Scenario Reduction Techniques and Solution
Stability for Stochastic Unit Commitment Problems
K. Bruninx, Student Member, IEEE, and E. Delarue, Member, IEEE
Department of Mechanical Engineering, KU Leuven (University of Leuven)
Celestijnenlaan 300, B-3001 Leuven, Belgium
Energyville, a joint venture of VITO, IMEC and KU Leuven
Thor Park, Poort Genk 8310, B-3600 Genk, Belgium
AbstractIn power systems rife with uncertainty, stochastic
unit commitment (SUC) models may be used to properly size and
allocate operational reserves, in order to ensure a reliable and
cost-efficient operation of the power system. The performance of
SUC-based unit commitment schedules is however fully depen-
dent on the scenario sets used to describe the uncertainty at hand.
Dedicated scenario generation & reduction techniques (SGT &
SRT) have been developed to generate and select scenario sets
that capture the uncertain parameter, e.g. wind power, and yield
a cost-optimal unit commitment (UC) schedule in reasonable
computing times. Probability-distance based SRTs are by far
the most used. In an extensive numerical study, we analyze the
performance of so-called cost functions used in these SRTs. In
addition, we propose a new cost function, which allows selecting
a well-balanced subset of scenarios, resulting in a tractable SUC
model and a cost-optimal UC schedule.
Index TermsScenario Reduction, Stochastic Unit Commit-
ment, Wind Power.
I. I NTRODUCTION
P RESENT-DAY and future power systems are rife with
uncertainty, mainly due to the integration of intermittent
electricity generation from renewable energy sources (RES).
Some forms of RES-based electricity production, notably
wind and solar PV power, have a stochastic character, i.e.,
they are variable (not or only limitedly dispatchable) and to
some extent unpredictable. In this regard, novel power system
operation methods will be needed to properly size and allocate
operational reserves, in order to ensure a reliable and cost-
efficient operation of the power system.
Stochastic formulations [?] of the unit commitment (UC)
problem endogenously account for the stochastic nature of
wind power generation. Typically, these optimization tech-
niques yield more cost-efficient UC schedules than their
deterministic equivalents [?]. However, the quality of the UC
schedule obtained with a stochastic UC (SUC) model fully
depends on the quality of the scenario generation and reduction
techniques (SGT & SRT) used to produce a representative
set of scenarios [?]. A common flaw of these techniques is
that wind power generation is assumed to follow a probability
distribution which does not precisely fit empirical data or an
inability to identify critical scenarios [?]. Solution stability
978-1-4673-8463-6/16/$31.00
c 2016 IEEE
requirements [?] impose a lower limit on the number of sce-
narios considered in the SUC problem, but large scenario sets
may render the optimization problem intractable. However,
if one succeeds in capturing the underlying stochasticity in
a sufficiently small set of scenarios, resulting in a tractable
SUC problem with a stable solution, this approach yields the
optimal UC schedule under uncertainty.
In this paper, we will investigate the performance, i.e. the
tractability of the SUC problem and the cost-efficiency of the
resulting UC schedule, of probability-distance based SRTs [?].
Although other methods (for an overview, see [?]) exist, these
are (i) by far the most used and (ii) considered the best-in-
class SRTs [?]. We focus on the so-called cost function used
to characterize and distinguish between different scenarios. In
addition to the original cost function and the one proposed by
Morales et al. [?], we propose a novel cost function, based on
a one-scenario equivalent deterministic UC formulation.
The remainder of the paper is organized as follows. First,
we present a SUC model, the SRTs and the case study. Second,
we perform an illustrative solution stability analysis (Section
??). Before formulating a conclusion, we present an extensive
numerical comparison of the aforementioned SRTs.
II. M ETHODOLOGY
