Continuous Time Multi-Stage Stochastic Unit Commitment with Storage

Kari Hreinsson, Anna Scaglione, Bita Analui

Research output: Contribution to journalArticlepeer-review

19 Scopus citations


Decision models used in wholesale electricity markets are advancing to manage adequately distributed storage on the grid and grapple with increasing stochasticity and variability in net-load. The goal of this paper is to address these three issues jointly, by introducing a continuous-time stochastic multi-stage reserve unit commitment. Compared to the conventional unit commitment (UC) formulation, the one we propose a) accommodates storage devices with limited energy capacity, b) addresses load uncertainty through a multi-variate scenario tree, and c) models, through a piece-wise polynomial approximation, continuous-time changes in load and generation. In numerical simulations, we compare the system operating cost of our approach relative to relaxations of our proposed formulation, including the conventional UC. The comparisons show the relative impact of the three modeling pillars of our formulation, aimed at capturing storage constraints, uncertainty, and ramping events with inter-hourly variations.

Original languageEnglish (US)
Article number8737715
Pages (from-to)4476-4489
Number of pages14
JournalIEEE Transactions on Power Systems
Issue number6
StatePublished - Nov 2019


  • Continuous-time
  • energy storage
  • multi-stage stochastic optimization
  • reserve modeling
  • unit commitment

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering


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