Risk-Sensitive Optimization And Pricing For The Modern Power Grid

Abstract

Integration of variable renewable and distributed energy resources in the grid makes demand and supply conditions uncertain. In this talk, we explore customized algorithms and meaningful pricing design for risk-sensitive market clearing, where power delivery risk is modeled via the conditional value at risk (CVaR) measure. The market clearing formulations are such that they allow a system operator to effectively explore the cost-reliability tradeoff. We discuss algorithmic architectures to solve these risk-sensitive optimization problems and then derive pricing mechanisms to accompany a risk-sensitive dispatch.