Below, we present a stylized version of the SUC formulation
considering uncertain wind power forecasts [?]. Second, the
probability-based SRTs and the associated cost functions are
introduced. Last, the case study is introduced.
A. Stochastic unit commitment
The objective of all UC formulations is to obtain the least-
cost schedule that allows meeting the demand for electrical
energy subject to given operational constraints and uncertain
wind power production. In a SUC model, the uncertainty is
represented via a set of scenarios, including their probability of
occurrence. The total operational cost (TOC) of generating the
demanded electrical energy over the considered time horizon
includes the startup costs (si,j, ), the fuel costs (f ci,j, ), the
CO2 -emission costs (co2 ci,j, ), the ramping costs (rci,j, ) and
the cost associated with load shedding (j, V OLL). The
objective function of the SUC problem reads
XXX
min (sci,j, + f ci,j, + co2 ci,j, + rci,j, )
i j
XX
+ T P j, V OLL (1)
j 0 :
The start-up costs, fuel costs, CO2 -emission costs and ramping
costs depend on the UC status and output of power plant i
(set I) in time step j (set J) in scenario (set ). is
the probability of scenario and T P j, the volume of
load shedding or energy not served (ENS) j, , valued at
V OLL (the value of lost load). TP is the time period, here 15
minutes or 0.25 hours. For slow generators, the UC schedule
is common to all the scenarios. Fast-starting units may have a
scenario-dependent UC status. This optimization is subject to
a number of constraints. First, the demand and supply in each
scenario must be balanced:
X X
PHES
j, : Dj j, = gi,j, +Wj, j, + gr,j, (2) the probabilistic difference between the original and the
i r
The demand (Dj ) must be met by conventional generation
(gi,j, ), wind power (Wj, ), which can be curtailed (j, )
and the net output of the pumped hydro energy storage
PHES
(PHES) units (index r, set R) in the system (gr,j, ). Load
shedding or wind power curtailment may occur if it reduces the
expected operational cost (e.g. by avoiding overly conservative
and expensive UC schedules to meet the load in extreme,
unlikely scenarios) or if it allows meeting other operational
constraints (e.g. ramping constraints that would be violated
by extreme ramps in the wind power output) [?]. Second,
the conventional power plants are subjected to several tech-
nical constraints, such as minimum and maximum loading
levels, ramping constraints and minimum up and down times.
These constraints differ per fuel and technology. Finally, the
hydraulic constraints of a PHES system r are included via
constraints on its energy content, charge and discharge rates.
Depending on the case studied, the output of the PHES system
r might be common to all scenarios or scenario-dependent (see
Section ??).
Large scenario sets render the optimization problem in-
tractable, thus it is of critical importance to ex-ante identify
and select those scenarios that drive the objective function
and UC decisions of the SUC problem. The challenge here
lies in the ex-ante selection of scenarios: one needs to decide
which scenarios will affect the solution of the problem, before
solving the stochastic problem.
B. Scenario-reduction methods based on probability metrics
As shown in [?], the Monge-Kantorovich mass transport
problem can be formulated as follows for two sets of discrete
scenarios (scenarios ) and 0 (scenarios 0 ) with finite
probability distributions Q and Q0 [?], [?]:
X
DK (Q, Q0 ) =min c(, 0 ) (, 0 )
(3)
, 0
subject to , 0 : (, 0 ) 0
(4)
X
(, 0 ) = 0 (5)
:
X
(, 0 ) = (6)
0
In this formulation c(, 0 ) is referred to as the cost function,
i.e. a measure to differentiate between two scenarios, such as
a L2-norm. and 0 represent the probability of scenario
, 0 in sets and 0 respectively. (, 0 ) relates to the
joint probability distributions defined on the domain 0 .
The Kantorovich distance is a measure of the probabilistic
distance between two scenario sets and can thus be used to
determine the optimal reduced set of scenarios that minimizes
reduced set of scenarios 0 .
The Kantorovich distance (??) can, for two stage problems
