Scenario-based economic dispatch with uncertain demand response

This paper introduces a new computational framework to account for uncertainties in day-ahead electricity market clearing process in the presence of demand response providers. A central challenge when dealing with many demand response providers is the uncertainty of its realization. In this paper, a new economic dispatch framework that is based on the recent theoretical development of the scenario approach is introduced. By removing samples from a finite uncertainty set, this approach improves dispatch performance while guaranteeing a quantifiable risk level with respect to the probability of violating the constraints. The theoretical bound on the level of risk is shown to be a function of the number of scenarios removed. This is appealing to the system operator for the following reasons: 1) the improvement of performance comes at the cost of a quantifiable level of violation probability in the constraints and 2) the violation upper bound does not depend on the probability distribution assumption of the uncertainty in demand response. Numerical simulations on: 1) 3-bus; 2) IEEE 14-bus system; and 3) IEEE 118-bus system suggest that this approach could be a promising alternative in future electricity markets with multiple demand response providers.