPF calculation. [ABSTRACT FROM AUTHOR]

The path planning methods based on nonconvex constrained optimization, such as mixed-integer linear programming (MILP), have found various important applications, ranging from unmanned aerial vehicles (UAVs) and autonomous underwater vehicles (AUVs) to space vehicles. Moreover, their stochastic extensions have enabled risk-aware path planning, which explicitly limits the probability of failure to a user-specified bound. However, a major challenge of those path planning methods is constraint violation between discrete time steps. In the existing approach, a path is represented by a sequence of waypoints and the safety constraints (e.g., obstacle avoidance) are imposed on waypoints. Therefore, the trajectory between waypoints could violate the safety constraints. A naive continuous-time extension results in unrealistic computation cost. In this paper, we propose a novel approach to ensure constraint satisfaction between waypoints without employing a continuous-time formulation. The key idea is to enforce that the same inequality constraint is satisfied on any two adjacent time steps, under assumptions of polygonal obstacles and straight line trajectory between waypoints. The resulting problem encoding is MILP, which can be solved efficiently by commercial solvers. Thus, we also introduce novel extensions to risk-allocation path planners with improved scalability for real-world scenarios and run-time performance. While the proposed encoding approach is general, the particular emphasis of this paper is placed on the chance-constrained, nonconvex path-planning problem (CNPP). We provide extensive simulation results on CNPP to demonstrate the path safety and scalability of our encoding and related path planners. [ABSTRACT FROM AUTHOR]

Bilevel optimization is an increasingly important tool to model hierarchical decision making. However, the ability of modeling such settings makes bilevel problems hard to solve in theory and practice. In this paper, we add on the general difficulty of this class of problems by further incorporating convex black-box constraints in the lower level. For this setup, we develop a cutting-plane algorithm that computes approximate bilevel-feasible points. We apply this method to a bilevel model of the European gas market in which we use a joint chance constraint to model uncertain loads. Since the chance constraint is not available in closed form, this fits into the black-box setting studied before. For the applied model, we use further problem-specific insights to derive bounds on the objective value of the bilevel problem. By doing so, we are able to show that we solve the application problem to approximate global optimality. In our numerical case study we are thus able to evaluate the welfare sensitivity in dependence of the achieved safety level of uncertain load coverage. [ABSTRACT FROM AUTHOR]

This paper proposes a data-driven distributionally robust chance constrained real-time dispatch (DRCC-RTD) considering renewable generation forecasting errors. The proposed DRCC-RTD model minimizes the expected quadratic cost function and guarantees that the two-sided chance constraints are satisfied for any distribution in the ambiguity set. The Wasserstein-distance-based ambiguity set, which is a family of distributions centered at an empirical distribution, is employed to hedge against data perturbations. By applying the reformulation linearization technique (RLT) to relax the quadratic constraints of the worst-case costs and constructing linear reformulations of the DRCCs, the proposed DRCC-RTD model is cast into a deterministic linear programming (LP) problem, which can be solved efficiently by off-the-shelf solvers. Case studies are carried out on a 6-bus system and the IEEE 118-bus system to validate the effectiveness and efficiency of the proposed approach. [ABSTRACT FROM AUTHOR]

Voltage control plays an important role in the operation of electricity distribution networks, especially with high penetration of distributed energy resources. These resources introduce significant and fast varying uncertainties. In this paper, we focus on reactive power compensation to control voltage in the presence of uncertainties. We adopt a chance constraint approach that accounts for arbitrary correlations between renewable resources at each of the buses. We show how the problem can be solved efficiently using historical samples analogously to the stochastic quasi-gradient methods. We also show that this optimization problem is convex for a wide variety of probabilistic distributions. Compared to conventional per-bus chance constraints, our formulation is more robust to uncertainty and more computationally tractable. We illustrate the results using standard IEEE distribution test feeders. [ABSTRACT FROM AUTHOR]

In this paper, we tackle the resolution of chance-constrained problems reformulated via sample average approximation. The resulting data-driven deterministic reformulation takes the form of a large-scale mixed-integer program (MIP) cursed with Big-Ms. We introduce an exact resolution method for the MIP that combines the addition of a set of valid inequalities to tighten the linear relaxation bound with coefficient strengthening and constraint screening algorithms to improve its Big-Ms and considerably reduce its size. The proposed valid inequalities are based on the notion of k-envelopes and can be computed off-line using polynomial-time algorithms and added to the MIP program all at once. Furthermore, they are equally useful to boost the strengthening of the Big-Ms and the screening rate of superfluous constraints. We apply our procedures to a probabilistically constrained version of the DC optimal power flow problem with uncertain demand. The chance constraint requires that the probability of violating any of the power system's constraints be lower than some positive threshold. In a series of numerical experiments that involve five power systems of different size, we show the efficiency of the proposed methodology and compare it with some of the best performing convex inner approximations currently available in the literature. History: Accepted by Andrea Lodi, Area Editor for Design & Analysis of Algorithms – Discrete. Funding: This work was supported in part by the European Research Council under the EU Horizon 2020 research and innovation program [Grant 755705], in part by the Spanish Ministry of Science and Innovation [Grant AEI/10.13039/501100011033] through project PID2020-115460GB-I00, and in part by the Junta de Andalucía and the European Regional Development Fund through the research project P20_00153. Á. Porras is also financially supported by the Spanish Ministry of Science, Innovation and Universities through the University Teacher Training Program with fellowship number FPU19/03053. Supplemental Material: The online supplement is available at https://doi.org/10.1287/ijoc.2022.0302. [ABSTRACT FROM AUTHOR]

