Data-Driven Ambiguous Joint Chance Constrained Economic Dispatch with Correlated Wind Power Uncertainty

This paper proposes a holistic framework of data-driven distributionally robust joint chance constrained economic dispatch (ED) optimization, which seamlessly incorporates deep learning-based optimization for effective utilization of renewable energy in power systems. By leveraging a deep generative adversarial network (GAN), an f-divergence-based ambiguity set of wind power distributions is constructed as a ball centered around the probability distribution induced by a generator neural network. In particular, the GAN is well suited for capturing complicated temporal and spatial correlations among renewable energy sources. Based upon this ambiguity set, a distributionally robust joint chance constrained ED model is developed to hedge against distributional uncertainty present in multiple constraints, without assuming a perfectly known probability distribution. The proposed deep learning based ED optimization framework greatly mitigates the conservatism inflicting on distributionally robust individual chance constrained optimization. Theoretical a priori bound on the required number of synthetic wind power data generated by GAN is explicitly derived for the multi-period ED problem to guarantee a predefined risk level. The effectiveness of the proposed approach is demonstrated in the six-bus system by comparing with the state-of-the-art method.