Exploring the Modeling Capacity of Two-Stage Robust Optimization: Variants of Robust Unit Commitment Model

Abstract

To handle significant variability in loads, renewable energy generation, as well as various contingencies, (two-stage) robust optimization method has been adopted to construct unit commitment models and to ensure reliable solutions. In this paper, we further explore and extend the modeling capacity of two-stage robust optimization and present two new robust unit commitment variants: the expanded robust unit commitment and the risk constrained robust unit commitment model. We derive structural properties, demonstrate the connection to the popular scenario based stochastic unit commitment models, and present a customized column-and-constraint generation method. Numerical experiments on those models are performed using practical data sets, which illustrate their modeling strength, economic outcomes, and the algorithm performance in solving those models.