This paper proposes a day-ahead stochastic scheduling model in electricity markets. The model considers hourly forecast errors of system loads and variable renewable sources as well as random outages of power system components. A chance-constrained stochastic programming formulation with economic and reliability metrics is presented for the day-ahead scheduling. Reserve requirements and line flow limits are formulated as chance constraints in which power system reliability requirements are to be satisfied with a presumed level of high probability. The chance-constrained stochastic programming formulation is converted into a linear deterministic problem and a decomposition-based method is utilized to solve the day-ahead scheduling problem. Numerical tests are performed and the results are analyzed for a modified 31-bus system and an IEEE 118-bus system. The results show the viability of the proposed formulation for the day-ahead stochastic scheduling. Comparative evaluations of the proposed chance-constrained method and the Monte Carlo simulation (MCS) method are presented in the paper. [ABSTRACT FROM PUBLISHER]

In ultra-dense networks (UDNs), the dense deployment of base stations (BSs) is facing challenges due to the pronounced unbalanced traffic loads, severe inter-cell interference, and uncertain traffic demands. In this paper, we tame traffic uncertainty for the joint optimization of BS activation and user association in UDNs to mitigate interference and balance traffic loads among BSs. Specifically, we address the traffic uncertainty by using chance constraint programming with the known first- and second-order statistics of the uncertain traffic. We formulate the joint BS activation and user association problem as a mixed integer non-linear programming problem, which is then decomposed into a set of user association sub-problems by modeling the BS states (active or idle) as a Markov chain. We solve the user association sub-problem at each BS state by transforming it into a convex problem over the positive orthant. In particular, at each BS state, the candidate serving BSs that lead to the optimal load balancing performance are identified for each user and parts of the user’s traffic are offloaded to the identified BSs. Based on the obtained solutions, we propose a distributed near-optimal BS activation and user association scheme. Numerical results demonstrate that our proposed scheme is more robust to traffic uncertainty and provides better load-balancing performance than the existing schemes. [ABSTRACT FROM AUTHOR]

Chance constrained optimal power flow (OPF) has been recognized as a promising framework to manage the risk from variable renewable energy (VRE). In the presence of VRE uncertainties, this paper discusses a distributionally robust chance constrained approximate ac-OPF. The power flow model employed in the proposed OPF formulation combines an exact ac power flow model at the nominal operation point and an approximate linear power flow model to reflect the system response under uncertainties. The ambiguity set employed in the distributionally robust formulation is the Wasserstein ball centered at the empirical distribution. The proposed OPF model minimizes the expectation of the quadratic cost function w.r.t. the worst-case probability distribution and guarantees the chance constraints satisfied for any distribution in the ambiguity set. The whole method is data-driven in the sense that the ambiguity set is constructed from historical data without any presumption on the type of the probability distribution, and more data leads to smaller ambiguity set and less conservative strategy. Moreover, special problem structures of the proposed problem formulation are exploited to develop an efficient and scalable solution approach. Case studies are carried out on the IEEE 14 and 118 bus systems to show the accuracy and necessity of the approximate ac model and the attractive features of the distributionally robust optimization approach compared with other methods to deal with uncertainties. [ABSTRACT FROM AUTHOR]

High penetration of renewable energy sources and the increasing share of stochastic loads require the explicit representation of uncertainty in tools such as the optimal power flow (OPF). Current approaches follow either a linearized approach or an iterative approximation of nonlinearities. This paper proposes a semidefinite relaxation of a chance-constrained AC-OPF, which is able to provide guarantees for global optimality. Using a piecewise affine policy, we can ensure tractability, accurately model large power deviations, and determine suitable corrective control policies for active power, reactive power, and voltage. We state a tractable formulation for two types of uncertainty sets. Using a scenario-based approach and making no prior assumptions about the probability distribution of the forecast errors, we obtain a robust formulation for a rectangular uncertainty set. Alternatively, assuming a Gaussian distribution of the forecast errors, we propose an analytical reformulation of the chance constraints suitable for semidefinite programming. We demonstrate the performance of our approach on the IEEE 24 and 118 bus system using realistic day-ahead forecast data and obtain tight near-global optimality guarantees. [ABSTRACT FROM PUBLISHER]

Higher levels of renewable electricity generation increase uncertainty in power system operation. To ensure secure system operation, new tools that account for this uncertainty are required. In this paper, we adopt a chance-constrained AC optimal power flow formulation, which guarantees that generation, power flows, and voltages remain within their bounds with a predefined probability. We then discuss different chance-constraint reformulations and solution approaches for the problem. We first describe an analytical reformulation based on partial linearization, which enables us to obtain a tractable representation of the optimization problem. We then provide an efficient algorithm based on an iterative solution scheme which alternates between solving a deterministic AC optimal power flow problem and assessing the impact of uncertainty. The flexibility of the iterative scheme enables not only scalable implementations, but also alternative chance-constraint reformulations. In particular, we suggest two sample-based reformulations that do not require any approximation or relaxation of the AC power flow equations. In a case study based on four different IEEE systems, we assess the performance of the method, and demonstrate scalability of the iterative scheme. We further show that the analytical reformulation accurately and efficiently enforces chance constraints in both in- and out-of-sample tests, and that the analytical reformulations outperforms the two alternative, sample-based chance constraint reformulations. [ABSTRACT FROM PUBLISHER]

This paper proposes a data-driven affinely adjustable distributionally robust method for unit commitment considering uncertain load and renewable generation forecasting errors. The proposed formulation minimizes expected total operation costs, including the costs of generation, reserve, wind curtailment, and load shedding, while guaranteeing the system security. Without any presumption about the probability distribution of the uncertainties, the proposed method constructs an ambiguity set of distributions using historical data and immunizes the operation strategies against the worst case distribution in the ambiguity set. The more historical data is available, the smaller the ambiguity set is and the less conservative the solution is. The formulation is finally cast into a mixed integer linear programming whose scale remains unchanged as the amount of historical data increases. Numerical results and Monte Carlo simulations on the 118- and 1888-bus systems demonstrate the favorable features of the proposed method. [ABSTRACT FROM AUTHOR]

