Two-Stage Robust Power Grid Optimization Problem

Ruiwei Jiang , Muhong Zhang , Guang Li , and Yongpei Guan

Department of Industrial and Systems Engineering University of Florida, Gainesville, FL 32611, USA School of Computing, Informatics, and Decision Systems Engineering Arizona State University, Tempe, AZ 85281, USA Electric Reliability Council of Texas (ERCOT), Austin, TX 78744, USA

Abstract For both regulated and deregulated electric power markets, due to the integration of renewable energy generation and uncertain demands, both supply and demand sides of an electric power grid are volatile and under uncertainty. Accordingly, a large amount of spinning reserve is required to maintain the reliability of the power grid in traditional approaches. In this paper, we propose a novel two-stage robust integer programming model to address the power grid optimization problem under supply and demand uncertainty. In our approach, uncertain problem parameters are assumed to be within a given cardinality or polyhedral uncertainty set. We study cases with and without transmission capacity and ramp-rate limits. We also analyze solution schemes to solve each problem that include an exact solution approach, and an ecient heuristic approach that provides a tight lower bound for the general robust power grid optimization problem. The nal computational experiments on a modied IEEE 118-bus system verify the eectiveness of our approaches, as compared to the worst-case scenario generated by the nominal model without considering the uncertainty.

Key words: unit commitment, transmission capacity limits, mixed integer programming, separation, robust optimization

Introduction

Current US electric power markets include both regulated and deregulated markets (e.g., see [16]). For the regulated market (e.g., the state of Florida and the state of Arizona), utility companies own power plants and clients. A utility company solves the traditional unit commitment problem plus transmission capacity limits for a given planning horizon (e.g., one week) based on the forecasted demand, with the objective of maximizing the social welfare or minimizing the total power generation cost to satisfy the given demand. In real time at each operating hour, the utility company adjusts the economic dispatch amount of each online power generation unit, in order to satisfy the real time demand. The utility company may need to turn on pickers (e.g., gas generators) or purchase through bilateral contracts to cover the extra demand when the demand is signicantly larger than forecasted, and salvage its extra power if the demand is smaller than the online generators minimum output. The deregulated market contains day ahead and real time markets. For the day ahead market, three part oers that specify start up cost, minimum energy, and an energy oer curve are submitted to the Independent System Operator (ISO). An ISO optimizes the power grid operations based on the submitted oers to decide the unit commitment status (e.g., online or o-line) of each generator. In the real time market, an ISO determines the most economical dispatch of individual resources across the grid, based on the real time demand information. Several electric power markets (e.g., ERCOT) execute reliability unit commitment studies after the close of the day ahead market, and evaluates the generation needs for the next operating day (e.g., see [27]). Reliability unit commitment ensures that there is sucient generation capacity in the proper locations to reliably serve the forecasted demand and forecasted transmission congestion by leveraging oine resources when necessary. In practice, the demands for a power grid are highly uncertain (e.g., see [16]) due to weather and other conditions. Meanwhile, high penetration of renewable generation, such as wind, triggers volatile supply (e.g., see [3]). All these factors bring great challenges in grid management and generation scheduling to power system operators. The inherent intermittency and variability of renewable resources, such as wind, plus uncertain demands require both utility companies under the regulated market and ISOs under the deregulated market to rene their unit commitment and economic dispatch policies to accommodate these uncertainties. While a large amount of research

exists on how to formulate and improve the general unit commitment algorithm [20], the unit commitment research that considers uncertain wind power and demand is limited. To address demand uncertainty, previous research progress has been made on stochastic programming approaches to solve the problem with the objective of minimizing the total expected cost. A multistage stochastic programming formulation was developed early in [23]. At the same time, an augmented Lagrangian decomposition framework was studied in [11]. Other relevant Lagrangian decomposition literature includes [12] and [15], among others. Recently, the stochastic programming approach for unit commitment to generate supply curves in electric power markets was studied in [19], to serve as a decision aid for scheduling and hedging in the wholesale electric power market was studied in [22], and to estimate the potential contribution of demand exibility in replacing operating reserves was studied in [18]. To address wind supply uncertainty, Barth et al. [3] presented the early stage of the Wind Power Integration in the Liberalised Electricity Markets (WILMAR) model [1]. Tuohy et al. [24] examined the eects of stochastic wind and demand on the unit commitment and dispatch of power systems with high levels of wind power by using the WILMAR model. Ummels et al. [25] analyzed the impacts of wind power on thermal generation unit commitment and dispatch in the Dutch system, which has a signicant share of combined heat and power units. A rolling commitment method is used to schedule the thermal units where the common constraints (e.g., ramp-rate limit constraints and minimum on/o time constraints) are considered. The wind power forecasting errors are captured by an autoregressive moving average process. Bouard and Galiana [10] proposed a stochastic unit commitment model to integrate signicant wind power generation while maintaining the security of the system. Rather than being pre-dened, the reserve requirements are determined by simulating the wind power realization in the scenarios. Ruiz et al. [21] proposed a stochastic formulation to manage uncertainty in the unit commitment problem. The formulation captures several sources of uncertainty and denes the system reserve requirement for each scenario. Wang et al. [26] presented a security-constrained unit commitment algorithm that takes into account the intermittency and variability of wind power generation. The uncertainty in wind power output is captured in a number of scenarios, and a Benders decomposition approach is applied to reduce the computational eorts.

In the stochastic optimization approaches, scenarios are generated based on the forecasted demand or wind output distribution with the objective of minimizing total expected cost. This approach may cause two potential issues: 1) the problem size increases dramatically due to a large amount of samples to generate scenarios, and 2) it is very challenging to provide a distribution of the wind output amount due to its intermittent nature. Besides, due to the objective of minimizing the total expected cost, a signicant portion of wind energy may be curtailed to achieve the optimal objective value or facilitate the scheduling of other generation units. For instance, a large upward ramp in wind power may be unfavorable in a system in which sucient downward reserves from other resources are not present. In this case, wind power may have to be curtailed, which leads to a waste of available resources and violates the policy of utilizing renewable energy as much as possible. In this research, we study a novel two-stage robust optimization version of the problem to address the demand and wind supply uncertainties. Since wind supply can be considered as a negative demand, we combine demand and wind supply uncertainties, and regard it as demand uncertainty. Instead of providing a detailed description of the demand distribution, the demand is assumed to be within an uncertainty set. In addition, the error of the wind supply is set much larger than that of the demand, because wind output is much harder to forecast, as compared to the demand. Our proposed robust optimization approach will enhance the reliability unit commitment for both utility companies under the regulated market and ISOs under the deregulated market. Accordingly, our approach will benet the current practice, because it is crucial to provide a robust unit commitment solution that keeps the power grid system away from blackout under both markets. The robust optimization approach has received rich research attention in recent decades. With the parametric uncertainty sets, the robust optimization approach provides tradeos between the optimality and the robustness of the solutions. Moreover, it becomes an attractive approach because of its computational advantages without enumerating a large number of scenarios. Ben-Tal and Nemirovski [5, 4] and El Ghaoui et al. [13, 14] are among the rst to study the robust optimization approach with ellipsoidal uncertainty sets. In this research, we adopt cardinality and polyhedral uncertainty sets which were rst proposed by Bertsimas and Sim [6, 7] and studied in various literature, such as inventory theory [8, 9], network design [2], and lot-sizing [2]. However, to

the best of our knowledge, there is no previous research on robust optimization for power grid optimization problems. In this paper, we study the two-stage robust power grid optimization problem. We provide unit commitment decisions in the rst stage with the objective of minimizing the system-wide power generation cost including the unit commitment cost and dispatch cost under the worst-case scenario. The remaining part of this paper is organized as follows. Section 2 describes the mathematical formulation of the robust power grid optimization problem. Section 3 studies the solution approach to solve a simplied version of the power grid optimization problem, in which the transmission and ramp-rate limit constraints are relaxed. This problem can be solved eciently and can be used to approximate the general power grid optimization problem. In Section 4, we explore the solution schemes to solve the general robust power grid optimization problem. Finally, Section 5 reports the computational results, and Section 6 concludes our study.

