A Risk-Averse Stochastic Dynamic Programming Approach to Energy Hub Optimal Dispatch

作     者：Moazeni, Somayeh Miragha, Amir H. Defourny, Boris 

作者机构：Stevens Inst Technol Sch Business Hoboken NJ 07030 USA Nanyang Technol Univ ERI N Energy Res Inst Singapore 637141 Singapore Lehigh Univ Dept Ind & Syst Engn Bethlehem PA 18015 USA 

出 版 物：《IEEE TRANSACTIONS ON POWER SYSTEMS》 (IEEE动力系统汇刊)

年 卷 期：2019年第34卷第3期

页      面：2169-2178页

核心收录：

学科分类：0808[工学-电气工程] 08[工学] 

主　　题：Energy hub stochastic optimization approximate dynamic programming risk 

摘      要：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.