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Results for “Two-stage stochastic programming”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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At least 73 records · Page 4
All sourcesNASA NTRSDOE OSTI
DOE OSTI2020

Scenario Creation and Power-Conditioning Strategies for Operating Power Grids with Two-Stage Stochastic Economic Dispatch: Preprint

A significant difficultly associated with the use of stochastic programming to solve optimal power flow problems on a 5-minute timescale is the quality of renewable energy scenarios input by the user. This is especially true when considering power systems with high penetrations of renewable energy, e.g. wind power. This paper introduces the use of stochastic programming to solve the DCOPF problem with scenarios drawn directly from high-fidelity data sets. Hence, the proposed method avoids the problem of lost physics by finding high-fidelity analogs that can describe future states of the system. Furthermore, this method can be simply extended to output multi-period scenarios to the stochastic program. We demonstrate the effectiveness of this technique on simulated dispatch operations of the RTS-GMLC over a week.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗
DOE OSTI2016

PIPS-SBB: A Parallel Distributed-Memory Branch-and-Bound Algorithm for Stochastic Mixed-Integer Programs

Stochastic mixed-integer programs (SMIPs) deal with optimization under uncertainty at many levels of the decision-making process. When solved as extensive formulation mixed- integer programs, problem instances can exceed available memory on a single workstation. In order to overcome this limitation, we present PIPS-SBB: a distributed-memory parallel stochastic MIP solver that takes advantage of parallelism at multiple levels of the optimization process. We also show promising results on the SIPLIB benchmark by combining methods known for accelerating Branch and Bound (B&B) methods with new ideas that leverage the structure of SMIPs. Finally, we expect the performance of PIPS-SBB to improve further as more functionality is added in the future.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

Stochastic robust mathematical programming model for power system optimization

We present a stochastic robust framework for two-stage power system optimization problems with uncertainty. The model optimizes the probabilistic expectation of different worst-case scenarios with different uncertainty sets. In addition, a case study of unit commitment shows the effectiveness of the proposed model and algorithms.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs

We present a method for computing lower bounds in the progressive hedging algorithm (PHA) for two-stage and multi-stage stochastic mixed-integer programs. Computing lower bounds in the PHA allows one to assess the quality of the solutions generated by the algorithm contemporaneously. The lower bounds can be computed in any iteration of the algorithm by using dual prices that are calculated during execution of the standard PHA. In conclusion, we report computational results on stochastic unit commitment and stochastic server location problem instances, and explore the relationship between key PHA parameters and the quality of the resulting lower bounds.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2020

Distributionally robust facility location problem under decision-dependent stochastic demand

While the traditional facility location problem considers exogenous demand, in some applications, locations of facilities could affect the willingness of customers to use certain types of services, e.g., carsharing, and therefore they also affect realizations of random demand. Moreover, a decision maker may not know the exact distribution of such endogenous demand and how it is affected by location choices. In this paper, we consider a distributionally robust facility location problem, in which we interpret the moments of stochastic demand as functions of facility-location decisions. We reformulate a two-stage decision-dependent distributionally robust optimization model as a monolithic formulation, and then derive exact mixed-integer linear programming reformulation as well as valid inequalities when the means and variances of demand are piecewise linear functions of location solutions. We conduct extensive computational studies, in which we compare our model with a decision-dependent deterministic model, as well as stochastic programming and distributionally robust models without the decision-dependent assumption. Here, the results show superior performance of our approach with remarkable improvement in profit and quality of service under various settings, in addition to computational speed-ups given by formulation enhancements. These results draw attention to the need of considering the impact of location decisions on customer demand within this strategic-level planning problem.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

Optimal Energy Management for Microgrid with Stationary and Mobile Storage

This paper studies energy management in a Microgrid (MG) with solar generation, Battery Energy Management System (BESS) and gridable (V2G) EVs. A two-stage stochastic optimization method is proposed to capture the intermittent solar generation and random EV user behaviors. It is subsequently formulated as a Mixed Integer Linear Programming (MILP) problem. To evalutate the proposed method, real solar generation, loads, BESS and EV data is used in Sample Average Approximation (SAA). Computational results show the correctness of the proposed method as well as steady and tightly bounded optimality gap. Comparisons demonstrate that the proposed stochastic method outperforms its deterministic counterpart at the expense of higher computational cost. It is also observed that moderate number of EVs helps to reduce the overall operational cost of the MG, which sheds light on future EV integration to the smart grid.