and under mild assumptions [?], be simplified to
X
DK (Q, Q0 ) = min0 c(, 0 ) (7)
\0
Eq. (??) describes a NP-hard set-covering problem that is
too large in scale to be practical in many applications [?].
Researchers have developed several heuristics to solve this
problem in reasonable time, of which the fast forward and
backward algorithm developed by Dupacova et al. [?] are
the best-known. In this paper, we will, similarly as in [?],
focus on the fast forward algorithm. Although this heuristic
does not guarantee to select the set of scenarios with the
lowest possible Kantorovich distance to the original set of
scenarios [?], the literature suggests that the solutions obtained
on reduced sets of scenarios, obtained via the fast forward
algorithm, yield satisfactory results [?], [?]. The iterative fast
forward algorithm will select a set of scenarios 0 with a
predefined cardinality from an original set of scenarios
in order to minimize the Kantorovich distance KD between
the probability density distributions Q0 and Q of the reduced
and original set of scenarios respectively [?], [?]. Starting
from an empty set, scenarios are selected one-by-one until the
predefined number of scenarios or, in some cases, a certain
Kantorovich distance is reached.
In the original SRT proposed by Dupacova et al. [?], the
cost function c(, 0 ) is given by
c(, 0 ) = max{1, h(||0 ||), h(|| 0 0 ||)}|| 0 || (8)
with 0 some fixed element in and h a positive, continuous,
non-decreasing function. Typically, the cost function c(, 0 )
calculation is simplified to [?], [?]1 :
sX
c(, 0 ) = || 0 ||2 = (Wj, Wj,0 )2 (9)
j
1 The use of higher order metrics may be considered to ensure the match
of higher order moments of the distributions represented by the reduced and
the original set of scenarios. This option has not been explored in this paper.
This cost function (??) only considers the amplitude of the
wind power forecast to differentiate between the different
scenarios. As illustrated in [?], the original SRT is indifferent
to the variability of the wind power scenario. However, the
variability might have a significant impact on the objective
function and optimal UC schedule for the problem at hand.
For example, the possible absence of highly variable scenarios
might lead to a UC schedule that is not able to facilitate
strongly fluctuating injections of wind power due the ramping
constraints of the scheduled units. In addition, cost function
(??) does not account for the impact of a scenario on the
first-stage decisions, i.e. the UC schedule. For example, ex-
treme, but unlikely scenarios may strongly affect the first-
stage decisions and the objective function of the stochastic
program. Although the proposed cost function is generic, thus
widely applicable, it fails to recognize that the SRT cannot be
decoupled from the SUC problem at hand.
We therefore propose a new cost function c(, 0 ), inspired
by [?]. The goal is to capture the effect of the addition of a
certain scenario to the reduced set of scenarios on the objective
function and first-stage decision variables of the SUC problem.
The proposed cost function c(, 0 ) is given by
c(, 0 ) = |z z0 | (10)
in which z represents the objective value of the deterministic
single-scenario equivalent of the SUC problem at hand, in
which the set of wind power forecast error scenarios is
replaced by the realization in scenario . Morales et al.
calculate the cost of the one-scenario equivalent problem with
fixed first-stage decision variables, i.e. the UC schedule. The
value of these first-stage decision variables has been obtained
from the expected value problem corresponding to the SUC
problem, i.e. a deterministic UC (DUC) problem in which
wind power forecast is replaced by the expected value of
the set of wind power forecasts. By definition, this approach
is risk-averse: during the calculation of the operational cost
of the one-scenario equivalent, failing to meet the demand
will lead to load shedding, which is penalized at a very high
cost (V OLL). The cost function c(, 0 ) is thus governed
by difference in ENS-volumes in the one-scenario equivalent
