Decision-Centric Uncertainty Sets for Storage Arbitrage: Integrating Estimation and Optimization
Traditional uncertainty optimization methods employ a two-stage paradigm that separates uncertainty estimation from decision-making, often yielding suboptimal solutions. To address this issue, this letter proposes a decision-centric uncertainty set approach for risk-averse storage arbitrage, which integrates estimation and optimization through a tailored decision-centric gradient based on the implicit function theorem and a statistically valid size calibration method. The proposed framework achieves 35.1% higher profitability than robust optimization (RO) and 12.2% higher than distributionally robust optimization (DRO), while ensuring the desired risk coverage.
Authors
- Yinliang Xu (ORCID: https://orcid.org/0000-0001-5149-5101)
- Jeremy D. Watson (ORCID: https://orcid.org/0000-0002-6326-8309)
- Jinfeng Wang (ORCID: https://orcid.org/0000-0002-6687-9420)
- Jian Song (ORCID: https://orcid.org/0000-0002-6066-9510)
- Hongbin Sun (ORCID: https://orcid.org/0000-0002-5465-9818)
- Jie Zhu (ORCID: https://orcid.org/0000-0001-8148-1464)
Institutions
- University of Canterbury (NZ)
- Tsinghua–Berkeley Shenzhen Institute (CN)
- China Southern Power Grid (China) (CN)
- Tsinghua University (CN)
Publication Details
- Journal
- IEEE Transactions on Power Systems
- Published
- 2025-09-17
- DOI
- https://doi.org/10.1109/tpwrs.2025.3611152
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 0.00