The uncertainty associated with renewable energy sources introduces significant challenges in optimal power flow (OPF) analysis. A variety of new approaches have been proposed that use chance constraints to limit line or bus overload risk in OPF models. Most existing formulations assume that the probability distributions associated with the uncertainty are known a priori or can be estimated accurately from empirical data, and/or use separate chance constraints for upper and lower line/bus limits. In this paper, we propose a data driven distributionally robust chance constrained optimal power flow model (DRCC-OPF), which ensures that the worst-case probability of violating both the upper and lower limit of a line/bus capacity under a wide family of distributions is small. Assuming that we can estimate the first and second moments of the underlying distributions based on empirical data, we propose an exact reformulation of DRCC-OPF as a tractable convex program. The key theoretical result behind this reformulation is a second-order cone programming (SOCP) reformulation of a general two-sided distributionally robust chance constrained set by lifting the set to a higher dimensional space. Our numerical study shows that the proposed SOCP formulation can be solved efficiently and that the results of our model are quite robust. [ABSTRACT FROM PUBLISHER]

The definition of the electric energy procurement plan represents a fundamental problem that any consumer has to deal with. Bilateral contracts, electricity market and self-production are the main supply sources that should be properly combined to satisfy the energy demand over a given time horizon at the minimum cost. The problem is made more complex by the presence of uncertainty, mainly related to the energy requirements and electricity market prices. Ignoring the uncertain nature of these elements can lead to the definition of procurement plans which are infeasible or overly expensive in a real setting. In this paper, we deal with the procurement problem under uncertainty by adopting the paradigm of joint chance constraints to define reliable plans that are feasible with a high probability level. Moreover, the proposed model includes in the objective function a risk measure to control undesirable effects caused by the random variations of the electricity market prices. The proposed model is applied to a real test case. The results show the benefit deriving from the stochastic optimization approach and the effect of considering different levels of risk aversion. [ABSTRACT FROM AUTHOR]

Most blind hyperspectral unmixing methods exploit convex geometry properties of hyperspectral data. The minimum volume simplex analysis (MVSA) is one of such methods, which, as many others, estimates the minimum volume (MV) simplex where the measured vectors live. MVSA was conceived to circumvent the matrix factorization step often implemented by MV-based algorithms and also to cope with outliers, which compromise the results produced by MV algorithms. Inspired by the recently proposed robust MV enclosing simplex (RMVES) algorithm, we herein introduce the robust MVSA (RMVSA), which is a version of MVSA robust to noise. As in RMVES, the robustness is achieved by employing chance constraints, which control the volume of the resulting simplex. RMVSA differs, however, substantially from RMVES in the way optimization is carried out. In this paper, we develop a linearization relaxation of the nonlinear chance constraints, which can greatly lighten the computational complex of chance constraint problems. The effectiveness of RMVSA is illustrated by comparing its performance with the state of the art. [ABSTRACT FROM PUBLISHER]

This paper discusses distributionally robust geometric programs with individual or joint chance constraints. Several groups of uncertainty sets are considered: uncertainty sets with first two order moments information; uncertainty sets with known first order or first two order moments information under nonnegative support; uncertainty sets constrained by the Kullback–Leibler divergence with a normal or discrete reference distribution; uncertainty sets constrained by the Wasserstein distance under discrete, full, or nonnegative real-space support; and joint uncertainty sets for the product of random variables. Under each group of uncertainty sets, we find deterministic reformulations of the distributionally robust geometric programs with individual or joint chance constraints. Convexity, solution methods, and relationships of the reformulation programs are discussed. Finally, numerical tests are carried out on a shape optimization problem. [ABSTRACT FROM AUTHOR]

This paper proposes a reliability-based economic model predictive control (MPC) strategy for the management of generalised flow-based networks, integrating some ideas on network service reliability, dynamic safety stock planning, and degradation of equipment health. The proposed strategy is based on a single-layer economic optimisation problem with dynamic constraints, which includes two enhancements with respect to existing approaches. The first enhancement considers chance-constraint programming to compute an optimal inventory replenishment policy based on a desired risk acceptability level, leading to dynamical allocation of safety stocks in flow-based networks to satisfy non-stationary flow demands. The second enhancement computes a smart distribution of the control effort and maximises actuators' availability by estimating their degradation and reliability. The proposed approach is illustrated with an application of water transport networks using the Barcelona network as the case study considered. [ABSTRACT FROM AUTHOR]

The flight environment of aerodynamically controlled missiles is full of complexity and uncertainty. To cope with the uncertainty more effectively and enhance the convergence performance in trajectory optimization problems for aerodynamically controlled missiles simultaneously, the chance-constrained sequential convex programming (CC-SCP) algorithm is proposed in this paper. The uncertainty is regarded as the chance constraint, and a smooth and differential approximation function is designed to transform this chance constraint into the constraint that the convex optimization method can handle. Subsequently, the originally non-convex trajectory optimization problem is reformulated into a series of convex optimization subproblems, in which an initial reference trajectory guess generation strategy is proposed, and a theoretical proof of the exact convex relaxation is given to enhance the algorithm's convergence performance and theoretical value, respectively. Numerical simulations are provided to verify the convergence and effectiveness of the CC-SCP algorithm, and the advantages of using the CC-SCP algorithm to cope with the uncertainty are illustrated. Furthermore, comparative simulation examples show that the proposed algorithm possesses a low conservatism, which means the proposed algorithm can obtain a bigger convergence region and a better solution than other current methods when handling the same chance constraints. Finally, the robustness of the algorithm is discussed. • The algorithm can handle the trajectory optimization problem with uncertainties. • The algorithm outperforms other current methods when handling the chance constraints. • A theoretical proof is given for the exact convex relaxation. [ABSTRACT FROM AUTHOR]

