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One of the most used methods for long-term hydrothermal operation planning is the stochastic dual dynamic programming (SDDP). Using this method, the immediate and future water opportunity cost can be balanced and an economic-dispatch policy can be defined for multiple reservoirs under inflow uncertainty. In this framework, equipment outages and reserve deliverability are generally disregarded, despite their strong impact on the operative plan. However, recent advances in robust optimization have shown how to endogenously account for security criteria in scheduling models with reduced computational burden. Within this framework, reserve deliverability is ensured across the network via the co-optimization of energy and reserves (ancillary services). In this paper, we propose a new multistage model for planning hydrothermal coordination that co-optimizes the nominal energy dispatch and individual up and down reserve allocations. The main goal of this paper is to address a general $n-K$ security criterion, such that, for each inflow scenario, the system is capable of withstanding the loss of up to $K$ components, i.e., generation or transmission assets. The proposed methodology uses the column-and-constraint generation algorithm to efficiently incorporate a compound umbrella set of contingencies in the SDDP algorithm. Results for the Brazilian power system data corroborate the effectiveness of the proposed model. [ABSTRACT FROM PUBLISHER]

We present a new methodology to support an energy trading company (ETC) to devise contracting strategies under an optimal risk-averse renewable portfolio. The uncertainty in the generation of renewable energy sources is accounted for by exogenously simulated scenarios, as is customary in stochastic programming. However, we recognize that spot prices largely depend on unpredictable market conditions, making it difficult to capture its underlying stochastic process, which challenges the use of fundamental approaches for forecasting. Under such framework, industry practices make use of stress tests to validate portfolios. We then adapt the robust optimization approach to perform an endogenous stress test for the spot prices as a function of the buy-and-sell portfolio of contracts and renewable energy generation scenarios. The optimal contracting strategy is built through a bilevel optimization model that uses a hybrid approach, mixing stochastic and robust optimization. The proposed model is flexible to represent the traditional stochastic programming approach and to express the ETC's uncertainty aversion in the case where the price distribution cannot be precisely estimated. The effectiveness of the model is illustrated with examples from the Brazilian market, where the proposed approach is contrasted to its stochastic counterpart and both are benchmarked against observed market variables. [ABSTRACT FROM PUBLISHER]

We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the long-term level, as is customary in industry applications, we address the deep uncertainties arising from social and economic transformations, political and environmental issues, and technology disruptions by using long-term scenarios devised by experts. In this setting, many exogenous long-term scenarios containing partial information about the random parameters, namely, the average and the support set, can be considered. For each long-term scenario, a conditional ambiguity set models the incomplete knowledge about the probability distribution of the uncertain parameters in the short-term operation. Consequently, the mathematical problem is formulated as a DRO model with multiple conditional ambiguity sets. The resulting infinite-dimensional problem is recast as an exact, although very large, finite mixed-integer linear programming problem. To circumvent scalability issues, we propose a new enhanced-column-and-constraint-generation (ECCG) decomposition approach with an additional Dantzig–Wolfe procedure. In comparison to existing methods, ECCG leads to a better representation of the recourse function and, consequently, tighter bounds. Numerical experiments based on the benchmark IEEE 118-bus system are reported to corroborate the effectiveness of the method. [ABSTRACT FROM AUTHOR]