Risk-Aware Market Clearing

for Power Systems


Risk-Aware Market Clearing

The increasing role of renewable energy sources is challenging grid operations, which have traditionally relied on highly predictable load and generation. Future grid operations must balance generation costs and systemlevel risk, shifting from deterministic to stochastic optimization and risk management. The Risk-Aware Market Clearing (RAMC) project will provide a blueprint for an end-to-end, data-driven approach where risk is explicitly modeled, quantified, and optimized, striking a tradeoff between cost and system-level risk minimization. The RAMC project focuses on challenges arising from increased stochasticity in generation, load, flow interchanges with adjacent markets, and extreme weather. RAMC addresses these challenges through innovations in machine learning, sampling, and optimization. Starting with the risk quantification of each individual asset obtained from historical data, RAMC learns the correlations between the performance and risk of individual assets, optimizes the selection of asset bundles, and quantifies the system-level risk.


The RAMC project focuses on the challenges faced by the Midcontinent Independent System Operator (MISO), a not-for-profit organization that delivers safe, cost-effective electric power to 42 million customers across 15 U.S. states and the Canadian province of Manitoba. MISO’s power grid includes 71,800 miles of transmission lines and a generation capacity of 177,760 MW for a peak summer system demand of 127,125 MW. Its current generation mix includes 43% gas, 30% coal, 17% renewables, and 8% nuclear. The challenge of the RAMC project is to help MISO manage increased uncertainty as its portfolio evolves to include more renewable energy sources in the generation mix. MISO has set ambitious targets for renewable energy, including reaching 32% of the generation mix by 2030. Given the intermittency of wind and solar energy; the increasing prediction errors; the new types of risk and overall risk growth; and the uncertainty around flow interchanges in adjacent markets and extreme weather, it is becoming abundantly clear that a paradigm shift is needed in how the grid is operated, moving from deterministic optimization to market clearing algorithms that directly capture and reason about risk and uncertainty.

Historical Projected MISO-Wide Generation Mix


The goal of RAMC is to design and implement an end-to-end approach to risk management, starting from seven-day forward reliability assessment commitment (FRAC), moving to the security-constrained unit commit (SCUC), and culminating in the look-ahead commitment (LAC) and the real-time security-constrained economic dispatch (RT-SCED). These market-clearing models operate at different temporal scales and levels of uncertainty, but their decisions are propagating in time. It is thus critical to adopt risk and uncertainty holistically and to use appropriate techniques for each stage.

MISO Operating Reserves


RAMC will focus on five main components to address the challenges faced by MISO and develop an end-to-end approach to risk-aware market clearing. They are (1) uncertainty quantification; (2) dimensionality reduction; (3) system-level risk assessment; (4) stochastic programming; and (5) machine learning. They will be integrated in a multi-year high-fidelity simulation to demonstrate the benefits of the proposed approach in terms of a wide range of efficiency and risk metrics. The approach is summarized in Figure 1.

  1. Uncertainty Quantification: to quantify the uncertainty coming from renewable energy more precisely, exploiting spatial and temporal correlations. Figure 2 and Figure 3.
  2. Dimensionality Reduction: to reduce the number of scenarios needed to perform system-level risk assessment and stochastic optimization.
  3. Risk-Level System Assessment: to provide precise risk measures for the system to inform operators and market clearing algorithms, using concept from the financial industry.
  4. Stochastic Optimization: to develop a new generation of market-clearing algorithms for the FRAC, LAC, and RT-SCED, moving from deterministic optimization to robust and stochastic optimization.
  5. Machine Learning: to develop optimization proxies to run deterministic and stochastic algorithms with similar accuracy and orders of magnitude speed-ups in efficiency.
  6. Multi-Year High-Fidelity Simulation: the proposed approach will be validated in a counterfactual study to demonstrate the benefits of the approach.
Figure 1
Figure 1. The Overall Organization of RAMC - ARCL: Asset Risk Correlation Learning; CSP: Conditional Sampling Procedure; ABG: Asset Bundling Generation; SLRAL: System-Level Risk Assessment; MSO: Multistage Stochastic Optimization; PSOL: Power System Optimization Learning; MYSV: Multi-year Scenario Validation; VCS: Visualization of Counterfactual Studies
Figure 2
Figure 2. Wind farms in MISO North
Figure 3. Exploiting wind correlations for asset bundling
Figure 3. Exploiting wind correlations for asset bundling
Figure 4. Stochastic Dual Dynamic Integer Programming
Figure 4. Stochastic Dual Dynamic Integer Programming


RAMC is also engaging in an ambitious pilot project that considers an Extended LAC, i.e., the LAC extended from three to six hours before actual system operations. The Extended LAC is particularly challenging due to the significant uncertainty about renewable generation, interchanges, and loop flows. It also deals with decisions on when to commit generators in real time, that have substantial impact on both risk and costs. It thus represents an ideal case study to demonstrate the benefits of risk-aware market clearing as enabled by uncertainty quantification, risk assessment, stochastic optimization, and machine learning. The challenges raised by the Extended LAC are not unique to MISO: They are also present in other ISOs, highlighting its need and potential benefits.

Machine Learning for Security-Constrained Economic Dispatch


Pascal Van Hentenryck

Pascal Van Hentenryck is the Associate Chair for Innovation and Entrepreneurship and an A. Russell Chandler III Chair and Professor in the H. Milton Stewart School of Industrial and Systems Engineering at Georgia Tech. He has taught undergraduate and graduate classes in computer science, operations research, and computational biology at Brown University, National Interactive College of Technology Australia, University of Michigan, and Georgia Tech. In addition, he leads the Seth Bonder Camp in Computational and Data Science for high school students each summer.

Van Hentenryck's research focuses in artificial intelligence, data science, and operations research. His current focus is to develop methodologies, algorithms, and systems for addressing challenging problems in mobility, energy systems, resilience, and privacy. He is also leading the Socially Aware Mobility project to foster an equitable and accessible transit system in Atlanta.

Andy Sun

Andy Sun is an Anderson-Interface Early Career Professor and Associate Professor in the H. Milton Stewart School of Industrial and Systems Engineering at Georgia Tech. 

Sun is interested in building new bridges between the theory of optimization under uncertainty, distributed optimization, convexification of nonconvex structures, and control of dynamical systems, and in developing fundamental understanding and new analytical tools for renewable energy integration, power grid optimization, and stability and resiliency of interconnected energy systems and transportation systems.

Roshan Joseph

Roshan Joseph is an A. Russell Chandler III Professor in the H. Milton Stewart School of Industrial and Systems Engineering at Georgia Tech.

Joseph's research interests are in the broad areas of applied and computational statistics. A major focus of his research is in developing novel statistical methods for solving complex engineering problems. He has several years of consulting experience in solving quality-related problems in industries.

C. F. Jeff Wu

C. F. Jeff Wu is the Coca-Cola Chair in Engineering Statistics and Professor in the H. Milton School of Industrial and Systems Engineering at Georgia Tech.

Wu has made fundamental contributions to the methodological and theoretical developments of a wide variety of statistical and application areas such as design and analysis of experiments (optimal, sequential, factorial), computer experiments, robust parameter design, statistical computing, re-sampling methods, complex surveys, nonlinear least squares, and uncertainty quantification. 


Midcontinent Independent System Operator (MISO)
Georgia Tech