Notation and Mathematical Formulation

For a T -period power grid optimization problem, we let E = {1, 2, , M } represent the set of buses and A represent the set of transmission lines linking two buses. For each bus m E, we let Nm be
m represent the the set of generators in this bus. Accordingly, for each generator i Nm , we let Si m start-up cost, Wim represent the shut-down cost, Gm i represent the minimum-up time, Hi represent

the minimum-down time, Lm i represent the minimum output of electricity if the generator is on, Uim represent the maximum output of electricity if the generator is on, Vim represent the ramp-up
m represent the ramp-down rate limit. For each transmission line (i, j ) A, we rate limit, and Bi m represent the line ow distribution let Cij represent the capacity of the transmission line, and Kij

factor for the transmission line, due to the net injection at bus m, m E. To describe the demand
and D u represent the lower and upper bounds of the demand at bus uncertainty set, we let Dmt mt r := D u D , m E, t = 1, 2, , T . m in time period t. For notation brevity, we dene Dmt mt mt

For our two-stage robust power grid optimization problem, in the rst stage we provide the unit
m , um , v m ) for each generator that include: 1) if generator i at bus m is commitment decisions (yit it it m = 1 if yes; y m = 0 o.w.), 2) if generator i at bus m is started on or not in time period t (i.e., yit it m up or not in time period t (i.e., um it = 1 if yes; uit = 0 o.w.), and 3) if generator i at bus m is shut

m = 1 if yes; v m = 0 o.w.). In the second stage, we let random down or not in time period t (i.e., vit it

parameter dmt represent the demand at bus m in time period t, and decision variable xm it represent the amount of electricity generated by generator i at bus m in time period t. First, the nominal model can be described as follows:

Nominal model
T M

z PO = min s.t.

y,u,v,x

m m m m m (Si uit + Wim vit + fit (xit ))

t=1 m=1 iNm m m m yi (t1) + yit yik

0,

(1)

1 k (t 1) Gm i , m E, i Nm , t = 1, 2, , T (PO)
m m m yi (t1) yit + yik 1,

(2)

1 k (t 1) Him , m E, i Nm , t = 1, 2, , T
m m m yi (t1) + yit uit 0, m E, i Nm , t = 1, 2, , T m m m yi (t1) yit vit 0, m E, i Nm , t = 1, 2, , T m m m m Lm i yit xit Ui yit , m E, i Nm , t = 1, 2, , T m m m m m m m xm it xi(t1) (2 yi(t1) yit )Li + (1 + yi(t1) yit )Vi ,

(3) (4) (5) (6)

m E, i Nm , t = 1, 2, , T
m m m m m m m xm i(t1) xit (2 yi(t1) yit )Li + (1 yi(t1) + yit )Bi ,

(7)

m E, i Nm , t = 1, 2, , T
M

xm it =
M

M m=1

dmt , t = 1, 2, , T ) xm nt dmt Cij , (i, j ) A, t = 1, 2, , T

(8)

m=1 iNm

Cij

m Kij

(
nNm

(9)

m=1 m m m yit , uit , vit

m {0, 1}, and yi 0 = 0, m E, i Nm , t = 1, 2, , T.

In the above nominal model, the objective is to minimize the total cost, including start-up, shutdown, and fuel costs. Constraints (1) describe the minimum-up time required for generator i once it is started up. Accordingly, constraints (2) describe the minimum-down time required for generator i once it is shut down. Constraints (3) and (4) indicate the start-up and shut-down operations for each generator i. Constraints (5) describe the upper and lower bounds of power output of 6

generator i if it is on in period t. Constraints (6) and (7) describe the ramp-up and ramp-down rate limit restrictions, respectively. Constraints (8) ensure the power grid ow balance. Finally, constraints (9) describe the transmission capacity limits which restrict the ow passing through each transmission line (i, j ).

Two-stage robust optimization model

When the demand for the second-stage is unknown and is within an uncertainty set, i.e., D, the two-stage robust counterpart of the nominal model (PO) is to minimize the total cost under the worst-case scenario. Before further characterizing the model, we rst use a P -piece piecewise linear
m (xm ) = cm (xm )2 + bm xm + am . function to approximate the non-decreasing convex cost function fit it it it it it it

After choosing P breakpoints

m1 m2 mP Lm < qi < < qi = Uim , i = qi

m E, i Nm ,

we can represent the function with

mp m mp m mp m m m m mp fit (xit ) yit (it + it xit ) = it yit + it xit , m E, i Nm , p = 1, 2, , P, mp mp where the equation follows from (5), and it , it for p = 1, 2, , P are given by { mp m mp 2 it = am it cit (qi ) , p = 1, 2, , P. mp mp it = 2cm + bm it qi it

Now the two-stage robust power grid optimization problem can be described as follows: z R = miny,u,v (RPO) s.t.
T M t=1 m=1 iNm m m m (Si uit + Wim vit ) + max

dD (x,)X (y,d)

min

T M t=1 m=1 iNm

m it

(1), (2), (3), (4),

m m m m yit , uit , vit {0, 1}, and yi 0 = 0, m E, i Nm , t = 1, 2, , T,

where X (y, d) =

{ (x, ) : (5), (6), (7), (8), (9),

mp m mp m m it it yit + it xit , m E, i Nm , p = 1, 2, , P, t = 1, 2, , T

} (10)

and D is the uncertainty set that describes the range of demand. In this paper, we study the cases with and without transmission capacity and ramp-rate limits. For each case, we consider both cardinality and polyhedral uncertainty sets [2]. 7

1. The model without transmission capacity and ramp-rate limits: This is an aggregated formulation. For the polyhedral uncertainty set (e.g., budget uncertainty set), we consider that
and an the demand for each operating hour t at each bus m is between a lower bound Dmt u . In addition, the summation of the weighted demands within the planning upper bound Dmt

horizon is bounded above. The uncertainty set can be described as follows: DB = { u d : Dmt dmt Dmt , m E, t,
T M t=1 m=1

} t dmt 0 ,

(11)

where 0 is the given upper bound for the planning horizon. For the cardinality uncertainty set [7, 8], we can describe the set as follows: DC = { u d : Dmt dmt Dmt , m E, t, M T } d D t m=1 mt , t D
t=1

(12)

u + D )/2 and D r /2 are the nominal value and the t = M (Dmt t = M Dmt where D mt m=1 m=1 maximum variation of M m=1 dmt .

