A Distributionally Robust Optimization Model for Unit Commitment Based on Kullback–Leibler Divergence

2018 ◽  
Vol 33 (5) ◽  
pp. 5147-5160 ◽  
Author(s):  
Yuwei Chen ◽  
Qinglai Guo ◽  
Hongbin Sun ◽  
Zhengshuo Li ◽  
Wenchuan Wu ◽  
...  
Author(s):  
Lei Xu ◽  
Tsan Sheng (Adam) Ng ◽  
Alberto Costa

In this paper, we develop a distributionally robust optimization model for the design of rail transit tactical planning strategies and disruption tolerance enhancement under downtime uncertainty. First, a novel performance function evaluating the rail transit disruption tolerance is proposed. Specifically, the performance function maximizes the worst-case expected downtime that can be tolerated by rail transit networks over a family of probability distributions of random disruption events given a threshold commuter outflow. This tolerance function is then applied to an optimization problem for the planning design of platform downtime protection and bus-bridging services given budget constraints. In particular, our implementation of platform downtime protection strategy relaxes standard assumptions of robust protection made in network fortification and interdiction literature. The resulting optimization problem can be regarded as a special variation of a two-stage distributionally robust optimization model. In order to achieve computational tractability, optimality conditions of the model are identified. This allows us to obtain a linear mixed-integer reformulation that can be solved efficiently by solvers like CPLEX. Finally, we show some insightful results based on the core part of Singapore Mass Rapid Transit Network.


Energies ◽  
2018 ◽  
Vol 11 (11) ◽  
pp. 2981 ◽  
Author(s):  
Mohammad Seydali Seyf Abad ◽  
Jin Ma ◽  
Ahmad Ahmadyar ◽  
Hesamoddin Marzooghi

Uncertainties associated with the loads and the output power of distributed generations create challenges in quantifying the integration limits of distributed generations in distribution networks, i.e., hosting capacity. To address this, we propose a distributionally robust optimization-based method to determine the hosting capacity considering the voltage rise, thermal capacity of the feeders and short circuit level constraints. In the proposed method, the uncertain variables are modeled as stochastic variables following ambiguous distributions defined based on the historical data. The distributionally robust optimization model guarantees that the probability of the constraint violation does not exceed a given risk level, which can control robustness of the solution. To solve the distributionally robust optimization model of the hosting capacity, we reformulated it as a joint chance constrained problem, which is solved using the sample average approximation technique. To demonstrate the efficacy of the proposed method, a modified IEEE 33-bus distribution system is used as the test-bed. Simulation results demonstrate how the sample size of historical data affects the hosting capacity. Furthermore, using the proposed method, the impact of electric vehicles aggregated demand and charging stations are investigated on the hosting capacity of different distributed generation technologies.


Author(s):  
Burak Kocuk

In this paper, we consider a Kullback-Leibler divergence constrained distributionally robust optimization model. This model considers an ambiguity set that consists of all distributions whose Kullback-Leibler divergence to an empirical distribution is bounded. Utilizing the fact that this divergence measure has an exponential cone representation, we obtain the robust counterpart of the Kullback-Leibler divergence constrained distributionally robust optimization problem as a dual exponential cone constrained program under mild assumptions on the underlying optimization problem. The resulting conic reformulation of the original optimization problem can be directly solved by a commercial conic programming solver. We specialize our generic formulation to two classical optimization problems, namely, the Newsvendor Problem and the Uncapacitated Facility Location Problem. Our computational study in an out-of-sample analysis shows that the solutions obtained via the distributionally robust optimization approach yield significantly better performance in terms of the dispersion of the cost realizations while the central tendency deteriorates only slightly compared to the solutions obtained by stochastic programming.


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