Robust Energy Resource Management Incorporating Risk Analysis Using Conditional Value-at-Risk

The energy resource management (ERM) problem in today's energy systems is complex and challenging due to the increasing penetration of distributed energy resources with uncertain behavior. Despite the improvement of forecasting tools, and the development of strategies to deal with this uncertainty (for instance, considering Monte Carlo simulation to generate a set of different possible scenarios), the risk associated with such variable resources cannot be neglected and deserves proper attention to guarantee the correct functioning of the entire system. This paper proposes a risk-based optimization approach for the centralized day-ahead ERM taking into account extreme events. Risk-neutral and risk-averse methodologies are implemented, where the risk-averse strategy considers the worst scenario costs through the conditional value-at-risk (CVaR) method. The model is formulated from the perspective of an aggregator that manages multiple technologies such as distributed generation, demand response, energy storage systems, among others. The case study analysis the aggregator's management inserted in a 13-bus distribution network in the smart grid context with high penetration of renewable energy and electric vehicles. Results show an increase of nearly 4% in the day-ahead operational costs comparing the risk-neutral to the risk-averse strategy, but a reduction of up to 14% in the worst-case scenario cost. Thus, the proposed model can provide safer and more robust solutions incorporating the CVaR tool into the day-ahead management.

Automated summary

This paper proposes a risk-based optimization approach for centralized day-ahead energy resource management (ERM) considering extreme events. The risk-averse strategy implements the conditional value-at-risk (CVaR) method to account for worst-case scenario costs. The case study shows that the risk-averse strategy increases operational costs but reduces worst-case scenario costs, providing safer and more robust solutions.