2. The model with transmission capacity and ramp-rate limits: For this case, we consider that
the demand for each operating hour t at each bus m is between a lower bound Dmt and u . Besides the overall budget constraint to make the summation of the an upper bound Dmt

weighted demands within the planning horizon bounded above, for each given time period t, the summation of the weighted demands at all buses is bounded above. DB = { u d : Dmt dmt Dmt , m E, t,
M

mt dmt t , t, } mt dmt 0 , (13)

m=1 M T m=1 t=1

where t is the given upper bound for time period t. Again, the corresponding cardinality

uncertainty set is described as follows: { u DC = d : Dmt dmt Dmt , m E, t, M mt dmt D t , t, mt D m=1 M T } mt dmt D , mt D m=1 t=1

(14)

mt = (Du + D )/2 and D mt = Dr /2 are the nominal value and maximum variation where D mt mt mt of dmt .

Two-Stage Robust Unit Commitment Problem

We rst analyze the power grid optimization problem in which transmission capacity and ramprate limits are relaxed. This is the robust optimization version of the traditional unit commitment problem. It will help us understand the insights of the basic problem structure and provide an approximation model for the general robust power grid optimization problem. In this case, for notation brevity, we omit the index m in the formulation. In addition, we assume there will be penalty and salvage costs generated if the electricity output does not match the demand. We let zt and wt represent the surplus and shortage amount of electricity at time period t, and accordingly, let Rt and Pt represent the unit penalty and salvage cost. To illustrate the main results, we assume the fuel cost is linear (e.g., fit (xit ) = it + it xit ) in this section. Note that our conclusion for the multiple-piece approximation case also holds. Then, the corresponding robust optimization model can be simplied as follows: min
T t=1 iN

y,u,v

(Si uit + Wi vit +it yit ) + max

dD (x,z,w)X (y,d)

min

( T
t=1 iN

) it xit + Rt wt Pt zt (15) (16) (17) (18)

(RUC) s.t.

yi(t1) + yit yik 0, 1 k (t 1) Gi , i N, t yi(t1) yit + yik 1, 1 k (t 1) Hi , i N, t yi(t1) + yit uit 0, i N, t yi(t1) yit vit 0, i N, t yit , uit , vit {0, 1}, and yi0 = 0, i N, t,

{ where X (y, d) = (x, z, w) : Li yit xit Ui yit , i N, t xit + wt zt = dt , t } xit , zt , wt 0, i N, t .

iN

The uncertainty sets described in (11) and (12) are simplied as follows:
T { } u DB = d : t dt 0 , Dt dt Dt , t and t=1 T { DC = d : t=1 Dt u Dt

(19)

t dt D t D

} u , D t dt Dt , t ,

(20)

where

and

t = represent the lower and upper bounds for the demand in time period t, D

u + D )/2, and D t = (Du D )/2. (Dt t t t

To solve (RUC), we rst analyze the optimal value function gt (yt , dt ) for the subproblem in the second stage once the rst stage decision variable (y, u, v ) is xed. In this case, (RUC) is decomposed into T subproblems. Corresponding to each time period t, we have gt (yt , dt ) = min s.t.
iN

it xit + Rt wt Pt zt (21) (22)

Li yit xit Ui yit , i N, xit + wt zt = dt , xit , zt , wt 0,

iN

i N.

= In the optimal solution for the subproblem corresponding to each time period t, we have zt = (d Ui yit )+ , where x+ = max{x, 0}. ( Li yit dt )+ and wt t iN iN

Proposition 1 The value function gt (yt , dt ) is piecewise linear, nondecreasing, and convex in dt . Proof: Without loss of generality, we assume N = {1, 2, ..., N } and 0 <Pt < 1t 2t . . . N t < Rt . (23)

From constraints (21) and (22), based on the cost relationship shown in (23), we can observe the following:

10

 If dt

N i=1

Li yit , then in the optimal solution, each generator generates at its lower bound
N i=1 N i=1 N i=1 N i=1 N it Li yit Pt ( Li yit dt ) = t0 (y ) + Pt dt , i=1

and salvages the over generated power in the amount of

Li yit dt . The total cost is

gt (yt , dt ) = t0 (dt ) =

(24)

where t0 (y ) = If dt
N i=1

it Li yit Pt

Li yit .

Ui yit , then in the optimal solution, each generator generates at its upper bound.
N i=1 N i=1 N i=1 N i=1 N i= N i=1

The shortage part is in the amount of dt

Ui yit . The total cost is

gt (yt , dt ) = t(N +1) (dt ) =

it Ui yit + Rt (dt

Ui yit ) = t(N +1) (y ) + Rt dt ,

(25)

where t(N +1) (y ) =

it Ui yit Rt

Ui yit .
1 i=1

For the general case, assuming ( 1, . . . , N , the total cost is gt (yt , dt ) = t (dt ) =
N i=+1 N i=+1

Li yit +

Ui yit ) dt (

Li yit +

i=1

Ui yit ), =

i=+1

it Li yit +

1 i=1

it Ui yit +t (dt

1 Li yit Ui yit ) = t (y )+t dt , i=1

i= +1 N i= +1 1 i=1

(26) where t (y ) = it Li yit +

1 i=1

it Ui yit t

Li yit t

Ui yit .

From (24), (25), and (26), we can observe that t (dt ), = 0, . . . , N + 1, is a linear funcN N tion of dt . Based on (23) and t ( Li yit + Ui yit ) = t(+1) ( Li yit + Ui yit ) =
N i= +1

it Li yit +

i=1

i=+1

i=1

i=+1

i=1

it Ui yit , we have that the value function gt (yt , dt ) is piecewise linear, nonde-

creasing, and convex in dt . Therefore, the conclusion holds.

Since the value function gt (yt , dt ) is piecewise linear and convex, the following corollary holds. Corollary 1 The value function gt (yt , dt ) = at time period t. 11 max tt (dt ), where t represents the value of

t =0,...,N +1

Based on the conclusion obtained in Proposition 1 and Corollary 1, (RUC) can be reformulated as follows: min
T N

y,u,v

(it yit + Si uit + Wi vit ) + max

dD

T t=1

gt (yt , dt )

= s.t.

t=1 i=1 T N t=1 i=1

T (it yit + Si uit + Wi vit ) + max ( dD t=1

t =0,...,N +1

max

tt (dt ))

(15), (16), (17), (18), yit , uit , vit {0, 1}, i N, t.

Now we can introduce a new continuous decision variable for the second stage as follows: min
T N

y,u,v

(it yit + Si uit + Wi vit ) + tt (dt ) for all d D,

s.t.

t=1 i=1 T t=1

t =0,...,N +1

max

(15), (16), (17), (18), yit , uit , vit {0, 1}, i N, t, . In the optimal solution, for a given (y, u, v ), since tt (dt ) and t t (dt ) are mutually independent, we have =
t ,1tT

{ max max

T t=1

} tt (dt ) : d D . (27)

Separation: The separation problem of (27) can be stated as: (SP): Given a solution (y, u, v, ), does there exist (1 , ..., T ) and d D, such that T < tt (dt )?
t=1

