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Two-Stage Robust Optimization for N-k Contingency-Constrained Unit Commitment

Qianfan Wang (qfwang***at***ufl.edu)
Jean-paul Watson (jwatson***at***sandia.gov)
Yongpei Guan (guan***at***ise.ufl.edu)

Abstract: This paper proposes a two-stage robust optimization approach to solve the N-k contingency-constrained unit commitment (CCUC) problem. In our approach, both generator and transmission line contingencies are considered. Compared to the traditional approach using a given set of components as candidates for possible failures, our approach considers all possible component failure scenarios. We consider the objectives of minimizing the total generation cost under the worst-case contingency scenario and/or the total pre-contingency cost. We formulate CCUC as a two-stage robust optimization problem and develop a decomposition framework to enable tractable computation. In our framework, the master problem makes unit commitment decisions and the subproblem discovers the worst-case contingency scenarios. By using linearization techniques and duality theory, we transform the subproblem into a mixed-integer linear program (MILP). The most violated inequalities generated from the subproblem are fed back into the master problem during each iteration. Our approach guarantees a globally optimal solution in a finite number of iterations. In reported computational experiments, we test both primal and dual decomposition approaches. Our computational results verify the effectiveness of our proposed approach.

Keywords: Contingency Analysis, N-k Security Criterion, Unit Commitment, Robust Optimization, Mixed-Integer Programming

Category 1: Applications -- OR and Management Sciences

Citation: The copyright has been transferred to IEEE PES


Entry Submitted: 01/30/2012
Entry Accepted: 01/30/2012
Entry Last Modified: 03/07/2013

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