Multi-Stage Robust Dynamic Unit Commitment Based on Pre-Extended -Fast Robust Dual Dynamic Programming

To naturally characterize the long-time sequence coupled equipment such as energy storage systems (ESS) and to enforce the non-anticipativity of dispatch decisions under uncertain renewable energy, a multi-stage robust dynamic unit commitment (MRDUC) model is proposed in this paper. MRDUC transforms the multi-stage robust unit commitment into a dynamic programming form, which is the first attempt to combine day-ahead optimization with intra-day multi-stage robust dynamic dispatch. The unit commitment problem is solved in the pre-stage, and a simulation of intra-day multi-stage economic dispatch is done thereafter, which further refines the UC decision in an iterative way. A pre-extended -fast robust dual dynamic programming (PE-FRDDP) method is proposed to efficiently solve the MRDUC problem, which simultaneously optimizes the day-ahead UC and the intra-day decision policies. Case studies on the modified IEEE 6-Bus and 4 large-scale systems from 300 to 1888 buses demonstrate the effectiveness of the proposed model and the solution methodology.