We consider robust formulations of the mid-term optimal power management problem. For this type of problems, classical approaches minimize the expected generation cost over a horizon of one year, and model the uncertain future by means of scenario trees. In this setting, extreme scenarios -with low probability in the scenario tree- may fail to be well represented. More precisely, when extreme events occur, strategies devised with the classical approach can result in significant financial losses. By contrast, robust techniques can handle well extreme cases. We consider two robust formulations that preserve the separable structure of the original problem, a fundamental issue when solving real-life problems. Numerical results assess the validity and practicality of the approaches.
Optimization, 58 (3), 2009 , 351-371.