The existing distribution system planning methods do not fully consider improving power supply capacity and reliability through the coordination of multiple planning factors, and they are not comprehensive enough in quantifying planning risks. Therefore, this paper proposes a collaborative planning method for sources and networks that considers risk measurement. A multi-layer planning model is first constructed that includes a grid planning layer, a power planning layer, a switch planning layer, and an operation optimization layer. In the model, a risk measurement method combining opportunity constraints and conditional value-at-risk objectives is used to comprehensively assess the risk of the node voltage and branch current exceeding the limit caused by load uncertainty. Then, a solution strategy based on a genetic algorithm and a sparrow search algorithm is proposed to coordinate the contradiction between the solution time and the accuracy of the multi-layer model. Finally, taking a planned area to be expanded as an example, the results show that compared to the existing collaborative planning methods for sources and networks, the proposed method in this paper reduces the planning risks caused by load uncertainty by more than 50% and increases the annual net income of the power distribution company and the DG operators by RMB 1.5 million and RMB 1.1 million, respectively.

In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD). This makes it possible to use the 1972 result of Ben-Tal and Hochman (BH) in which tight upper and lower bounds on the expectation of a convex function of a random variable are given. First, we use these results to treat ambiguous expected feasibility constraints to obtain exact reformulations for both functions that are convex and concave in the components of the random variable. This approach requires, however, the independence of the random variables and, moreover, may lead to an exponential number of terms in the resulting robust counterparts.We then show how upper bounds can be constructed that alleviate the independence restriction, and require only a linear number of terms, by exploiting models in which random variables are linearly aggregated. Moreover, using the BH bounds we derive three new safe tractable approximations of chance constraints of increasing computational complexity and quality. In a numerical study, we demonstrate the efficiency of our methods in solving stochastic optimization problems under mean-MAD ambiguity. [ABSTRACT FROM AUTHOR]

In the paper we consider the chance-constrained version of an affinely perturbed linear matrix inequality (LMI) constraint, assuming the primitive perturbations to be independent with light-tail distributions (e.g., bounded or Gaussian). Constraints of this type, playing a central role in chance-constrained linear/conic quadratic/semidefinite programming, are typically computationally intractable. The goal of this paper is to develop a tractable approximation to these chance constraints. Our approximation is based on measure concentration results and is given by an explicit system of LMIs. Thus, the approximation is computationally tractable; moreover, it is also safe, meaning that a feasible solution of the approximation is feasible for the chance constraint. [ABSTRACT FROM AUTHOR]

Recently there has been a considerable increase in the penetration level of distributed energy resources (DERs) due to various factors, such as the increasing affordability of these resources, the global movement towards sustainable energy, and the energy democracy movement. However, the uncertainty and variability of DERs introduce new challenges for power system operations. Advanced techniques that account for the characteristics of DERs, i.e., their intermittency and human-in-the-loop factors, are essential to improving distribution system operations. This paper proposes a behavior-aware approach to analyze and aggregate prosumers’ participation in demand response (DR) programs. A convexified AC optimal power flow (ACOPF) via a second-order cone programming (SOCP) technique is used for system scheduling with DERs. A chance-constrained framework for the system operation is constructed as an iterative two-stage algorithm that can integrate loads, DERs’ uncertainty, and SOCP-based ACOPF into one framework to manage the violation probability of the distribution system’s security limits. The benefits of the analyzed prosumers’ behaviors are shown in this paper by comparing the optimal system scheduling with socially aware and non-socially aware approaches. The case study illustrates that the socially aware approach within the chance-constrained framework can utilize up to 43% more PV generation and improve the reliability and operation of distribution systems.

As more renewables are integrated into the power system, capacity expansion planners need more advanced long-term decision-making tools to properly model short-term stochastic production uncertainty and to explore its effects on expansion decisions. We develop a distributionally robust generation expansion planning model, accounting for a family of potential probability distributions of wind forecast error uncertainty. Aiming to include more realistic distributions, we construct more informed moment-based ambiguity sets by adding structural information of unimodality. We include operational-stage unit commitment constraints and model the risk of operational limit violations in two distinct forms: chance and conditional value-at-risk (CVaR) constraints. In both forms, the resulting expansion planning model is a mixed-integer second-order cone program. Using a thorough out-of-sample numerical analysis, we conclude: (i) the distributionally robust chance-constrained generation expansion planning model exhibits a better out-of-sample performance only if sufficiently accurate information about the first- and the second-order moments as well as the mode location of potential distributions is available; (ii) conversely, if such accurate information is unavailable, the distributionally robust CVaR-constrained generation expansion planning model outperforms; (iii) these two models have a similar performance when unimodality information is excluded. [ABSTRACT FROM AUTHOR]

We consider the problem of power allocation for the single-cell multi-user (MU) multiple-input single-output (MISO) downlink with quality-of-service (QoS) constraints. The base station acquires an estimate of the channels and, for a given beamforming structure, designs the power allocation so as to minimize the total transmission power required to ensure that target signal-to-interference-and-noise ratios at the receivers are met, subject to a specified outage probability. We consider scenarios in which the errors in the base station’s channel estimates can be modelled as being zero-mean and Gaussian. Such a model is particularly suitable for time division duplex (TDD) systems with quasi-static channels, in which the base station estimates the channel during the uplink phase. Under that model, we employ a precise deterministic characterization of the outage probability to transform the chance-constrained formulation to a deterministic one. Although that deterministic formulation is not convex, we develop a coordinate descent algorithm that can be shown to converge to a globally optimal solution when the starting point is feasible. Insight into the structure of the deterministic formulation yields approximations that result in coordinate update algorithms with good performance and significantly lower computational cost. The proposed algorithms provide better performance than existing robust power loading algorithms that are based on tractable conservative approximations and can even provide better performance than robust precoding algorithms based on such approximations. [ABSTRACT FROM AUTHOR]

