TY - JOUR
T1 - A Risk-Averse Stochastic Dynamic Programming Approach to Energy Hub Optimal Dispatch
AU - Moazeni, Somayeh
AU - Miragha, Amir H.
AU - Defourny, Boris
N1 - Publisher Copyright:
© 1969-2012 IEEE.
PY - 2019/5
Y1 - 2019/5
N2 - This paper studies the optimal operation problem of an energy hub with multiple energy sources to serve stochastic electricity and heat loads in the presence of uncertain prices as well as operational constraints, such as minimum uptime and downtime requirements. Price and demand uncertainties are modeled by stochastic processes. The goal is to minimize some risk functional of the energy hub operational cost. A stochastic dynamic optimization formulation is introduced for the problem. An approximate dynamic programming framework, based on cost function approximation, is proposed to obtain dynamic dispatch policies. The approach enables a risk-sensitive energy hub operator to consider a non-differentiable risk measure and various constraints. The performance of the approach for the energy hub dispatch problem and characteristics of the storage levels are numerically investigated.
AB - This paper studies the optimal operation problem of an energy hub with multiple energy sources to serve stochastic electricity and heat loads in the presence of uncertain prices as well as operational constraints, such as minimum uptime and downtime requirements. Price and demand uncertainties are modeled by stochastic processes. The goal is to minimize some risk functional of the energy hub operational cost. A stochastic dynamic optimization formulation is introduced for the problem. An approximate dynamic programming framework, based on cost function approximation, is proposed to obtain dynamic dispatch policies. The approach enables a risk-sensitive energy hub operator to consider a non-differentiable risk measure and various constraints. The performance of the approach for the energy hub dispatch problem and characteristics of the storage levels are numerically investigated.
KW - Energy hub
KW - approximate dynamic programming
KW - risk
KW - stochastic optimization
UR - http://www.scopus.com/inward/record.url?scp=85057195491&partnerID=8YFLogxK
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U2 - 10.1109/TPWRS.2018.2882549
DO - 10.1109/TPWRS.2018.2882549
M3 - Article
AN - SCOPUS:85057195491
SN - 0885-8950
VL - 34
SP - 2169
EP - 2178
JO - IEEE Transactions on Power Systems
JF - IEEE Transactions on Power Systems
IS - 3
M1 - 8542767
ER -