Battery Energy Management System (BESS)↗
DOE OSTI2019

Co-optimized trading of hybrid wind power plant with retired EV batteries in energy and reserve markets under uncertainties

To be competitive in the electricity markets, various technologies have been reported to increase profits of wind farm owners. Combining battery storage system, wind farms can be operated as conventional power plants which promotes the integration of wind power into the power grid. However, high expenses on batteries keep investors away. Retired EV batteries, fortunately, still have enough capacity to be reused and could be obtained at a low price. In this work, a two-stage optimization of a wind energy retired EV battery-storage system is proposed. The economic performance of the proposed system is examined concerning its participation in the frequency containment normal operation reserve (FCR-N) market and the spot market simultaneously. To account uncertainties in the wind farm output, various electricity market prices, and up/down regulation status, a scenario-based stochastic programming method is used. The sizing of the equipment is optimized on top of daily operations of the hybrid system which formulates a mixed-integer linear programming (MILP) problem. Scenarios are generated with the Monte Carlo simulation (MCS) and Roulette Wheel Mechanism (RWM), which are further reduced with the simultaneous backward method (SBM) to increase computational efficiency. A 21 MW wind farm is selected as a case study. Here, the optimization results show that by integrating with a retired EV battery-storage system (RESS) and a bi-directional inverter, the wind farm can increase its profits significantly when forwarding bids in both of the aforementioned electricity markets.

17 WIND ENERGY↗
DOE OSTI2020

A Two-Stage Decomposition Approach for AC Optimal Power Flow

The alternating current optimal power flow (AC-OPF) problem is critical to power system operations and planning, but it is generally hard to solve due to its nonconvex and large-scale nature. Furthermore, this paper proposes a scalable decomposition approach in which the power network is decomposed into a master network and a number of subnetworks, where each network has its own AC-OPF subproblem. This formulates a two-stage optimization problem and requires only a small amount of communication between the master and subnetworks. The key contribution is a smoothing technique that renders the response of a subnetwork differentiable with respect to the input from the master problem, utilizing properties of the barrier problem formulation that naturally arises when subproblems are solved by a primal-dual interior-point algorithm. Consequently, existing efficient nonlinear programming solvers can be used for both the master problem and the subproblems. The advantage of this framework is that speedup can be obtained by processing the subnetworks in parallel, and it has convergence guarantees under reasonable assumptions. The formulation is readily extended to instances with stochastic subnetwork loads. Numerical results show favorable performance and illustrate the scalability of the algorithm which is able to solve instances with more than 11 million buses.

24 POWER TRANSMISSION AND DISTRIBUTION↗
DOE OSTI2023

A Distributionally Robust Resilience Enhancement Strategy for Distribution Networks Considering Decision-Dependent Contingencies

When performing the resilience enhancement for distribution networks, there are two obstacles to reliably model the uncertain contingencies: 1) decision-dependent uncertainty (DDU) due to various line hardening decisions, and 2) distributional ambiguity due to limited outage information during extreme weather events (EWEs). Here, to address these two challenges, this paper develops scenario-wise decision-dependent ambiguity sets (SWDD-ASs), where the DDU and distributional ambiguity inherent in EWE-induced contingencies are simultaneously captured for each possible EWE scenario. Then, a two-stage tri-level decision-dependent distributionally robust resilient enhancement (DD-DRRE) model is formulated, whose outputs include the optimal line hardening, distributed generation (DG) allocation, and proactive network reconfiguration strategy under the worst-case distributions in SWDD-ASs. Subsequently, the DD-DRRE model is equivalently recast to a mixed-integer linear programming (MILP)-based master problem and multiple scenario-wise subproblems, facilitating the adoption of a customized column-and-constraint generation (C&CG) algorithm. Finally, case studies demonstrate a remarkable improvement in the out-of-sample performance of our model, compared to its prevailing stochastic and robust counterparts. Moreover, the potential values of incorporating the ambiguity and distributional information are quantitatively estimated, providing a useful reference for planners with different budgets and risk-aversion levels.