In the multidimensional 0-1 knapsack problem, we are given a set of items, each with a value and multiple attributes, and we want to select a subset in such a way that the total value is maximized while the total quantity of each attribute satisfies a capacity constraint. In this paper, we assume that quantities of the item attributes are independent random variables such that those of the same attribute across different items follow the same type of probability distribution, not necessarily with the same parameters. A joint probabilistic constraint is imposed on the capacity constraints, and the objective function is the same as that of the underlying deterministic problem. We prove that the problem is convex, under some condition on the parameters, for special continuous and discrete distributions: gamma, normal, Poisson, and binomial, in which the latter two discrete distribution functions are extended to log-concave continuous distribution functions. We present computational experiments to demonstrate the tractability of our approach. [ABSTRACT FROM AUTHOR]

We investigate here conditions for convexity of solutions sets defined by chance constraints, along with conditions for (local) concavity of associated probability functions. Even restricting to the case of coefficient vectors with nondegenerate multivariate Gaussian distributions, only sufficient conditions could be found so far in the literature. In the present paper, a necessary and sufficient condition for local concavity of the probability function for a given individual Gaussian chance constraint is obtained. A sufficient condition for the case of a two-sided ( bilateral) chance constraint is also deduced. The results obtained are shown to be useful in the analysis of various (nonconvex) probability maximization problem such as: (a) maximizing the joint probability of satisfaction of several independent Gaussian chance constraints; (b) looking for the best linear discriminant function for two given Gaussian mixtures. Computational experiments are reported for the latter problem. [ABSTRACT FROM AUTHOR]

This paper presents a fully risk-aware model predictive control (MPC) framework for chance-constrained discrete-time linear control systems with process noise. Conditional value-at-risk (CVaR) as a popular coherent risk measure is incorporated in both the constraints and the cost function of the MPC framework. This allows the system to navigate the entire spectrum of risk assessments, from worst-case to risk-neutral scenarios, ensuring both constraint satisfaction and performance optimization in stochastic environments. The recursive feasibility and risk-aware exponential stability of the resulting risk-aware MPC are demonstrated through rigorous theoretical analysis by considering the disturbance feedback policy parameterization. In the end, two numerical examples are given to elucidate the efficacy of the proposed method.

Freight distribution with electric vehicles (EVs) is a promising alternative to reduce the carbon footprint associated with city logistics. Algorithms for planning routes for EVs should take into account their relatively short driving range and the effects of traffic congestion on the battery consumption. This paper proposes new methodology and illustrates how it can be applied to solve an electric vehicle routing problem with stochastic and time-dependent travel times where battery recharging along routes is not allowed. First, a new method for generating network-consistent (correlated in time and space) and time-dependent speed scenarios is introduced. Second, a new technique for applying branch and price on instances defined on real street networks is developed. Computational experiments demonstrate the effectiveness of the approach for finding optimal or near-optimal solutions in instances with up to 133 customers and almost 1,500 road links. With a high probability, the routes in the obtained solutions can be performed by EVs without requiring intermediate recharging stops. An execution time control policy to further reduce the chances of stranded EVs is also presented. In addition, we measure the cost of independence, which is the impact on solution feasibility when travel times are assumed statistically independent. Last, we give directions on how to extend the proposed framework to handle recourse actions. [ABSTRACT FROM AUTHOR]

Vehicle Routing under Uncertainty In the paper, "The Distributionally Robust Chance Constrained Vehicle Routing Problem," Ghosal and Wiesemann examine when the popular two-index vehicle flow formulation can be used to solve a distributionally robust variant of the capacitated vehicle routing problem when only certain moments of the probability distribution governing the uncertain customer demands are available. In contrast to much of the existing literature, their framework does not require knowledge of the precise probability distribution underlying the customer demands, and it does not require the customer demands to be independent either. They also develop efficient cut generation schemes for several popular classes of moment ambiguity sets that allow the distributionally robust vehicle routing problem to be solved in times that are comparable to the deterministic formulation. We study a variant of the capacitated vehicle routing problem (CVRP), which asks for the cost-optimal delivery of a single product to geographically dispersed customers through a fleet of capacity-constrained vehicles. Contrary to the classical CVRP, which assumes that the customer demands are deterministic, we model the demands as a random vector whose distribution is only known to belong to an ambiguity set. We then require the delivery schedule to be feasible with a probability of at least 1 − ε, where ε characterizes the risk tolerance of the decision maker. We argue that the emerging distributionally robust CVRP can be solved efficiently with standard branch-and-cut algorithms whenever the ambiguity set satisfies a subadditivity condition. We then show that this subadditivity condition holds for a large class of moment ambiguity sets. We derive efficient cut generation schemes for ambiguity sets that specify the support as well as (bounds on) the first and second moments of the customer demands. Our numerical results indicate that the distributionally robust CVRP has favorable scaling properties and can often be solved in runtimes comparable to those of the deterministic CVRP. [ABSTRACT FROM AUTHOR]

