Minimax Robust Unit Commitment Problem with Demand and Market Price uncertainty

The Unit Commitment Problem — one that is of great interest to energy providers — consists of finding an energy production plan in order to meet the forecasted demand. Unlike most of the existing solution methods, we adopt a ”robust” approach that takes into account the uncertainty around the forecasted demand. Performance is measured by estimating the savings achieved by the robust method over the typical approach that ignores uncertainty and solves a deterministic optimization model with expected values. Our experiments verify the benefits of modeling uncertainty in key data by considering ranges instead of point estimates and by capturing risk with a minimax and a min-max regret function.