Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems
<|reference_start|>Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic Energy Systems: We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In addition to a risk-neutral objective, this paper formulates two risk-aware objectives that control the conditional value-at-risk of system cost and the buffered probability of exceeding a predefined threshold of unserved load. The resulting policy uses a parameter-modified cost function approximation that reduces the computational load compared to the direct inclusion of those risk measures in the problem objective. We demonstrate our method on a numerical case study.<|reference_end|>
@article{mortimer2024managing,
    title={Managing Risk using Rolling Forecasts in Energy-Limited and Stochastic
  Energy Systems},
    author={Thomas Mortimer and Robert Mieth},
    journal={arXiv preprint arXiv:2407.13626},
    year={2024},
    archivePrefix={arXiv},
    eprint={2407.13626},
    primaryClass={eess.SY cs.SY}
}