Forecast uncertainties pose a considerable challenge to the success of model predictive control (MPC) in buildings. Numerous possibilities for considering forecast uncertainties in MPCs are available, but an in-depth comparison is lacking. This paper compares two main approaches to consider uncertainties: robust and stochastic MPC. They are benchmarked against a deterministic MPC and an MPC with perfect forecast. The MPCs utilize a holistic building model to reflect modern smart homes that include photovoltaic power generation and storage, thermally controlled loads, and smart appliances. Real-world data are used to identify the thermal building model. The performance of the various controllers is investigated under three levels of uncertainty for two building models with different envelope performance. For the highly insulated building, the deterministic MPC achieves satisfactory thermal comfort when the forecast error is medium or low, but the thermal comfort is compromised for high forecast errors. In the poorly insulated building, thermal comfort is compromised at medium and high forecast errors. Compared to the deterministic MPC, the robust MPC increases the electricity cost by up to 4.5% and provides complete temperature constraint satisfaction while the stochastic MPC increases the electricity cost by less than 1% and fulfills the thermal comfort requirements. [ABSTRACT FROM AUTHOR]

The rapid development of microgrids (MGs) with various prosumers promotes the accommodation of renewable distributed generation (RDG) and provides platforms for local energy sharing among prosumers. However, the operational uncertainties pose enormous challenges to the day-ahead bidding of MGs in the wholesale electricity market and there is an urgent need for a local market to facilitate the local energy sharing. Thus, this paper proposes a risk-averse day-ahead bidding strategy for MGs with full consideration of the multiple uncertainties originating from the wholesale electricity market, RDG and loads. Based on the transactive energy (TE) sharing concept, the local market is formulated as a Stackelberg game (SG) to effectively capture the strategic interaction among the MG and prosumers, where a distributed iterative algorithm with a bisection approach that only requires exchanging TE-related information is adopted to achieve the SG equilibrium without compromising privacy concerns. To handle the uncertainties of RDG and loads, the power balances are formulated as chance constraints and a data-driven quantile forecasting method is developed for achieving the computational tractability of chance constraints without any prior knowledge or probability distribution assumptions. Furthermore, a risk criterion of the conditional value-at-risk is incorporated in the day-ahead bidding model of MGs for risk aversion towards uncertainties of the wholesale electricity market. The effectiveness of the proposed solution is extensively demonstrated through numerical simulation. • A risk-averse day-ahead bidding strategy of TE sharing MGs is presented. • A SG-based local TE market with privacy protection is developed. • The wholesale market uncertainties are addressed in a risk-averse manner via CVaR. • The power balance chance constraints are built to handle RDG and load uncertainties. • A data-driven quantile forecasting method is proposed to solve chance constraints. [ABSTRACT FROM AUTHOR]

Purpose – The purpose of this paper is to formulate the reliability optimization problem in stochastic and interval domain and also to solve the same under different stochastic set up. Design/methodology/approach – Stochastic programming technique has been used to convert the chance constraints into deterministic form and the corresponding problem is transformed to mixed-integer constrained optimization problem with interval objective. Then the reduced problem has been converted to unconstrained optimization problem with interval objective by Big-M penalty technique. The resulting problem has been solved by advanced real coded genetic algorithm with interval fitness, tournament selection, intermediate crossover and one-neighbourhood mutation. Findings – A new optimization technique has been developed in stochastic domain and the concept of interval valued parameters has been integrated with the stochastic setup so as to increase the applicability of the resultant solution to the interval valued nonlinear optimization problems. Practical implications – The concept of probability distribution with interval valued parameters has been introduced. This concept will motivate the researchers to carry out the research in this new direction. Originality/value – The application of genetic algorithm is extended to solve the reliability optimization problem in stochastic and interval domain. [ABSTRACT FROM AUTHOR]

In this paper, we consider a finite-horizon stochastic mixed-integer program involving dynamic decisions under a constraint on the overall performance or reliability of the system. We formulate this problem as a multistage (dynamic) chance-constrained program, whose deterministic equivalent is a large-scale mixed-integer program. We study the structure of the formulation and develop a branch-and-cut method for its solution. We illustrate the efficacy of the proposed model and method on a dynamic inventory control problem with stochastic demand in which a specific service level must be met over the entire planning horizon. We compare our dynamic model with a static chance-constrained model, a dynamic risk-averse optimization model, a robust optimization model, and a pseudo-dynamic approach and show that significant cost savings can be achieved at high service levels using our model. [ABSTRACT FROM AUTHOR]

This paper presents a scenario-based method to solve the chance-constrained optimization for the nonconvex program. The sample complexity is first developed to guarantee the probabilistic feasibility. Then through the sampling on uncertain parameters, many scenarios are generated to form a large-scale deterministic approximation for the original chance-constrained program. Solving the resulting scenario-based nonconvex optimization is usually time-consuming. To overcome this challenge, we propose a sequential approach to find the global optimum more efficiently. Moreover, two novel schemes: branching-and-sampling and branching-and-discarding are developed for the chance-constrained 0–1 program by refining the scenario set in order to find a less conservative solution. Finally, model predictive control and process scheduling problem are taken as examples to evaluate the effectiveness of proposed optimization approaches. • A scenario-based approach is presented for nonconvex chance-constrained programs. • A sequential method is proposed to solve nonconvex programs to a global optimum. • A branching-and-sampling method is proposed for 0–1 chance-constrained programs. • The branching-and-discarding method is proposed for 0–1 chance-constrained programs. [ABSTRACT FROM AUTHOR]