problems, which results in a scenario set with predominantly
lower-than-average wind power output scenarios [?].
In this paper, in contrast to the cost function proposed by
Morales et al., the first stage decision variables are not fixed
in the one-scenario equivalent DUC problems. Cost function
(??) allows us to capture the possible benefits of different UC
decisions. Scenarios with a lower-than-average wind power
output will be characterized by higher fuel costs and vice
versa. Moreover, the variability of the wind power output will
affect the resulting operational cost, which allows identifying
particularly challenging wind power scenarios.
Compared to the approach of Dupacova et al., the calcula-
tion of the cost function (??) may become computationally
challenging. In the approach proposed by Morales et al.,
solving this one-scenario equivalent problem requires solving
(i) one mixed integer linear programming (MILP) problem, a
DUC model considering the expected value of all wind power
scenarios, and (ii) N linear programming (LP) economic
dispatch (ED) problems, one for each scenario in the initial
scenario set . The LP problems can be solved in parallel
and are not computationally demanding. Solving the MILP
DUC problem requires O(10s) to O(100s), but only needs
to be solved once per scenario set. In contrast, the approach
suggested in this paper would require solving N MILP UC
problems. Although these may be solved in parallel, the result-
ing computational burden may render the suggested approach
impractical. Therefore, we will approximate the operational
cost of each MILP UC problem via a simplified UC model.
This simplified MILP model considers the effiencies, minimal
and maximal power output of the power plants, but neglects
all other technical constraints. This model can be solved in
O(1s) to O(10s).
C. Case study: data & assumptions
We study the performance of the discussed SRTs on a model
of a power system inspired by the Belgian power system,
as in [?]. We assume a 30% wind energy penetration on an
annual, energy basis. The demand profile and wind power data
were obtained from Elia, the Belgian TSO, for the year 2013.
The conventional generation fleet consists of 71 power plants
and combined-heat-and-power plants, with a total of 13,920
MW of dispatchable capacity [?]. The nominal efficiency of
each power plant is based on its type, fuel and age. The
other technical characteristics of the power plants are based on
ENTSO-E data [?]. One PHES system has been included, with
a maximum capacity of 1,308 MW, a charge and discharge
efficiency of 75% and a storage capacity of 3,924 MWh. The
minimum energy content of the storage facility is set to 10%
of its capacity. The maintenance costs of all generation assets,
including the energy storage facility, are neglected. The CO2 -
price is assumed to be 10 e/ton CO2 . V OLL is set to 10,000
e/MWh. Curtailment of wind power is not penalized. The
planning horizon considered in the optimization is 24 hours
and the time step is 15 minutes.
To ensure a fair comparison between the different UC
models, each SRT starts from the same set of 500 scenarios
describing the uncertain wind power forecast. The wind power
forecast scenarios for each day were generated as discussed
in [?], based on a statistical description of the forecast error
developed in [?]. The Monte-Carlo ED simulations to evaluate
the performance of the UC models are executed on a new set
of 500 scenarios. During the Monte-Carlo ED simulations,
the output of all scheduled units, spinning and non-spinning,
and the PHES system is optimized assuming perfect foresight
of each wind power scenario. The ED simulations provide a
proxy of the expected reliability and operational system cost
of the calculated UC schedule.
III. R ESULTS & D ISCUSSION
First, we study the performance of the SRTs on the first
day of week 39. On this particular day, the forecasted wind
output ramps up from 1,000 MW to 6,000 MW, capable
 Total operational cost (UC) Total expected operational cost (ED) Calculation time (UC)
Total operational cost (Me)

