Risk-Averse Investment Optimization for Power System Resilience to Winter Storms

Abstract

We propose a two-stage scenario-based stochastic optimization problem to determine investments that enhance power system resilience. The proposed optimization problem minimizes the Conditional Value at Risk (CVaR) of load loss to target low-probability high-impact events. We provide results in the context of generator winterization investments in Texas using winter storm scenarios generated from historical data collected from Winter Storm Uri. Results illustrate how the CVaR metric can be used to minimize the tail of the distribution of load loss and illustrate how risk-aversity impacts investment decisions.