• Techno-economic analysis of battery storage systems providing frequency control. • A stochastic, data-driven optimisation algorithm to optimise the battery controller. • Use of frequency data and detailed, yet computationally efficient battery models. • Case study of Germany shows the highest margins for a battery rated at 1.6 MW/1.6 MWh. • Calendar ageing drives battery degradation, while cycle ageing has less impact. Optimal investment in battery energy storage systems, taking into account degradation, sizing and control, is crucial for the deployment of battery storage, of which providing frequency control is one of the major applications. In this paper, we present a holistic, data-driven framework to determine the optimal investment, size and controller of a battery storage system providing frequency control. We optimised the controller towards minimum degradation and electricity costs over its lifetime, while ensuring the delivery of frequency control services compliant with regulatory requirements. We adopted a detailed battery model, considering the dynamics and degradation when exposed to actual frequency data. Further, we used a stochastic optimisation objective while constraining the probability on unavailability to deliver the frequency control service. Through a thorough analysis, we were able to decrease the amount of data needed and thereby decrease the execution time while keeping the approximation error within limits. Using the proposed framework, we performed a techno-economic analysis of a battery providing 1 MW capacity in the German primary frequency control market. Results showed that a battery rated at 1.6 MW, 1.6 MWh has the highest net present value, yet this configuration is only profitable if costs are low enough or in case future frequency control prices do not decline too much. It transpires that calendar ageing drives battery degradation, whereas cycle ageing has less impact. [ABSTRACT FROM AUTHOR]

• Optimal Bayesian experiment design for parameter inference in constrained nonlinear systems. • Using surrogate models based on arbitrary polynomial chaos for efficient sample-based computation of the expected utility function. • Chance constrained handling in Bayesian experiment design. The optimal design of experiments is crucial for maximizing the information content of data across a wide-range of experimental goals. This paper presents a Bayesian approach to optimal experiment design (OED) for parameter inference in constrained, dynamic, and nonlinear systems under noisy, incomplete, and indirect measurements. Bayesian OED maximizes an expected utility objective, which accounts for prior and posterior uncertainty in the model parameters from an information-theoretic standpoint. Due to the complicated form of the expected utility, it must be estimated using sample-based methods and, in particular, a nested Monte Carlo estimator that is expensive to evaluate using the full dynamic model. We propose a novel surrogate model based on arbitrary polynomial chaos (aPC), which readily applies to any type of prior distribution. The aPC expansions are constructed locally at each design visited during the iterative optimization procedure. The main cost in aPC, which is the determination of the expansion coefficients, is minimized by estimating these coefficients from only a minimal set of dynamic model evaluations. Although sample-based estimators can also be applied to the chance constraints, this leads to a potentially large number of binary variables, such that a smooth moment-based approximation is preferred in this work. Numerical simulations indicate that the proposed surrogate can significantly lower the computational cost of the Bayesian OED, while guaranteeing the original chance constraints are satisfied without noticeably increasing the average time to find a solution. As such, this methodology appears to have the potential to pave the way for real-time or sequential dynamic experiment design in a fully Bayesian setting. [ABSTRACT FROM AUTHOR]

Highlights • A novel data-driven approach is proposed for stochastic model predictive control. • Support vector clustering is adopted to learn an uncertainty set from scenarios. • A calibration procedure is developed to provide desirable probabilistic guarantees. • Finally, an uncertainty set-induced robust optimization problem is solved. • The proposed method requires less scenarios and can reduce conservatism. Abstract Stochastic model predictive control (SMPC) has been a promising solution to complex control problems under uncertain disturbances. However, traditional SMPC approaches either require exact knowledge of probabilistic distributions, or rely on massive scenarios that are generated to represent uncertainties. In this paper, a novel scenario-based SMPC approach is proposed by actively learning a data-driven uncertainty set from available data with machine learning techniques. A systematical procedure is then proposed to further calibrate the uncertainty set, which gives appropriate probabilistic guarantee. The resulting data-driven uncertainty set is more compact than traditional norm-based sets, and can help reducing conservatism of control actions. Meanwhile, the proposed method requires less data samples than traditional scenario-based SMPC approaches, thereby enhancing the practicability of SMPC. Finally the optimal control problem is cast as a single-stage robust optimization problem, which can be solved efficiently by deriving the robust counterpart problem. The feasibility and stability issue is also discussed in detail. The efficacy of the proposed approach is demonstrated through a two-mass-spring system and a building energy control problem under uncertain disturbances. [ABSTRACT FROM AUTHOR]

Highlights • The study proposes an advanced control structure in 3 layers aiming the optimal efficiency energy management for Grid-Connected Hybrid Power Plant. • The control structure is based on a Stochastic Model Predictive Control and an optimal finite-state machine to take into account disturbances variations. • Disturbance estimation techniques based on of NAR Neural Networks are applied to have prediction of renewable sources. • The studied control method is compared, through simulation, to a deterministic MPC approach to illustrate an improved performance. Abstract This study presents a complete advanced control structure aimed at the optimal and most efficient energy management for a Grid-Connected Hybrid Power plant. This control scheme is composed of process supervision and process control layers, and it is a possible technology to enable improvements in the energy consumption of industrial systems subject to constraints and process demands. The proposed structure consists of the combination of a Model-Based Predictive Controller, formulated within the Chance Constraints framework to deal with stochastic disturbances (renewable sources, as solar irradiance), an optimal finite-state machine decision system and the use of disturbance estimation techniques for the prediction of renewable sources. The predictive controller uses feedforward compensation of estimated future disturbances, obtained by the use of Nonlinear Auto-Regressive Neural Networks with time delays. The proposed controller aims to perform the management of which energy system to use and to decide where to store energy between multiple storage options. This has to be done while always maximizing the use of renewable energy and optimizing energy generation due to contract rules (maintain maximal economic profit). The proposed method is applied to a case study of energy generation in a sugar cane power plant, with non-dispatchable renewable sources (such as photovoltaic and wind power generation), as well as dispatchable sources (as biomass and biogas). This hybrid power system is subject to operational constraints, as to produce steam in different pressures, sustain internal demands and, imperiously, produce and maintain an amount of electric power throughout each month, defined by strict contract rules with a local Distribution Network Operator (DNO). This paper aims to justify the use of this novel approach to optimal energy generation in hybrid microgrids through simulation, illustrating the performance improvement for different cases. [ABSTRACT FROM AUTHOR]