Total operational cost (Me)

Calculation time (h)

Calculation time (h)

4 4
10 10

2 5 2 5

0 0
5 10 15 20 25 30 5 10 15 20 25 30
Number of scenarios () Number of scenarios ()
(a) Random scenario selection (b) Fast-forward SRT by Dupacova et al. [?]

1 1
Total operational cost (Me)

Total operational cost (Me)

Calculation time (h)

Calculation time (h)

4 0.9 4 0.9
10 10

0.8 0.8
28 29 30 5 28 29 30 5
2 2

0 0
5 10 15 20 25 30 5 10 15 20 25 30
Number of scenarios () Number of scenarios ()
(c) Fast-forward SRT by Morales et al. [?] (d) Fast-forward SRT proposed in this paper

Fig. 1: A random, equiprobable subset of scenarios (Fig. ??) outperforms the SRT as proposed by Dupacova et al. [?] (Fig.
??). Although the modification by Morales et al. [?] (Fig. ??) leads to a quick convergence to a stable solution, the risk-averse
character of the SRT leads to an overly conservative UC schedule. The cost function proposed in this paper leads to a stable
solution (Fig. ??). The calculation time (right axis) rises quickly with the number of scenarios considered.

of covering approx. 47% of the demand. For the stability
analysis, we only address the simplest SUC problem: scenario-
dependent UC statuses are not allowed (no non-spinning
reserves) and the output of the PHES system is assumed to
be common to all scenarios. This analysis allows estimating
the minimum number of scenarios required to reach solution
stability. Second, in a four-week analysis (Section ??), we will
explore the impact of relaxing these assumptions. Four SRTs
are considered. In addition to the SRTs proposed by Dupacova
et al. (from hereon Dupacova) , Morales et al. (Morales)
and the method proposed in this paper (Bruninx), we also
consider a subset of randomly selected, equiprobable scenarios
(Random) as a benchmark.
The model is implemented in GAMS 24.4 and MATLAB
2011b. CPLEX 12.6 is used as solver. Calculations are run on
the ThinKing HPC cluster of the KU Leuven, using a 2.8 GHz
machine with 20 cores and 64 GB of RAM. The duality gap
was set at 0.5%.
A. Stability analysis
Figure ?? summarizes the results of the stability analysis.
As more scenarios are considered during UC optimization, the
total operational cost during UC scheduling increases as a UC
schedule is calculated that hedges the system against more
(extreme) scenarios. Consequently, the expected total cost
after Monte-Carlo ED evaluation decreases considerably as the
volume of ENS (ED) decreases. A stable, unbiased solution is
reached when both values (i.e. the total operational cost of the
UC optimization and the expected total operational cost after
Monte-Carlo ED evaluation) are approximately the same and
do not change considerably with the addition of more scenarios
in the SUC problem [?]. Randomly selecting scenarios or
using the SRT proposed by Dupacova et al. does not yield
a stable solution. On this particular day, the performance of
both methods is similar. Only when considering scenario sets
obtained via the approaches suggested by Morales et al. and
in this paper, solution stability is reached when considering 30
scenarios. The risk-averse character of the method proposed
by Morales et al. allows reaching stable solutions with small
scenario sets (in this case, as of 10 scenarios), but leads to
an overly conservative UC schedule. The total operational
cost is (i) overestimated and (ii) sub-optimal compared to that
obtained with the SRT suggested in this paper (Fig. ??-??).
The underlying cause of these differences in performance is
visualized in Fig. ??. Figure ?? shows the distribution of the
error according to the original, large scenario set (dashed line)
and the distribution of the error as represented via reduced
 Random Dupacova Morales Bruninx
Probability (-)
101
3
10
4,000 2,000 0 2,000 4,000
Forecast error  (MW)
(a) Distribution of the forecast error based on 30 scenarios, obtained
with 4 different SRTs. The dotted line indicates the original distribution.
Fig. 2: If the reduced scenario set does not capture the tails of the distribution (Fig. ??), the resulting UC schedule is (i)
inadeaquate to prevent load shedding during dispatch (Random, Dupacova - Fig. ??) or (ii) overly conservative, which does
not allow capturing the benefits of positive forecast errors (Morales - Fig. ??).
scenario sets, obtained with the four methods discussed above
(solid lines). The scenario sets obtained with the random
SRT or the approach suggested by Dupacova et al. fail to
capture the left tail of the forecast error distribution. As a
result, load shedding occurs in some scenarios during dispatch,
resulting in the peaks in the operational cost distribution at
high operational cost levels (Fig. ??). The scenario set obtained
with the approach proposed by Morales et al. overemphasizes
