An Efficient Primal-Dual Approach to Chance-Constrained Economic Dispatch

Abstract: To effectively enhance the integration of distributed and renewable energy sources in future smart microgrids, economical energy management accounting for the principal challenge of the variable and non-dispatchable renewables is indispensable and of significant importance. Day-ahead economic generation dispatch with demand-side management for a microgrid in islanded mode is considered in this paper. With the goal of limiting the risk of the loss-of-load probability, a joint chance constrained optimization problem is formulated for the optimal multi-period energy scheduling with multiple wind farms. Bypassing the intractable spatio-temporal joint distribution of the wind power generation, a primal-dual approach is used to obtain a suboptimal solution efficiently. The method is based on first-order optimality conditions and successive approximation of the probabilistic constraint by generation of p-efficient points. Numerical results are reported to corroborate the merits of this approach.