In the remaining part of this section, we analyze the separation problem with the uncertainty sets (19) and (20), respectively. If (19) is given, for a given t , the dual of (27) can be described as follows: min (Dual) s.t.
T T u 0 + (Dt t Dt t ) + tt (y ) t=1 t=1

t + t t tt , t, , , 0, 12

where tt is the coecient of dt in function tt (dt ). That is, tt = Pt if t = 0, tt = Rt if t = N + 1, and tt = t t if 1 t N. We also notice that tt (y ) is a constant number here for the dual problem once t, t and y are given. Therefore, if t for each t is given, we can add the dual constraints to the rst stage master problem. Note here the dual constraints are linear. However, there are exponential number of such combinations of t , t. We can add these constraints gradually by running a separation algorithm. Next, we describe a separation algorithm to discover t , given a solution of the master problem. Theorem 1 The separation problem (SP) is NP-hard under the budget uncertainty set DB as described in (19). Proof: We prove the claim by reducing a 0 1 knapsack problem to (SP). Given an instance of

a 0 1 knapsack problem (e.g., max{cx : ux b, x {0, 1}T , b Z+ }), we construct a separation problem (SP) as follows: There are T time periods and 2T generators. At each time period t, only two generators 2t 1 and 2t are turned on. Assume that the minimum-up and minimum-down times for both generators are one time period. In addition, the capacities of generators 2t 1 and 2t are ut 1 and 1, and the corresponding unit production costs are 0 and ct , respectively. The budget uncertainty set is T DB = {d : dt b, 0 dt ut , b Z+ }.
t=1

From the above constructed separation problem (SP), we can observe that for each time period, we use generator 2t 1 to satisfy the demand if dt ut 1, because the unit production cost is zero. If dt = ut , then we have to use generator 2t to produce one unit at the cost ct . Therefore, it can be observed that there exists an optimal (SP) solution d , such that for any t, d t is either 0 or ut . It is equivalent to the knapsack solution with the same objective value. Therefore, the separation problem with uncertainty set DB is NP-hard. Since the separation problem under the budget uncertainty set is closely related to the knapsack problem, we propose a dynamic programming algorithm to solve it. Given a rst stage solution y , we will determine the extreme scenario d which gives the most violated constraint, or determine that the current solution is feasible. The algorithm is based on the following observation.

13

Observation 1 For any extreme scenario d DB , there exists a time period t , such that for any
or D u . t = t , dt = Dt t

This observation is obtained by the convexity of function gt (yt , dt ) and the extreme points of uncertainty set DB . Moreover, we can derive the following lemma for the extreme scenario d. Lemma 1 For any extreme scenario d DB with respect to the rst stage solution (y, ), if N 1 N dt ( Li yit + Ui yit , Li yit + Ui yit ) for some , then d corresponds to the optimal
i= i=1 i=+1 i=1

solution of the following knapsack problem max z t = (SP Nt ) s.t.

j J u ) g (y , D ))st (gj (yj , Dj j j j j u D )st 0 , j (Dj j j

j J

st j {0, 1}, j J, where J = {j : t /t N j /j , j = t}, 0 = 0

j =t ( j Dj t N

Li yit +

1 i=1

i=

Ui yit ), and st j is the

t u indicator of dj (i.e., st j = 0 if dj = Dj , and sj = 1 if dj = Dj ). in the extreme scenario. Proof: From the denition of J , if j J , then we can observe that dj = Dj u based on Observation 1. Then, decreasing d by a small / > 0 while If not, then dj = Dj j j

increasing dt by /t will increase the second stage cost by (t /t N j /j ), which contradicts with the claim that d is the extreme scenario. Thus, the optimal objective value z t for (SP Nt )
u. corresponds to the worst second-stage cost increment by picking periods j in which dj = Dj

With Lemma 1, we only need to consider T (N + 2) knapsack problems to solve (SP), because there are T (N + 2) combinations of t and . The dynamic programming algorithm for the knapsack problem can be adopted directly to solve each (SP Nt ). Now we consider obtaining the extreme demand d after solving the T (N +2) knapsack problems. For each combination of t and , let the optimal solution of (SP Nt ) be (st ) with the corresponding optimal objective value z t , and t = ( 0 If t (U L )yt , let z t = z t
j J u j (Dj Dj )(st j ) )/t .

and (t, ) be a candidate to generate the extreme demand d.

Otherwise, let z t = 0, which implies that in the extreme scenario, dt is not in the th interval. Let t }. (t , ) = arg maxt=1, ,T,=0,1, ,N ,N +1 {z 14

Then, based on (SP Nt ), we can observe that if z t +

N i=

t=t

) + g (y , + gt (yt , Dt t t t

Li yit +

Ui yit ), the solution is feasible. Otherwise, we can construct the extreme demand d
N i= u t dt = Dt + (Dt Dt )st
1

i=1

as follows: dt = t +

Li yit +

Ui yit ;

i=1

, t = t .

From the above analysis, it is easy to observe the following proposition holds, based on the fact that the knapsack problem can be solved in O(T 0 ) time (without loss of generality, we assume
u D , t, are integers). that 0 and Dt t

Proposition 1 The separation problem (SP ) can be solved in pseudo-polynomial time O(T 2 0 N ). If (20) is given, the separation problem is easy and can be described as follows: Theorem 2 The separation problem (SP) is polynomial time solvable under the cardinality uncertainty set DC as described in (20). Proof: For the cardinality uncertainty set, the (SP) problem is equivalent to nding the set of

u and time periods T T corresponding to the extreme scenario d, where for any t T , dt = Dt

t . The detailed steps are shown in Algorithm 1. for any t T \ T , dt = D Algorithm 1: Separation algorithm under uncertainty set DC Data: The rst stage solution y, . Result: Current solution is feasible or return (1 , ..., T ) and d maximizing the second stage cost. forall the t = 1, 2, , T do u ) g (y , D t ); Set g t = gt (yt , Dt t t t such that gt (yt , Du ) = (Du ) and gt (yt , D t ) = (D t ). Set t and t t tt tt Let g [1] , g [2] , , g [T ] be a sorted nonincreasing order of g 1 , g 2 , , g T . T [t] ). Set = g[t] (y[t] , D[u g[t] (y[t] , D t] ) +
t=1 t=+1

if then the current solution is a feasible solution; else [1] , , [] , [+1] , , [T ] ) and (Du , , Du , D [+1] , , D [T ] ). return ( [1] []

15

The algorithm returns the extreme demand that corresponds to the maximum second stage cost. Note that nding the value of gt (yt , dt ) is equivalent to a linear program, which is polynomial time solvable. Thus, this is a polynomial time algorithm and the conclusion holds.

Two-Stage Robust Power Grid Optimization Problem

In this section, we develop solution methods to solve the general two-stage power grid optimization problem (RPO). We develop solution approaches that can provide exact and near-optimal solutions, respectively. In terms of tractability, similar as shown in the previous section, the cardinality uncertainty set case is relatively easier than the polyhedral uncertainty set case. We focus on the polyhedral uncertainty set case in this section, and describe that the cardinality uncertainty set case can be solved by a similar approach. Given a rst-stage decision variable y , let (y ) represent the optimal value function for the second-stage problem of (RPO). By dualizing the constraints in X (y, d), we have ( M T M m m+ m m m (Lm y (y ) = max U y ) + dmt t i it it i it it
,,,,d,, t=1 m=1 iNm m=1

M m=1 iNm M m=1 iNm

m m m m m m m m (it (2 yi (t1) yit )Li + it (1 + yi(t1) yit )Vi )

m m m m m m m m (it (2 yi (t1) yit )Li + it (1 yi(t1) + yit )Bi )

+ m m (Kij dmt ij,t Kij dmt ij,t )

(i,j )A

+ Cij (ij,t + ij,t )

(i,j )A m=1

M P m mp mp + (yit it it ) m=1 iNm p=1 P mp mp (it it ) p=1 m + m (Kij ij,t Kij ij,t ) = 0, m E, i Nm , t

(28)

(SUB) s.t.

