Distributional robust optimization under moment uncertainty for self scheduling
PAN Wei, HUANG Min xiang
(College of Electrical Engineering, Zhejiang University, Hangzhou 310027, China)


Abstract: Aiming at the self scheduling problem of the generation companies in the electricity market, the uncertainty of locational marginal prices (LMPs) was studied. A distributional robust optimization under moment uncertainty (DROMU) was proposed to solve the problem. The generation selfscheduling model with the objective of maximum profit was established to construct the uncertain set of LMPs. Under the uncertain set, the selfscheduling model was transformed into the DROMU model, and then the model was transformed into a deterministic semidefinite programming model by Lagrangian duality. The results indicate that with the increase of the uncertainty set, the profit of generation companies decreases. Compared with the results of deterministic scheduling, the DROMU model yields less, but the scheme is more secure and more robust.
Key words: self scheduling; distributional robust optimization(DRO); moment; semidefinite programming; locational marginal price(LMP)