Robotic systems need to be able to plan control actions that are robust to the inherent uncertainty in the real world. This uncertainty arises due to uncertain state estimation, disturbances, and modeling errors, as well as stochastic mode transitions such as component failures. Chance-constrained control takes into account uncertainty to ensure that the probability of failure, due to collision with obstacles, for example, is below a given threshold. In this paper, we present a novel method for chance-constrained predictive stochastic control of dynamic systems. The method approximates the distribution of the system state using a finite number of particles. By expressing these particles in terms of the control variables, we are able to approximate the original stochastic control problem as a deterministic one; furthermore, the approximation becomes exact as the number of particles tends to infinity. This method applies to arbitrary noise distributions, and for systems with linear or jump Markov linear dynamics, we show that the approximate problem can be solved using efficient mixed-integer linear-programming techniques. We also introduce an important weighting extension that enables the method to deal with low-probability mode transitions such as failures. We demonstrate in simulation that the new method is able to control an aircraft in turbulence and can control a ground vehicle while being robust to brake failures. [ABSTRACT FROM AUTHOR]

At present, electricity generation is responsible for more than a quarter of the greenhouse gas emissions in the US. Integrating significant amounts of renewable energy sources into a power grid is probably the most accessible way to reduce carbon emissions from power grids and slow down climate change. Unfortunately, the most accessible renewable power sources, such as wind and solar, are highly intermittent and thus bring a lot of uncertainty to power grid operation and challenge existing optimization and control policies. The chance-constrained (CC) alternating current optimal power flow (AC-OPF) framework finds the minimum cost of generation dispatch, maintaining the power grid operation within security limits with a prescribed probability. Unfortunately, the AC-OPF problem's chance-constrained extension is non-convex, computationally challenging, and requires knowledge of system parameters and also needs additional assumptions to be made about the behavior of renewable generation probability distribution. Known linear and convex approximations to the above problems, though tractable, are too conservative for operational practice and do not consider uncertainty in system parameters. This paper presents an alternative data-driven approach for solving the stochastic AC-OPF problem, based on Gaussian process regression (GPR) to close this gap. The Gaussian process (GP) approach learns a simple yet non-convex data-driven approximation to the AC power flow equations that can incorporate uncertain inputs. The latter is then used to determine the solution of CC-OPF efficiently, by accounting for both input and parameter uncertainty. The practical efficiency of the proposed approach using different approximations for GP-uncertainty propagation is validated and illustrated using a number of standard IEEE test cases. • Chance constrained optimal power flow based on data-driven approach. • Gaussian process regression for solving stochastic optimal power flow. • Gaussian processes for handling uncertainties in power systems. • Machine learning for power system optimization. [ABSTRACT FROM AUTHOR]

Industrial projects are plagued by uncertainties, often resulting in both time and cost overruns. This research introduces an innovative approach, employing Reinforcement Learning (RL), to address three distinct project management challenges within a setting of uncertain activity durations. The primary objective is to identify stable baseline schedules. The first challenge encompasses the multimode lean project management problem, wherein the goal is to maximize a project's value function while adhering to both due date and budget chance constraints. The second challenge involves the chance-constrained critical chain buffer management problem in a multimode context. Here, the aim is to minimize the project delivery date while considering resource constraints and duration-chance constraints. The third challenge revolves around striking a balance between the project value and its net present value (NPV) within a resource-constrained multimode environment. To tackle these three challenges, we devised mathematical programming models, some of which were solved optimally. Additionally, we developed competitive RL-based algorithms and verified their performance against established benchmarks. Our RL algorithms consistently generated schedules that compared favorably with the benchmarks, leading to higher project values and NPVs and shorter schedules while staying within the stakeholders' risk thresholds. The potential beneficiaries of this research are project managers and decision-makers who can use this approach to generate an efficient frontier of optimal project plans. [ABSTRACT FROM AUTHOR]

To avoid the problem of insufficient flexibility of the power grid along the cz railway due to source-load fluctuations, a distributionally robust optimization method considering flexibility is proposed in this paper. Firstly, Wasserstein distance is used to establish the uncertainty set of flexibility demand caused by source-load fluctuation, and a risk-cost model of insufficient flexibility is constructed to couple to the objective function. Combined with the flexibility chance constraint, the flexibility over-limit probability is limited to a certain confidence level in the fuzzy set, and a distributionally robust chance constraint optimization model based on Wasserstein distance is established. Then, the proposed model is transformed into a linear programming problem to be solved by dual theory and inner approximation transformation. Finally, a simulation study of the power grid along the CZ railway is carried out to verify the correctness and effectiveness of the model. The experimental results show that the proposed method can improve the flexibility capacity of the system without sacrificing economy.

Stochastic model predictive control (SMPC) provides a probabilistic framework for MPC of systems with stochastic uncertainty. A key feature of SMPC is the inclusion of chance constraints, which enables a systematic trade-off between attainable control performance and probability of state constraint violations in a stochastic setting. This paper presents an overview of core concepts in SMPC in relation to MPC and stochastic optimal control, with numerical illustrations on a typical chemical process. Estimation of stochastic disturbances as well as the impact of estimation quality of stochastic disturbances on the SMPC performance are discussed. Some avenues for future research in SMPC are suggested. [ABSTRACT FROM AUTHOR]