m+ it

m it

+ t +

m i (t+1)

m i (t)

m it

im (t+1)

+
P p=1

(i,j )A

(29)

mp it = 1

m E, i Nm , t

(30)

16

 u Dmt dmt Dmt m E, t

(31) (32)

mt dmt m=1 M T

t , t

mt dmt 0 m=1 t=1 m+ m + m m mp it , it , ij,t , ij,t , it , it , it

(33) 0,

m E, i Nm , p = 1, 2, , P, (i, j ) A, t,
m m , m , , and mp are the dual variables for constraints where the decision variables it , it t it ij,t it

(5)-(10). We observe that (SUB) is a bilinear program with products of (, ) and d in the objective u function, and thus NP-hard under general data settings (e.g., M t ). m=1 mt Dmt > In this section, we provide separation schemes embedded in a Benders decomposition framework to solve (RPO). We develop both exact and heuristic approaches. First, we can solve the following master program iteratively by adding new constraints to cut o infeasible or non-optimal solutions in the Benders decomposition framework: z M = min
y,u,v T M t=1 m=1 iNm T M t=1 m=1 iNm ms m it yit s , s = 1, , S, m m m (Si uit + Wim vit ) + (y )

(Master)

s.t.

(34)

(y )

T M t=1 m=1 iNm

mr m it yit r , r = 1, , R,

(35)

(1), (2), (3), (4),

m m m m yit , uit , vit {0, 1}, and yi 0 = 0, m E, i Nm , t,

where constraints (34) represent the selected feasibility cuts added to the master problem, while constraints (35) represent the optimality cuts.

4.1

Exact separation approach

To obtain an exact separation, we need to solve the subproblem (SUB) into optimality. In the following, we show how we can solve the bilinear subproblem by solving one mixed-integer linear program. First, we can observe that the optimal solution for (RPO) satises the following condition.

17

Proposition 2 There exists an optimal solution ( , , , , , , d ) to (SUB) that satises

u the following condition: For each time period t, d mt = Dmt or Dmt , except at most one bus in M u which d t tight, or to make the constraint mt [Dmt , Dmt ] to make the constraint m=1 mt dmt M T 0 tight. m=1 t=1 mt dmt

Proof:

We note that (SUB) maximizes a bilinear function over a polyhedron, where the linear

constraints of (, , , , , ) and those of d are disjoint. Hence, there exists an optimal solution ( , , , , , , d ) to (SUB) such that d is an extreme point of the polyhedron represented by the constraints of d, i.e., D. If this is not the case, we can x ( , , , , , ) and solve (SUB), which, after optimized, gives us an extreme point d of D. Besides, based on the problem structure, it is easy to check that d is an extreme point of D if and only if d satises the condition in the above claim. Based on Proposition 2, as an extreme point, the demand in each bus at each time period will make: 1) lower or upper bound constraint tight, or 2) inequalities (32) tight, or 3) inequality (33)
u = 1 represent that d = D u , binary decision tight. Then, we let binary decision variable zmt mt mt f u variable zmt = 1 if d mt [Dmt , Dmt ] and it makes the corresponding inequality (32) tight, and g u binary decision variable zmt = 1 if d mt [Dmt , Dmt ] and it makes the corresponding inequality (33)

tight. In addition, we let binary decision variable zt = 1 if the corresponding inequality (32) is tight. We can observe the following constraints hold:
f g u zmt + zmt + zmt 1, m E, t, M f zmt 1, t,

(36) (37)

m=1 M T

g zmt 1,

(38)

m=1 t=1 M

zt =

f zmt , t,

(39) (40)

m=1 g zmt + zt 1, m E, t,

where (36) indicates that the demand in each bus at each time period will play at most one role, (37) indicates that, at each time period t, at most one bus in which the demand plays the role to make the corresponding inequality (32) tight, and similarly (38) indicates that at most one bus at a 18

particular time period in which the demand plays the role to make (33) tight. To avoid duplicated calculation, (40) indicates that if the demand for a bus in time period t is used to make (33) tight, then no bus in time period t will be considered to make (32) tight. Now, we reformulate the subproblem to be a mixed-integer linear program in the following way. We rst can write down the subproblem as follows: ( M T M m m m+ m m m m m m (y ) = max (Li yit it Ui yit it ) + f (yit , it , it )
,,,,d,, t=1 m=1 iNm m=1 iNm M m=1

+ s.t.

dmt mt

(i,j )A

+ Cij (ij,t + ij,t )+

M P m=1 iNm p=1

m mp mp (yit it it )

(29), (30), (36) (40), m + m mt = t + Kij ij,t Kij ij,t , m E, t,

(i,j )A

(41) (42) (43) (44)

mt /mt nt /nt

(i,j )A u u (zmt znt M

+ 1), m, n E, t,

(z u z f + 1), m, n E, t, mt /mt nt /nt M mt nt (z u z g + 1), m, n E, t, mt /mt nt /nt M mt nt t (SUBR ) t 0 0 0

M n=1 M n=1 nt Dnt M n=1 M n=1

r u r (1 z f ), m E, t, (45) nt Dnt znt mt Dmt +M mt

nt Dnt

r u nt Dnt znt 0, t,

(46) (47) (48)

t t

t 0,
r (1 z g ), m E, t, t mt Dmt +M mt M n=1 M n=1

t ( t

nt Dnt

r u (1 z g ), m E, nt Dnt znt ) + M t, (49) mt

t t , t, (1 zt ), t, t t M t t
M m=1 M mt Dmt + M m=1 M r u zt , t, mt Dmt zmt +M

(50) (51) (52)

mt Dmt +

r u zt , t, mt Dmt zmt M f g u 0, zmt , zmt , zmt {0, 1},

(53) (54) (55)

m=1 m=1 m+ m m m + it , it , it , it , ij,t , ij,t , mp it

m E, i Nm , p = 1, 2, , P, (i, j ) A, t, 19

where
m m m m m m m m m m m f (yit , it , it ) = it (2 yi (t1) yit )Li it (1 + yi(t1) yit )Vi m m m m m m m m it (2 yi (t1) yit )Li it (1 yi(t1) + yit )Bi .

(56)

Constraints (42)-(44) ensure that if the weighted cost coecient of dmt (i.e., mt /mt ) is larger than
u z u , z u z g , and z u z f . Constraints (45) and (46) ensure a demand that of dnt , then zmt nt mt mt nt nt , D u ] if z f = 1. Note that here it is allowed this demand d dmt in the interval [Dmt mt = Dmt or mt mt u , and constraint (32) is automatically satised. Similarly, constraints (47)-(49) ensure dmt = Dmt M , min{D u , D + ( r u a demand dmt in the interval [Dmt t M mt mt n=1 nt Dnt n=1 nt Dnt znt )/mt }]

to make constraint (33) automatically satised. Constraints (50) to (53) indicate that t = t if M r u zt = 1 and t = M m=1 mt Dmt + m=1 mt Dmt zmt otherwise. In the following part, we show how we linearize the bilinear term dmt mt in the objective function in (SUBR ). First, we can write dmt =
Dmt

u r zmt Dmt

f zmt ( t

M n=1

nt Dnt M

M n=1

r u nt Dnt znt )/mt M n=1

(
g +zmt

))
r u ns Dns zns )

s zs + (1 zs )(

ns Dns +

/mt .

n=1

Then, we have
dmt mt = Dmt mt (

+ ( + + +

f r u Dmt zmt mt + zmt mt ( t

M n=1

)
nt Dnt )/mt

(57) (58)

(
g zmt mt

0 /mt

)) (59)

(ns Dns /mt )

s n=1 M n=1 u f r znt zmt mt nt Dnt /mt

(60) )

(
g zs zmt mt

M n=1

ns Dns /mt s /mt

(61)

M s n=1 M s n=1

u g r zns zmt mt ns Dns /mt

(62)

g u r zmt zs zns mt ns Dns /mt .