decision-dependent uncertainty↗
DOE OSTI2023

Incorporation of market signals for the optimal design of post combustion carbon capture systems

Recent studies have shown that fossil generators equipped with post-combustion carbon capture (PCC) systems are needed to reduce the cost of deep decarbonization. Such generators need to be flexible and responsive to grid conditions, particularly in a high variable renewable energy (VRE) environment. In this work, we evaluate the net present value (NPV) of retrofitting an existing natural gas combined cycle (NGCC) unit with a flexible PCC system while incorporating market signals from a high VRE grid. We use our industrial partner’s NGCC configuration as representative of existing NGCC units and Svante’s rapid-temperature swing adsorption (TSA) for PCC. Because of its ability to rapidly startup/shutdown and ramp-up/ramp-down, the chosen capture technology is very attractive for load-following operations. For a given set of market signals, we formulate a two-stage stochastic multi-period optimization problem, under the price-taker assumption, to simultaneously optimize the design of the capture system and operation of the entire plant. Rigorous models for the NGCC unit, PCC system, and compression system are developed using commercial process simulators and validated with either plant or vendor data. For computational tractability, we develop surrogate/reduced-order models for use in the optimization problem. The surrogate model for the NGCC plant is constructed by linearizing the rigorous dynamic model at 75% load, while data-driven nonlinear surrogate models for the capture and compression systems are constructed using simulation data from the rigorous models. The optimization problem, formulated as a mixed integer bilinear program, is implemented in the IDAES® integrated platform and solved to global optimality using Gurobi 9.5. Using this formulation, we determine the profitability of retrofitting an existing NGCC unit with the chosen capture system for multiple regions in the U.S. under two scenarios with different carbon prices. Importantly, the results show that the optimal decision strongly depends on the region and on the carbon price, thereby demonstrating the importance of the inclusion of market signals in the design process.

29 ENERGY PLANNING, POLICY, AND ECONOMY↗
DOE OSTI2019

Resilient Transmission Hardening Planning in a High Renewable Penetration Erra

Hardening components in transmission systems is a practice to improve system resilience against possible disturbances caused by natural disasters. In a power system with a very high penetration of renewable energy, the system hardening will be further complicated by the uncertainty and variability of renewable energy. In this paper, we study the transmission line hardening planing problem in the context of probabilistic power flows injected by the high penetration of renewable energy. We assume that the probabilistic information of renewable energy is incomplete and ambiguous and propose a data-driven approach to approximate the renewable uncertainty sets. We then extend the N - 1 security criteria to multiple simultaneous contingencies and seek to prepare a hardening plan for the worst-case scenarios. A two-stage data-driven stochastic model is formulated by considering the joint worst-case wind output distribution and transmission line contingencies. Then, we apply the Column-and-Constraints generation method to solve the proposed model. To test the effectiveness of the proposed approach, we conduct experiments on 24-bus and 118-bus test systems. We numerically show that the data-driven approach can effectively address the uncertainty ambiguity and the proposed approach can produce effective hardening plans that improve the system resilience.

