A Chance-Constrained Two-Stage Stochastic Program for Unit Commitment With Uncertain Wind Power Output

In this paper, we present a unit commitment problem with uncertain wind power output. The problem is formulated as a chance-constrained two-stage (CCTS) stochastic program. Our model ensures that, with high probability, a large portion of the wind power output at each operating hour will be utilized. The proposed model includes both the two-stage stochastic program and the chance-constrained stochastic program features. These types of problems are challenging and have never been studied together before, even though the algorithms for the two-stage stochastic program and the chance-constrained stochastic program have been recently developed separately. In this paper, a combined sample average approximation…