(63)

20

Constraints (58)-(63) can be linearized as follows: ( ) M f r u + Dmt z mt +z mt ( t nt Dnt )/mt ( +

g z mt M n=1

(64)

0 /mt

n=1 M

) (65)

(ns Dns /mt ) s n=1

uf r z mnt nt Dnt /mt

(66)
M n=1

(
g z mst

)
ns Dns /mt

s /mt

(67)

M s n=1 M

ug r z mnst ns Dns /mt

(68)

+ s.t.

ug r z mnsst ns Dns /mt u (1 z u ), z zu , +M mt M mt mt

(69) (70) (71) (72) (73) (74) (75) (76) (77)

s n=1 u z mt mt

f f (1 z f ), z zf , z mt mt + M mt M mt mt g g (1 z g ), z zg , z mt mt + M mt M mt mt uf uf uf (2 z f z u ), z zf , z u z mnt mt + M mnt M nt mt mt mnt M znt , n, g g g (2 z g zs ), z zs , z z g , s, z mst mt + M mst M mst M mt mt ug ug ug (2 z g z u ), z zu , z g z mnst mt + M mnst M ns ns mnst M zmt , s, n, mt ug (3 z g zs z u ), s, n, z mnsst mt + M ns mt ug ug ug u zns zg , z z mnsst M , z mnsst M mt mnsst M zs , s, n.

Therefore, the nal subproblem in the form of mixed-integer linear problem is ( M T M m m+ m m m m m m (y ) = max (Lm y U y ) + f (yit , it , it ) i it it i it it
,,,,d,, t=1 m=1 iNm m=1 iNm

((57) + (64) + (65) + (66) + (67) + (68) + (69))

+ Cij (ij,t + ij,t )+ P M m=1 iNm p=1

m=1

(SUBM )

(i,j )A

m mp mp (yit it it )

(78)

s.t. (29), (30), (36) (56), (70) (77).

21

4.2

Heuristic separation approach

It is challenging to use the exact separation algorithm to solve large size instances, due to a large amount of integer decision variables. To solve large-scale problems, we propose a heuristic algorithm that can solve the problem quickly. We rst write down the following two linear programs, generated by xing , , , , , and d in (SUB), respectively. ( M T M m m m+ m m m max,,,,, (Li yit it Ui yit it ) + dmt t
t=1 m=1 iNm m=1 M m Kij dmt + Cij )ij,t

(
(i,j )A

+ m Kij dmt Cij )ij,t (

(SUB1 ) s.t.

M P M m mp mp m m m + (yit it it ) + f (yit , it , it )
m=1 iNm p=1 m=1 iNm

m=1

m=1

(29), (30), (56),

m+ m + m m mp it , it , ij,t , ij,t , it , it , it 0 m E, i Nm , p, (i, j ) A, t;

maxd

T t=1

M (

t +

(i,j )A

M ) m + m m+ m m m Kij (ij,t ij,t ) dmt + (Lm i yit it Ui yit it ) m=1 iNm M P m=1 iNm p=1 m mp mp (yit it it ) + M m=1 iNm

m=1

(SUB2 ) s.t.

(i,j )A

m m m f (yit , it , it )

+ (Cij ij,t + Cij ij,t )+

(31), (32), (33).

4.3

Feasibility cuts

We say a rst-stage solution y is infeasible if (y ) = +. In other words, the problem (SUB) is unbounded. Since the constraints of d in (SUB2 ) construct a compact set, and the objective function is continuous, we know that (y ) < + with , , , , and xed. Hence, we have the following claim. Proposition 3 (y ) = + if and only if (SUB1 ) is unbounded. Remark 1 From duality theory, the unboundedness of (SUB1 ) implies the infeasibility of the subM T problem min m it , and thus the set X (y, d) is empty. Intuitively, it means that
(x,)X (y,d) t=1 m=1 iNm

given a unit commitment decision y , there is a time period in which the demand d in the power 22

grid cannot be satised under the restriction of ramp-rate limit, and transmission and generator capacity constraints. Applying the Benders method as described in [17], we can construct the following program ( M M T m m m m m m+ m m m f dmt t (y ) = max,,,, (Li yit it Ui yit it + f (yit , it , it )) +
t=1 m=1 iNm

+ (FEA) s.t.

((

+ m Kij dmt Cij )ij,t (

m Kij dmt + Cij )ij,t )

m=1

(79)

(i,j )A m=1 m+ m it it + t

m=1

+ 0

m i (t+1)

m it

m it

im (t+1)

m + m (Kij ij,t Kij ij,t ) = 0, m E, i Nm , t,

(i,j )A m+ m it , it

1 m E, i Nm , t,

1 t 1, t,
+ 0 ij,t , ij,t 1 (i, j ) A, t, m m 0 it , it 1 m E, i Nm , t,

and test the feasibility of a given y as follows: If f (y ) = 0, y is feasible. Otherwise, if f (y ) > 0, we generate a feasibility cut in the form
m m , m , and are the optimal solution to (FEA) and d (79) 0, where it , t , it mt is given it ij,t

for solving (FEA), and we add the cut to (Master).

4.4

Optimality cuts

From (SUB), we observe that for a given rst-stage decision variable y , ( M T M m m+ m m m m m m (y ) (Lm y U y ) + f (yit , it , it ) i it it i it it
t=1 m=1 iNm m=1 iNm M m=1

dmt mt

(i,j )A

+ Cij (ij,t + ij,t )+

M P m=1 iNm p=1

m mp mp (yit it it )

(80)

for any feasible (, , , , , , d). Thus, cut (80) is valid for (Master). Meanwhile, cut (80) does not necessarily support the epigraph of (y ) at the boundary point (y, (y )), unless the exact separation as shown in (78) is applied. For large size problems, we use the following heuristic to generate the cut for a given feasible solution y and (y ) to (Master) as follows: 23

Step 1: Pick an extreme point d of D; Step 2: Solve (SUB1 ), and store the optimal objective value 1 (y, d); Step 3: Solve (SUB2 ), and store the optimal objective value 2 (y, , , , , , ); Step 4: If 2 (y, , , , , , ) > 1 (y, d), go to Step 2, otherwise go to Step 5; Step 5: If 2 (y, , , , , , ) > (y ), generate the corresponding optimality cut (80), and add the cut to (Master).

