Distributionally Robust Chance-Constrained Generation Expansion Planning

This paper addresses a centralized generation expansion planning problem, accounting for both long- and shortterm uncertainties. The long-term uncertainty (demand growth) is modeled via a set of scenarios, while the short-term uncertainty (wind power generation) is described by a family of probability distributions with the same first- and second-order moments obtained from historical data. The resulting model is a distributionally robust chance-constrained optimization problem, which selects the conventional generating units to be built among predefined discrete options. This model includes a detailed representation of unit commitment constraints. To achieve computational tractability, we use a tight relaxation approach to convexify unit commitment constraints and solve the model with linear decision rules, resulting in a mixed-integer second-order cone program. It is observed that the proposed model exhibits better out-of-sample performance in terms of total expected system cost and its standard deviation compared to a chanceconstrained model that assumes a Gaussian distribution of shortterm uncertainty. A similar observation is made when comparing the proposed model against a chance-constrained program that uses empirical renewable power generation data with unknown type of distribution, recasting as either a robust optimization or a stochastic program.