Robust Unit Commitment With Decision-Dependent Uncertain Demand and Time-of-Use Pricing

Abstract

Two-stage robust unit commitment (UC) is nowadays an effective decision-making model to support power system operations under uncertainty. This study extends the classical robust UC model to a novel formulation where the set of uncertain demand endogenously depends on the first-stage price decisions. We employ a generic time-of-use (ToU) pricing scheme, in a regulated system, to determine the optimal peak and off-peak price rates and periods of individual load buses. To exactly compute such ToU-based robust UC with decision-dependent demand, we customize and implement a <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">parametric</i> variant of the column-and-constraint generation method to handle this complex program with a changing uncertainty set. The proposed model and the computational performance of the solution method are illustrated on two typical systems, and experimental results are discussed with a set of novel insights.