4.5

Lower and upper bounds

We construct lower and upper bounds of the optimal value of (RPO), i.e., z R . In the separation scheme, we track these bounds to estimate the solution quality. First, it is easy to observe that if we x d to be any point in D and solve (PO), then z PO z R , providing a lower bound for z R . Second, let y PO be an optimal solution of (PO). Then, we will obtain an upper bound for the total cost z R if we x the variable y to y PO when solving (RPO). Proposition 4 The objective value obtained by our heuristic separation approach provides a lower bound for the optimal objective value of (RPO). Proof: The conclusion immediately follows from the fact that heuristic separation algorithm cannot guarantee to obtain an optimal solution for the subproblem. Remark 2 If the budget uncertainty set in (RPO) is replaced by the cardinality uncertainty set as shown in (14), then we can replace constraints (32) and (33) by the cardinality constraints
M m=1

|zmt | t , t, and

T M t=1 m=1

|zmt | ,

where zmt {1, 0, 1} represents the demand hits the lower bound, the nominal value, and the
+ upper bound respectively. It can be represented as zmt = zmt zmt , where zmt {0, 1}. Then,

following the similar argument as shown in constraints (70) to (72), to linearize the bilinear terms for the dual of the subproblem, we can obtain the optimality cuts by solving a mixed integer program, and provide an exact separation approach.

24

Remark 3 If ramp-rate limit constraints are ignored, then X (y, d) = { Xt (y, d) = (x, ) :

T t=1

Xt (y, d), where

m m m m Lm i yit xit Ui yit , m E, i Nm , M m=1 iNm

xm it =
M

M m=1

dmt , ) xm d Cij , (i, j ) A, mt nt

Cij

m Kij

(
nNm

} mp m mp m m y + x , m E , i N , p . m it it it it it Then, the second-stage problem can be decomposed into several subprograms in which each corresponds to a specic time period, if the overall budget constraint is relaxed. Therefore, the computational time will be decreased signicantly.

m=1

Computational Experiments

We present numerical experiments of the proposed algorithms in Sections 3 and 4. All the experiments are performed by CPLEX 12.1, at Intel Quad Core 2.40GHz with 8GB memory.

5.1

Computational results for the robust unit commitment problem

In this subsection, we report the case described in Section 3. In the experiments, we assume there
u and D , of the demand are 30 generators and 24 time periods. The upper and lower bounds, Dt t

t and D t in the intervals [0, 40] and [0, 20] in each time period are generated by rst setting D
= (D u = D t D t )+ and Dt t + D t . The budget restriction of the respectively, and then letting Dt T t )/D t 0 . We control the conservatism of the robust optimization (dt D uncertainty set DB is > 0 for approach by controlling 0 . Note that 0 is between T and T . When 0 = T and Dt t=1

each t, the only possible scenario is that all demands are at the lower bounds. When 0 = T , the demand of each time period can take any value within the interval of the lower and upper bounds. The computational results are summarized in Table 1. All the results are the average of 10 random instances. We report the optimal objective value, the number of iterations of the Benders approach, and the average computational time. From this experiment, we rst observe that as 0 increases, the uncertainty set becomes larger and more scenarios are taken into consideration. The corresponding objective value increases as 25

0 6 9 12 15 18

Objective value 8920 8996 9303 9436 9509

Number of iterations 27 25 24 24 28

CPU time (sec) 40.1 21.5 28.0 34.9 45.6

Table 1: Computational results for the robust unit commitment problem the problem becomes more conservative. Second, in these experiments, the size of the scenarios is 2432 . However, in our algorithm, the optimal solution is achieved within 30 iterations, which shows the eectiveness of our proposed approach.

5.2

Computational results for the power grid optimization problem

In this subsection, we present the numerical experiments for the general power grid optimization problem. We rst report the computational results for the case without ramp-rate limit constraints and the overall budget constraint is relaxed. In this case, as shown in Remark 3, the subproblem can be decomposed into T problems, which will reduce the computational time. We test a small size data set that satises this condition to compare our bilinear heuristic approach with the exact separation algorithm, to verify the eectiveness of our algorithm by its solution quality and computational time. This one allows us to evaluate the optimality gap of our bilinear heuristic approach. Then, we test a large size data set problem, where the solution quality is provided by the lower and upper bounds we discussed in Section 4.5. The large size data set (containing 118 buses and 186 transmission lines) is a modied IEEE 118-bus system. For convenience, we normalize the weight parameter mt = 1, m, t. In addition, in the experiment, we use a four-piece piecewise linear function to approximate the non-decreasing convex cost function. The computational results on the small size data set are summarized in Table 2. In this experiment, there are 16 buses, 10 generators, and 20 transmission lines in the power grid and the time = 0.9D mt , and mt , Du = (1+UB%)D t = (1+Budget%) M horizon is 24 hours. We let Dmt mt m=1 Dmt . We allow UB% and Budget% to vary from 0 to 20% in this experiment. Note that when Budget% > UB%, the restriction of the total demand is actually relaxed, and thus the computational results are the same as the case Budget% = UB%. Besides, since the demand changes as time goes by mt changes in accordance within 24 hours, we assume that for each bus m its nominal demand D

26

with the trend shown in Figure 1, which is given by the statistics from a US deregulated energy market. As shown in Table 2, our bilinear approach converges to optimality with a small gap (less than 0.05% in all the settings) in a reasonable and much shorter time than the exact separation algorithm does. With the size of power grid increasing, the computational time of the exact separation algorithm grows exponentially. Hence, it becomes intractable for us to employ it in larger power grids. On the other hand, our bilinear separation approach still performs very well with the power grid swelling, and we use the lower and upper bounds discussed in Section 4.5 to verify its solution quality.
UB% Exact Bilinear Gap (%) Exact Bilinear Gap (%) Exact Bilinear Gap (%) Exact Bilinear Gap (%) Budget% 5 10 15 20 Opt. Val. Time (s) Opt. Val. Time (s) Opt. Val. Time (s) Opt. Val. Time (s) 311635 297 311635 297 311635 297 311635 297 311501 143 311501 143 311501 143 311501 143 0.04 0.04 0.04 0.04 315622 412 331141 389 331141 389 331141 389 315578 156 331100 105 331100 105 331100 105 0.01 0.01 0.01 0.01 317023 624 336531 400 351254 341 351254 341 316985 275 336418 148 351149 46 351149 46 0.01 0.03 0.03 0.03 318401 668 338098 435 358034 243 371792 384 318352 160 338026 95 357953 88 371790 11 0.02 0.02 0.02 0.00

10

15

20

Table 2: Computational results for the small size data set The computational results on the large size data set are summarized in Table 3. In this experiment, there are 118 buses, 33 generators, and 186 transmission lines in the power grid and M r the time horizon is 24 hours. We assume the overall budget amount 0 = 90% T t=1 m=1 Dmt + T M t=1 m=1 Dmt , the ramp-up and ramp-down rate limits are 50% of the maximum electricity output of each generator i at each bus m, and the nominal demand follows the pattern illustrated in Figure 1. In Table 3, we provide the following lower and upper bounds: (1) Lower bound L1 is obtained by relaxing the transmission capacity and ramp-rate limits (i.e., solving RUC), in which case we can employ the algorithm presented in Section 3. (2) Lower bound L2 is obtained by using our bilinear heuristic separation algorithm to solve (RPO). (3) Upper bound U is a statistical upper bound. To obtain U , we rst x the rst-stage decision to 27

Nominal demand pattern 1.4

1.2

1 Nominal demand

0.8

0.6

0.4

0.2 0 5 10 Time period 15 20 25

Figure 1: Nominal demand pattern, with the average nomalized to 1 be the robust optimal solution in (RPO) obtained by our bilinear heuristic separation approach, and then generate random large size demands to evaluate the performance of the robust optimal solution and record the corresponding cost. Finally, we assign the largest cost to U . In the experiment, the random demand at each bus m in time period t is generated from a truncated
u + D )/2 and standard deviation (D u D )/4 in the normal distribution with mean (Dmt mt mt mt , D u ]. Additionally, the size of samples is 200, 000. interval [Dmt mt

