Reliable estimation of small exceedance probabilities for frequency reserve dimensioning in electricity grids
We propose using Fleming-Viot (FV) particle systems to estimate small exceedance probabilities of the electricity grid frequency for the dynamic dimensioning of frequency containment reserves (FCR). The methodology is proposed as a simpler alternative to importance sampling for diffusion processes, which generally requires the optimization of a functional. Under equal sample sizes, the FV estimator can reliably estimate probabilities that are smaller than those estimated with vanilla Monte Carlo by a factor of 10 -4 .
Authors
- Daniel Mastropietro (ORCID: https://orcid.org/0000-0002-9456-7475)
Institutions
- Centre National de la Recherche Scientifique (FR)
- Université Toulouse III - Paul Sabatier (FR)
- Université Fédérale de Toulouse Midi-Pyrénées (FR)
- Institut National Polytechnique de Toulouse (FR)
- Université Toulouse-I-Capitole (FR)
- Institut de Recherche en Informatique de Toulouse (FR)
- Université Toulouse - Jean Jaurès (FR)
- Institut Polytechnique de Bordeaux (FR)
- Vrije Universiteit Amsterdam (NL)
Publication Details
- Journal
- ACM SIGMETRICS Performance Evaluation Review
- Published
- 2026-03-31
- DOI
- https://doi.org/10.1145/3797823.3797861
- Primary Topic
- Statistical Distribution Estimation and Applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00