the occurance of negative forecast errors and drastically un-
derestimates the probability of positive forecast errors. The
resulting UC schedule is overly conservative, which leads to (i)
a very low probability of load shedding (no scenarios with high
operational costs), but (ii) an inability to profit from increases
of wind power (low probability of low operational cost).
B. Quantitative comparison
Table ?? compares the results of the Monte-Carlo ED
evaluations of the UC schedules obtained considering 30
scenarios, selected from an initial set of 500 scenarios per day
using four different SRTs. Three UC strategies are evaluated.
In the first strategy (SR) only online capacity may be used
to meet the demand in all scenarios. The output profile of the
PHES is common to all scenarios. In the second strategy (SR,
PHES), this non-anticipativity constraint on the output of
the PHES system is dropped. Last, non-spinning reserves are
allowed (SR, PHES, NSR) by allowing a scenario-dependent
UC status for fast-starting units. Four representative weeks
were selected based on the residual demand, i.e. the demand
minus the expected wind power generation. The week with
the residual demand closest to the average weekly demand for
electrical energy (week 30), the week with the lowest residual
demand (week 52), the week with the highest residual energy
demand (week 9) and the week with the highest variability in
the residual load profile (week 39) were selected.
Several trends can be identified in Table ??. First, the
introduction of more flexibility providers (non-spinning re-
serves, PHES) results in more cost-effective UC schedules
100
100 101
Probability (-)
102
101
103
0.6 1 1.4
2
10
103
5 10 15 20
Total expected operational cost ED (Me)
(b) Distribution of the operational cost after Monte Carlo ED
simulation, based on a UC schedule obtained considering 30 scenarios.
for all weeks and all SRTs. These highly flexible units and
energy storage systems allow following the demand more
closely, i.e. with less online capacity. However, this increases
the importance of identifying critical scenarios. Failing to
select critical scenarios effectively leads to scheduling too little
capacity, which results in ENS, thus high expected TOCs,
during dispatch, as illustrated in Table ??. Especially in weeks
with high wind shares (WS), such as week 39 and 52, this may
drastically increase the expected TOC (ED).
Second, large differences are apparent between the results
obtained with different SRTs. As expected, the random SRT
performs worst: high volumes of load shedding in the Monte
Carlo ED simulation results indicate that the random SRT
triggered an inadequate UC schedule, over all weeks and
UC strategies. Although employing the SRT as proposed by
Dupacova et al. results in less ENS, the expected TOC (ED)
still strongly exceeds that of the UC problem. The results
obtained on scenario sets selected with the method of Morales
et al. and the method proposed in this paper are, in general,
similar. Both allow selecting a scenario set that triggers an
adequate UC schedule, resulting in low ENS volumes and low
expected TOC during dispatch.
However, more subtle differences between the Morales
and Bruninx-based results are found in Table ??. The risk-
averse character of the SRT proposed by Morales et al. results
in more scheduled capacity, effectively increasing the expected
TOC during the UC phase. The difference in expected TOC
(UC vs. ED) can be as high as 2.2 Me or 8%. This risk-
averseness does lead to low ENS volumes, which results in
low expected TOC (ED). Note however that in our case study,
one does not incur any cost for not-dispatched, scheduled non-
spinning reserves or curtailment, which favors risk-averse UC
schedules. Using the SRT proposed in this paper, the resulting
expected TOC obtained from the UC phase is, in eight out of
twelve cases, closer to the expected TOC of the Monte-Carlo
ED evaluation. The risk-neutral scenario set allows correctly
TABLE I: Comparison of the four SRTs during four representative weeks, considering three UC strategies: units scheduled in
all scenarios may be used to meet demand (SR), PHES-based flexibility may be used (PHES) and fast-starting units may
be scheduled with a scenario-dependent UC status (NSR). All values are given per week. TOC is the total operational cost
and ENS the Energy Not Supplied volume. WS is the Share of Wind energy in the total demand for electrical energy.
SRT Random (Risk neutral) Dupacova (Risk neutral) Morales (Risk averse) Bruninx (Risk neutral)
Flexibility providers SR SR SR SR SR SR SR SR SR SR SR SR
PHES PHES PHES PHES PHES PHES PHES PHES
NSR NSR NSR NSR
W52 (WS 86.3%) W39 (WS 52.3%) W9 (WS 13.5%) W30 (WS 10.6%)

