@article{AignerClarnerLiersetal., author = {Aigner, Kevin-Martin and Clarner, Jan-Patrick and Liers, Frauke and Martin, Alexander}, title = {Robust Approximation of Chance Constrained DC Optimal Power Flow under Decision-Dependent Uncertainty}, series = {European Journal of Operational Research}, journal = {European Journal of Operational Research}, abstract = {We propose a mathematical optimization model and its solution for joint chance constrained DC Optimal Power Flow. In this application, it is particularly important that there is a high probability of transmission limits being satisfied, even in the case of uncertain or fluctuating feed-in from renewable energy sources. In critical network situations where the network risks overload, renewable energy feed-in has to be curtailed by the transmission system operator (TSO). The TSO can reduce the feed-in in discrete steps at each network node. The proposed optimization model minimizes curtailment while ensuring that there is a high probability of transmission limits being maintained. The latter is modeled via (joint) chance constraints that are computationally challenging. Thus, we propose a solution approach based on the robust safe approximation of these constraints. Hereby, probabilistic constraints are replaced by robust constraints with suitably defined uncertainty sets constructed from historical data. The ability to discretely control the power feed-in then leads to a robust optimization problem with decision-dependent uncertainties, i.e. the uncertainty sets depend on decision variables. We propose an equivalent mixed-integer linear reformulation for box uncertainties with the exact linearization of bilinear terms. Finally, we present numerical results for different test cases from the Nesta archive, as well as for a real network. We consider the discrete curtailment of solar feed-in, for which we use real-world weather and network data. The experimental tests demonstrate the effectiveness of this method and run times are very fast. Moreover, on average the calculated robust solutions only lead to a small increase in curtailment, when compared to nominal solutions.}, language = {en} } @article{KevinMartinBaermannBraunetal., author = {Kevin-Martin, Aigner and B{\"a}rmann, Andreas and Braun, Kristin and Liers, Frauke and Pokutta, Sebastian and Schneider, Oskar and Sharma, Kartikey and Tschuppik, Sebastian}, title = {Data-driven Distributionally Robust Optimization over Time}, series = {INFORMS Journal on Optimization}, volume = {5}, journal = {INFORMS Journal on Optimization}, number = {4}, doi = {10.1287/ijoo.2023.0091}, pages = {376 -- 394}, abstract = {Stochastic optimization (SO) is a classical approach for optimization under uncertainty that typically requires knowledge about the probability distribution of uncertain parameters. Because the latter is often unknown, distributionally robust optimization (DRO) provides a strong alternative that determines the best guaranteed solution over a set of distributions (ambiguity set). In this work, we present an approach for DRO over time that uses online learning and scenario observations arriving as a data stream to learn more about the uncertainty. Our robust solutions adapt over time and reduce the cost of protection with shrinking ambiguity. For various kinds of ambiguity sets, the robust solutions converge to the SO solution. Our algorithm achieves the optimization and learning goals without solving the DRO problem exactly at any step. We also provide a regret bound for the quality of the online strategy that converges at a rate of O(log T/T--√), where T is the number of iterations. Furthermore, we illustrate the effectiveness of our procedure by numerical experiments on mixed-integer optimization instances from popular benchmark libraries and give practical examples stemming from telecommunications and routing. Our algorithm is able to solve the DRO over time problem significantly faster than standard reformulations.}, language = {en} }