scholarly journals Operational risk-averse routing optimization for cyber-physical power systems

2022 ◽  
Keyword(s):  
Power Systems ◽  
Operational Risk ◽  
Risk Averse ◽  
Routing Optimization

Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management

2021 ◽  
Author(s):  
Paolo Guiotto ◽  
Andrea Roncoroni
Keyword(s):  
Risk Management ◽  
Optimal Design ◽  
Operations Management ◽  
Operational Risk ◽  
Financial Derivatives ◽  
Theoretical Ground ◽  
Risk Averse ◽  
Value Assessment ◽  
Operational Risk Management ◽  
Payoff Functions

Optimal Design of Combined Contingent Claims: Theory and Applications. In “Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management”, Paolo Guiotto and Andrea Roncoroni develop a normative framework for the optimal design, value assessment, and operations management integration of financial derivatives. Most business and operating revenues entail a mix of financially insurable and noninsurable risk. A risk-averse firm may face them by positioning in a pair of financial derivatives with optimal bespoke payoff functions; one claim is written on the insurable term, and the other claim is written on any observable index exhibiting correlation to the noninsurable term. On a theoretical ground, the authors 1) state the problem in a general setup and prove existence and uniqueness of the optimal pair of combined claims, 2) show that the optimal payoff functions satisfy a Fredholm integral equation, and 3) assess the incremental benefit the firm obtains by switching from the optimal single-claim custom hedge to the optimal combined custom hedge they propose. On an experimental ground, they show that 1) the optimal combined custom hedge would be empirically relevant for a highly risk-averse firm facing a market shock shown during the first period of the COVID-19 pandemic in 2020, 2) integration with the optimal procurement in a generalized newsvendor model leads to a significant improvement in both risk and return, and: 3) this gain can be traded off for a substantial enhancement in operational flexibility.

Risk-Averse Transmission Path Selection for Secure State Estimation in Power Systems

2019 ◽  
Vol 6 (2) ◽  
pp. 3121-3131 ◽  
Author(s):  
Jiasheng He ◽  
Cailian Chen ◽  
Shanying Zhu ◽  
Bo Yang ◽  
Xinping Guan
Keyword(s):  
Power Systems ◽  
State Estimation ◽  
Path Selection ◽  
Risk Averse ◽  
Transmission Path ◽  
Selection For

Risk-Averse Maintenance Scheduling of Generation Units in Combined Heat and Power Systems with Demand Response

2021 ◽  
pp. 107960
Author(s):  
Omid Sadeghian ◽  
Amin Mohammadpour Shotorbani ◽  
Behnam Mohammadi-Ivatloo ◽  
Rehan Sadiq ◽  
Kasun Hewage
Keyword(s):  
Power Systems ◽  
Demand Response ◽  
Combined Heat And Power ◽  
Maintenance Scheduling ◽  
Risk Averse

A Stochastic Control Approach to Manage Operational Risk in Power Systems

2012 ◽  
Vol 27 (2) ◽  
pp. 1021-1031 ◽  
Author(s):  
Magnus Perninge ◽  
Lennart Soder
Keyword(s):  
Power Systems ◽  
Stochastic Control ◽  
Operational Risk ◽  
Control Approach

scholarly journals Robust Day-Ahead Scheduling of Electricity and Natural Gas Systems via a Risk-Averse Adjustable Uncertainty Set Approach

2018 ◽  
Vol 10 (11) ◽  
pp. 3848 ◽  
Author(s):  
Li Yao ◽  
Xiuli Wang ◽  
Tao Qian ◽  
Shixiong Qi ◽  
Chengzhi Zhu
Keyword(s):  
Natural Gas ◽  
Operational Risk ◽  
Test System ◽  
Risk Averse ◽  
Spinning Reserve ◽  
Constraint Generation ◽  
Scheduling Model ◽  
Gas System ◽  
Uncertainty Set ◽  
Natural Gas System

The requirement for energy sustainability drives the development of renewable energy technologies and gas-fired power generation. The increasing installation of gas-fired units significantly intensifies the interdependency between the electricity system and natural gas system. The joint scheduling of electricity and natural gas systems has become an attractive option for improving energy efficiency. This paper proposes a robust day-ahead scheduling model for electricity and natural gas system, which minimizes the total cost including fuel cost, spinning reserve cost and cost of operational risk while ensuring the feasibility for all scenarios within the uncertainty set. Different from the conventional robust optimization with predefined uncertainty set, a new approach with risk-averse adjustable uncertainty set is proposed in this paper to mitigate the conservatism. Furthermore, the Wasserstein–Moment metric is applied to construct ambiguity sets for computing operational risk. The proposed scheduling model is solved by the column-and-constraint generation method. The effectiveness of the proposed approach is tested on a 6-bus test system and a 118-bus system.

scholarly journals Congestion Risk-Averse Stochastic Unit Commitment with Transmission Reserves in Wind-Thermal Power Systems

2018 ◽  
Vol 8 (10) ◽  
pp. 1726 ◽  
Author(s):  
Yu Huang ◽  
Qingshan Xu ◽  
Guang Lin
Keyword(s):  
Power Systems ◽  
Real Time ◽  
Wind Power ◽  
Unit Commitment ◽  
Thermal Power ◽  
Wind Farms ◽  
Cost Effective ◽  
Operational Reliability ◽  
Risk Averse ◽  
Stochastic Unit Commitment

The great proliferation of wind power generation has brought about great challenges to power system operations. To mitigate the ramifications of wind power uncertainty on operational reliability, predictive scheduling of generation and transmission resources is required in the day-ahead and real-time markets. In this regard, this paper presents a risk-averse stochastic unit commitment model that incorporates transmission reserves to flexibly manage uncertainty-induced congestion. In this two-settlement market framework, the key statistical features of line flows are extracted using a high-dimensional probabilistic collocation method in the real-time dispatch, for which the spatial correlation between wind farms is also considered. These features are then used to quantify transmission reserve requirements in the transmission constraints at the day-ahead stage. Comparative studies on the IEEE 57-bus system demonstrate that the proposed method outperforms the conventional unit commitment (UC) to enhance the system reliability with wind power integration while leading to more cost-effective operations.

scholarly journals Impact of Risk Aversion on the Operation of Hydroelectric Reservoirs in the Presence of Renewable Energy Sources

Energies ◽  
2018 ◽  
Vol 11 (6) ◽  
pp. 1389 ◽  
Author(s):  
Nenad Jovanović ◽  
Javier García-González ◽  
Santiago Cerisola ◽  
Julián Barquín
Keyword(s):  
Renewable Energy ◽  
Power Systems ◽  
Risk Aversion ◽  
Renewable Energy Sources ◽  
Price Volatility ◽  
Energy Sources ◽  
Risk Averse ◽  
Fuel Price ◽  
Market Participants ◽  
Multi Stage

The increasing share of renewable energy sources, such as wind and solar generation, has a direct impact on the planning and operation of power systems. In addition, the consideration of risk criteria within the decision support tools used by market participants (generation companies, energy services companies, and arbitrageurs) is becoming a common activity given the increasing level of uncertainties faced by them. As a consequence, the behavior of market participants is affected by their level of risk aversion, and the application of equilibrium-based models is a common technique used in order to simulate their behavior. This paper presents a multi-stage market equilibrium model of risk-averse agents in order to analyze up to what extent the operation of hydro reservoirs can be affected by the risk-averse profile of market participants in a context of renewable energy source penetration and fuel price volatility.

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