E[TOC UC] [Me] 13.80 13.53 13.26 13.97 13.64 13.18 14.22 14.04 13.51 14.01 13.61 13.10
without ENS 13.77 13.50 13.07 13.91 13.61 13.15 14.21 14.03 13.49 13.86 13.59 13.09
E[ENS UC] [MWh] 2.21 3.21 19.09 6.16 2.95 3.69 1.47 1.32 1.71 15.52 2.26 0.81
E[TOC ED] [Me] 13.72 15.38 15.01 13.71 14.42 13.60 13.69 13.57 13.01 13.65 13.95 13.32
without ENS 13.51 13.33 12.96 13.60 13.38 12.96 13.67 13.53 12.96 13.59 13.39 12.96
E[ENS ED] [MWh] 20.31 204.46 205.27 11.35 103.73 63.68 1.64 4.69 5.44 5.46 55.92 36.01
E[WUF ED] [%] 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0
E[TOC UC] [Me] 28.79 28.47 27.72 28.36 28.04 27.29 30.61 28.73 29.17 28.70 28.81 27.47
without ENS 28.77 28.07 27.33 28.25 28.03 27.15 30.36 28.65 28.94 28.69 28.25 27.41
E[ENS UC] [MWh] 1.92 40.20 39.10 11.17 1.14 14.12 24.55 8.02 22.90 1.82 56.13 6.05
E[TOC ED] [Me] 28.43 33.55 31.08 28.49 30.06 28.21 28.43 28.11 27.23 28.26 28.95 27.42
without ENS 28.20 27.58 26.94 27.88 27.66 26.99 28.43 27.94 27.10 28.23 27.85 27.10
E[ENS ED] [MWh] 22.66 596.58 414.03 61.18 240.15 122.12 0.95 16.56 12.77 2.77 109.51 31.48
E[WUF ED] [%] 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0
E[TOC UC] [Me] 7.60 6.93 6.06 7.33 7.05 6.01 8.60 8.10 6.74 8.17 7.75 6.44
without ENS 7.55 6.92 6.01 7.31 7.03 5.96 8.42 7.99 6.73 8.05 7.50 6.35
E[ENS UC] [MWh] 5.18 1.56 5.42 1.94 1.71 5.82 18.67 10.89 1.06 12.15 24.92 8.85
E[TOC ED] [Me] 10.06 17.93 17.57 9.90 11.90 12.21 8.12 8.12 6.73 8.10 8.52 6.33
without ENS 7.41 6.83 6.00 7.21 6.96 5.74 7.95 7.58 6.25 7.86 7.36 5.60
E[ENS ED] [MWh] 265.71 1110.45 1156.98 269.66 493.95 646.90 17.67 54.03 48.32 24.19 115.46 73.16
E[WUF ED] [%] 96.8 97.2 98.1 97.4 97.4 98.3 96.0 96.7 98.0 96.6 96.4 97.9
E[TOC UC] [Me] 2.49 4.47 2.20 2.56 2.46 2.12 3.10 2.82 - 2.82 2.75 2.31
without ENS 2.49 4.47 2.19 2.55 2.43 2.10 2.95 2.76 - 2.80 2.72 2.31
E[ENS UC] [MWh] 0.06 0.13 0.70 0.67 3.74 2.07 14.26 6.14 - 1.63 2.50 0.30
E[TOC ED] [Me] 5.63 10.29 10.51 3.92 6.85 7.07 2.95 3.00 - 3.23 4.18 3.11
without ENS 2.47 4.49 2.24 2.53 2.45 2.19 2.72 2.68 - 2.75 2.71 2.28
E[ENS ED] [MWh] 316.02 579.67 827.42 138.71 440.00 488.22 23.06 31.62 - 47.79 146.57 82.58
E[WUF ED] [%] 92.6 94.7 94.7 93.0 94.1 95.5 90.8 95.2 - 93.9 94.8 94.8

