Robust unit commitment with n- 1 security criteria

Arash Gourtani, Huifu Xu, David Pozo, Tri Dung Nguyen

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)


The short-term unit commitment and reserve scheduling decisions are made in the face of increasing supply-side uncertainty in power systems. This has mainly been caused by a higher penetration of renewable energy generation that is encouraged and enforced by the market and policy makers. In this paper, we propose a two-stage stochastic and distributionally robust modeling framework for the unit commitment problem with supply uncertainty. Based on the availability of the information on the distribution of the random supply, we consider two specific models: (a) a moment model where the mean values of the random supply variables are known, and (b) a mixture distribution model where the true probability distribution lies within the convex hull of a finite set of known distributions. In each case, we reformulate these models through Lagrange dualization as a semi-infinite program in the former case and a one-stage stochastic program in the latter case. We solve the reformulated models using sampling method and sample average approximation, respectively. We also establish exponential rate of convergence of the optimal value when the randomization scheme is applied to discretize the semi-infinite constraints. The proposed robust unit commitment models are applied to an illustrative case study, and numerical test results are reported in comparison with the two-stage non-robust stochastic programming model.

Original languageEnglish
Pages (from-to)373-408
Number of pages36
JournalMathematical Methods of Operations Research
Issue number3
Publication statusPublished - 1 Jun 2016
Externally publishedYes


  • Convergence analysis
  • Distributionally robust optimization
  • Mixture distribution
  • Sample average approximation
  • Unit commitment problem


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