In the book Encyclopedia of Electrical and Electronic Power Engineering. Vol. 1. Electrical Engineering Technologies Mathematics for Electrical Engineering
Elsevier B.V., Amsterdam, Netherlands
Summary
This article describes robust optimization, which involves modeling uncertain parameters within a pre-specified uncertainty set and allows identifying the worst-case uncertainty realization. An overview of basic concepts of robust optimization is provided, describing how uncertainty is characterized within a robust optimization framework, formulating a robust optimization problem without and with recourse, and describing the column-and-constraint generation algorithm that is applied to solve two-stage adjustable robust optimization problems with continuous recourse variables. A practical example in the field of power systems is presented, clarifying the theoretical concepts described.
Keywords: Uncertainty; Robust optimization; Ellipsoidal uncertainty set; Polyhedral uncertainty set; Column-and-constraint generation algorithm; Adjustable robust optimization
Editors: García, J.
ISBN: 978-0-12-821204-2
DOI: 
https://doi.org/10.1016/B978-0-12-821204-2.00089-1
Published: 2022
Citation:
R. Garcia-Bertrand, L. Baringo, A. García-Cerezo, Uncertainty modeling in electrical power engineering: robust optimization, in Encyclopedia of Electrical and Electronic Power Engineering. Vol. 1. Electrical Engineering Technologies Mathematics for Electrical Engineering. Editors García, J.. Ed. Elsevier B.V.. Amsterdam, Netherlands, 2022.
IIT-22-323L
