MPC for power systems dispatch based on stochastic optimization

In this paper we investigate the problem of optimal real-time power dispatch of an interconnection of conventional power generation plants, renewable resources and energy storage systems. The objective is to minimize imbalance costs and maximize profits whilst satisfying user demand. The managing company is able to trade energy on an electricity market. Energy prices, demand and renewable generation are considered stochastic processes. We show that under certain assumptions, the stochastic power dispatch problem over a finite horizon can be recast into a stochastic optimization formulation but with deterministic constraints. We carry out a systematic study of stochastic optimization methods to solve this problem. We also show that this problem can be approximated by a proper deterministic optimization problem using the sample average approximation method, which can then be solved by standard means.