evaluating the expected cost of load shedding and the expected was stopped due to the imposed time limit (100,000 seconds).
cost of scheduling additional capacity. Due to the limited In one case, no solution was found (week 52, Morales, SR,
number of scenarios, the probability of load shedding during NSR & PHES). In all other cases, the dual gap was below
ED on some particular days may however be underestimated. 3.8%. SUC problems considering scenario sets obtained with
In seven cases, this leads to an expected TOC during dispatch the SRT proposed by Morales et al. and Dupacova et al. were
that exceeds that obtained with the UC schedule corresponding typically more difficult to solve, but no clear trends could be
to the Morales SRT (see Table ??), typically the result of high identified.
ENS volumes on one day in these weeks. This can however
IV. C ONCLUSION
be resolved by considering more scenarios in the UC phase,
as the expected TOC without the cost of ENS in Table ?? Uncertainty in power systems can be adequately in-
illustrates. Selecting more scenarios will increase the expected corporated in short-term power system scheduling models
TOC of the UC phase and lower the expected volume of ENS, through using stochastic programming-techniques. The re-
hence expected TOC, of the ED phase. This effect is much sulting stochastic unit commitment models employ a direct
stronger for the solutions based on scenario sets obtained with representation of the uncertainty under the form of discrete
the SRT proposed in this paper than for those obtained with scenarios to optimally trade-off (i) the socio-economic cost of
the technique proposed by Morales et al. Indeed, the difference load shedding and curtailment of excess electricity generation
in expected ENS volumes is much smaller for these solutions, from renewable energy sources and (ii) the cost of reserve
indicating a much smaller potential for improvement. provision and deployment. However, the quality of this trade-
off is fully dependent on the considered scenarios. Computa-
C. Computational performance tional tractability requires the set used to be sufficiently small.
The calculation time to solve a SUC model is O(104 s). It is therefore critical to ex-ante define those scenarios that
Considering all SRTs and UC strategies, the median calcula- will trigger the optimal unit commitment schedule, without
tion times is approx. 22,000 seconds. In 75% of all cases an affecting the solution stability.
optimal solution is reached in 51,000 seconds. In approx. 20% Probability distance-based scenario reduction techniques
of all cases, the dual gap is not reached and the optimization (SRTs) are by far the most-used SRTs. Various cost functions,
i.e. metrics to distinguish between two scenarios in these SRTs,
are in use. In an extensive numerical case study, we show that
different cost functions may have a significant impact on the
scenarios selected and the resulting total operational cost. The
cost function proposed by Dupacova et al. is generic, thus
readily applicable in a wide range of problems, but leads to
poor results in a stochastic unit commitment setting. The risk-
averse character of the cost function proposed by Morales et
al. leads to low energy not served volumes and low expected
operational costs, but may be over-conservative. We propose
a risk-neutral cost function, which allows reaching a stable
solution with a scenario set of reasonable size.
This research may be strengthened in the following ways.
First, the numerical analysis presented above may be extended.
For example, the impact of other power system characteristics,
longer time periods, larger scenario sets and other sources
of uncertainty may be tested. Second, the presented research
would greatly benefit from further positioning w.r.t. recently
published SRTs, such as the moment matching-inspired tech-
niques proposed by Papavasiliou et al. [?], [?] and Li et al. [?]
or novel clustering techniques, developed by, a.o., Feng and
Ryan [?], [?], [?].