(4) Upper bound W C represents the worst-case value, obtained by solving (RPO) with the rststage decision xed to be the optimal solution of the nominal problem. In other words, we rst solve (PO) with demands chosen to be their nominal values, and then solve (RPO) with its rststage decision xed at the nominal optimal solution. Thus, W C estimates how the nominal optimal solution performs under the worst-case scenario. In the experiments we found that the nominal optimal solutions are infeasible to (RPO) for all the instances. This observation indicates that it would be risky to make unit commitment decisions based only on the nominal demand information. To compare the performance between these solutions, we introduce a linear penalty cost function for any unsatised demands or transmission capacity/ramp-rate

28

limit violations. The unit penalty cost t is set 20% higher than the sum of the maximal unit fuel cost and the maximal start-up cost, i.e., ( m t = 1.2 max max Si +
m=1,2, ,M iNm

) , t = 1, 2, , T. (81)

mP max max it m=1,2, ,M iNm

Correspondingly, we calculate the following gaps based on the lower and upper bounds: (1) TC Gap = (L2 L1 )/L1 100%. It estimates the dierence between the objective value of the power grid optimization problem without considering the transmission capacity and ramp-rate limit constraints (i.e., the case studied in Section 3) and the one of the general power grid optimization problem (RPO) (i.e., the case studied in Section 4). (2) Opt. Gap = (U L2 )/L2 100%. It estimates the optimality gap of our bilinear heuristic approach. (3) WC Gap = (W C U )/U 100%. It estimates the dierence between the performance of the robust optimal solution and the nominal optimal solution, when the linear penalty cost function is introduced in calculating W C . In the experiment, we rst observe that the given power grid can tolerate less than a 25% increase of demand in the worst case. When UB% = 25%, we have (RUC) feasible and (RPO) infeasible. Thus, the failure of the power grid stems from the transmission line overload or ramprate limit violation, although the power grid has sucient generation capacity to satisfy the large demand. Then, we observe that statistically our bilinear heuristic approach provides a feasible solution for all the instances with UB% [5, 20], and the computational results are shown in Table 3. We can observe from the table that the optimality gap of our bilinear heuristic algorithm is less than 0.2% for all the instances. Meanwhile, we can observe that the computational time for the algorithm is less than 300 seconds for any instance. This result shows that our bilinear heuristic algorithm can provide an optimal solution that is very close to the optimal solution, within a short time. Accordingly, it is sucient to apply our bilinear heuristic approach to solve large size problems, in order to obtain near-optimal solutions. Third, from the WC Gap information, we can observe that when the demand uctuation is very restrictive (e.g., UB% 5% and Budget% 5%), the WC Gap is small; and with UB% 29

UB% L1 L2 U WC Time (s) TC Gap (%) Opt. Gap (%) WC Gap (%) L1 L2 U WC Time (s) TC Gap (%) Opt. Gap (%) WC Gap (%) L1 L2 U WC Time (s) TC Gap (%) Opt. Gap (%) WC Gap (%) L1 L2 U WC Time (s) TC Gap (%) Opt. Gap (%) WC Gap (%)

10

15

20

5 1254672 1271248 1272361 1309893 159 1.32 0.09 2.95 1254672 1280235 1280988 2034862 121 2.04 0.06 58.85 1254672 1289814 1291299 2771705 196 2.80 0.12 114.64 1254672 1303118 1303889 4259036 228 3.86 0.06 226.64

Budget% 10 15 1266449 1266449 1282667 1282667 1283950 1283950 1321585 1321585 90 90 1.28 1.28 0.10 0.10 2.93 2.93 1326054 1338283 1344279 1355656 1344813 1356706 3768510 3780695 118 87 1.37 1.30 0.04 0.08 180.23 178.67 1326054 1400595 1356463 1417864 1357425 1419236 5193598 9031497 144 123 2.29 1.23 0.07 0.10 282.61 536.36 1326054 1400595 1371782 1437380 1372909 1438807 7178866 12478428 131 282 3.45 2.63 0.08 0.10 422.89 767.28

20 1266449 1282667 1283950 1321585 90 1.28 0.10 2.93 1338283 1355656 1356706 3780695 87 1.30 0.08 178.67 1413268 1431173 1431600 9044356 88 1.27 0.03 531.77 1476463 1500437 1503036 19984253 179 1.62 0.17 1229.59

Table 3: Computational results for the large size data set

30

and Budget% increasing, the WC gap grows fast. Note that the nominal optimal solutions are infeasible for all the instances, and we have introduced a linear penalty cost function, with the unit penalty cost dened in (81), to make up for any unsatised demand, transmission line overload, or ramp-rate limit violation. In this sense, the WC gaps measure the relative infeasibility of the nominal optimal solution in dierent scenarios. In view of that, we can claim that the extent of infeasibility (and hence the corresponding making up costs) of the nominal optimal solution grows fast as demand uctuation increases. Further, we observe that apart from the case when UB% = 25% discussed above, we can also see the importance of the transmission capacity and ramp-rate limits in the analysis on the feasibility of the nominal optimal solution. If we depict the evolution of total demand under dierent Budget% scenarios, versus the power grid generation capacity in 24 hours as shown in Figure 2, we observe that the power grid generation capacity is able to cover at least a 5% increase in total demand, while is not after that. This observation implies that the nominal optimal solution is infeasible when Budget% 5% because of transmission line overload or ramp-rate limit violation, and it is infeasible when Budget% > 5% because of demand unfullllment, as well as transmission and ramp-rate limit violations.
Demand fluctuation 6000 5500 5000 4500 4000 3500 3000 2500 2000 1500 0 5 10 Time period 15 20 25 Capacity Nominal 5% increase 10% increase 15% increase 20% increase 25% increase

Demand

Figure 2: Demand uctuation versus the power grid capacity

31

Fourth, we can observe from Table 3 that the TC Gaps are smaller than 4% for all the instances. It indicates that we can utilize the solution approach for (RUC) described in Section 3 to provide a good approximation on the total cost for the general robust power grid optimization (RPO) problem. Finally, our computational results indicate that as the demand uctuation increases, the corresponding objective value increases accordingly. For instance, the objective value increases by around 18% as the uncertainty set chances from UB% = 5% and Budget% = 5% (the corresponding objective value is $1,271,248) to UB% = 20% and Budget% = 20% (the corresponding objective value is $1,500,437).

Conclusion

In this paper, we provided one of the rst studies on the robust power grid optimization problem. In our approach, we addressed the case in which the demand or supply at each bus in each operating hour may be uncertain. Instead, they are within an uncertainty set in two dierent forms: cardinality uncertainty set and polyhedral uncertainty set. We developed solution approaches to address each type of uncertainty set. Our computational results indicate that the robust optimization approach can provide a much better solution as compared to the nominal model approach, in terms of total cost for the worst-case scenario. More importantly, our proposed approach will keep the power grid much more reliable than the traditional nominal model approach. In general, this approach will provide an ISO or utility company (for the regulated market) an alternative approach to address demand and, especially, wind farm output uncertainty. Finally, as a byproduct, our approach addressed a set of budget constraints to describe an uncertainty set, instead of just a single budget constraint in previous studies. Our linearization technique gives insights of this general polyhedral uncertainty set, and our approach provides the rst study on deriving an exact separation algorithm for this type of uncertain set.

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