Column-and-Constraint generation↗
DOE OSTI2027

Nodal capacity expansion planning with flexible large-scale load siting

We propose explicitly incorporating large-scale load siting into a stochastic nodal power system capacity expansion planning model that concurrently co-optimizes generation, transmission, and storage expansion. The potential operational flexibility of some of these large loads is also taken into account by considering them as consisting of a set of tranches with different reliability requirements, which are modeled as a constraint on expected served energy across operational scenarios. We implement our model as a two-stage stochastic mixed-integer optimization problem with cross-scenario expectation constraints. To overcome the challenge of scalability, we build upon existing work to implement this model on a high performance computing platform and exploit scenario parallelization using an augmented Progressive Hedging Algorithm. The algorithm is implemented using the bounding features of mpisppy, which have shown to provide satisfactory provable optimality gaps despite the absence of theoretical guarantees of convergence. We test our approach and assess the value of this proactive planning framework on total system cost and reliability metrics using realistic testcases geographically assigned to San Diego and South Carolina, with datacenter and direct air capture facilities as large loads.

24 POWER TRANSMISSION AND DISTRIBUTION↗
DOE OSTI2018

Mixed-integer programming models for optimal constellation scheduling given cloud cover uncertainty

We introduce the problem of scheduling observations on a constellation of remote sensors, to maximize the aggregate quality of the collections obtained. While automated tools exist to schedule remote sensors, they are often based on heuristic scheduling techniques, which typically fail to provide bounds on the quality of the resultant schedules. To address this issue, we first introduce a novel deterministic mixed-integer programming (MIP) model for scheduling a constellation of one to n satellites, which relies on extensive pre-computations associated with orbital propagators and sensor collection simulators to mitigate model size and complexity. Our MIP model captures realistic and complex constellation-target geometries, with solutions providing optimality guarantees. We then extend our base deterministic MIP model to obtain two-stage and three-stage stochastic MIP models that proactively schedule to maximize expected collection quality across a set of scenarios representing cloud cover uncertainty. Our experimental conclusions on instances of one and two satellites demonstrate that our stochastic MIP models yield significantly improved collection quality relative to our base deterministic MIP model. We further demonstrate that commercial off-the-shelf MIP solvers can produce provably optimal or near-optimal schedules from these models in time frames suitable for sensor operations.

47 OTHER INSTRUMENTATION↗
DOE OSTI2018

Two-stage minimax stochastic unit commitment

The study proposes a stochastic optimisation approach based on discrete scenarios and the minimax criterion to deal with demand uncertainty in the two-stage unit commitment problem. To avoid making an over-conservative decision, the approach is designed to assign a probability-based weight to each demand scenario and provide a unit commitment schedule that minimises the maximum possible-weighted generation cost. Unit commitment is determined in the first stage and the economic dispatch under the scenario that corresponds to the maximum possible-weighted generation cost is determined in the second stage. The problem is formulated as a type of min-max-min mixed integer programming model. By introducing an auxiliary variable, the model is further transformed into a minimisation problem. A Benders decomposition algorithm is developed to solve the problem. The Benders master problem determines the unit commitment decision, while the Benders subproblem determines the dispatch decision. Multiple Benders feasibility cuts are constructed when the Benders subproblem is infeasible. Valid inequalities are derived to improve the lower bound provided by the Benders master problem. Numerical results show the performance of the algorithm.

Che, Ping↗
DOE OSTI2018

Resilience Enhancement of Distribution Grids Against Extreme Weather Events

This paper proposes a resilience-oriented design (ROD) technique to protect distribution grids against high-impact but low-probability extreme weather events. The problem is formulated as a two-stage stochastic mixed integer problem. The first stage is to make ROD decisions, i.e., hardening existing distribution lines and deploying ROD resources such as back-up distributed generators and automatic switches. The second stage evaluates the system operation cost during a realized extreme weather event and repair cost after the event. A novel modeling strategy is proposed to deal with the decision-dependent uncertainty of distribution line damage status, which is affected by the first-stage hardening decisions. As both stages have binary variables, a modified and computationally efficient progressive hedging algorithm with scenario bundling is introduced. The algorithm performance is evaluated by calculating lower bounds of solutions. In conclusion, the proposed model and algorithms are demonstrated on 34-bus and 123-bus test feeders.

24 POWER TRANSMISSION AND DISTRIBUTION↗