Stochastic MPC for Energy Management in Smart Grids with Conditional Value at Risk as Penalty Function

Janani Venkatasubramanian, Vahab Rostampour, Tamas Keviczky

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

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Abstract

This paper considers imbalance problems arising in Energy Management in Smart Grids (SG) as discrete-time stochastic linear systems subject to chance constraints, and proposes a Model Predictive Control (MPC) approach to solve them. It is well-known that handling the closed-loop constraint feasibility of such systems is in general difficult due to the presence of a potentially unbounded uncertainty source. To overcome such a difficulty, we propose two new ideas. We first reformulate the chance constraint using the so-called Conditional Value at Risk (CVaR), which is known to be the tightest convex approximation for chance constraints. We then relax the CVaR constraint using a penalty function depending on a coefficient parameter. An optimal solution is therefore obtained by solving a single unconstrained problem which, intuitively, takes into consideration a risk of the system trajectories in an undesirable state. A case study using an academic example is presented to estimate the a-posteriori probability of the coefficient parameter in order to show when such a penalty function is exact by means of probabilistic constraint fulfillment.
Original languageEnglish
Title of host publicationProceedings of the 2020 IEEE PES Innovative Smart Grid Technologies Europe (ISGT-Europe)
Place of PublicationPiscataway, NJ, USA
PublisherIEEE
Pages309-313
ISBN (Electronic)978-1-7281-7100-5
ISBN (Print)978-1-7281-7101-2
DOIs
Publication statusPublished - 2020
Event10th IEEE PES Innovative Smart Grid Technologies Europe, ISGT-Europe 2020 - Virtual/online event due to COVID-19, Delft, Netherlands
Duration: 26 Oct 202028 Oct 2020
Conference number: 10
https://ieee-isgt-europe.org/

Conference

Conference10th IEEE PES Innovative Smart Grid Technologies Europe, ISGT-Europe 2020
Abbreviated titleISGT-Europe 2020
CountryNetherlands
CityDelft
Period26/10/2028/10/20
OtherVirtual/online event due to COVID-19
Internet address

Bibliographical note

Accepted Author Manuscript

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