Large-scale Unit Commitment under uncertainty

The Unit Commitment problem in energy management aims at finding the optimal productions schedule of a set of generation units while meeting various system‐wide constraints. It has always been a large‐scale, non‐convex difficult problem, especially in view of the fact that operational requirements imply that it has to be solved in an unreasonably small time for its size. Recently, the ever increasing capacity for renewable generation has strongly increased the level of uncertainty in the system, making the (ideal) Unit Commitment model a large‐scale, non‐convex, uncertain (stochastic, robust, chance‐constrained) program. We provide a survey of the literature on methods for the Uncertain Unit Commitment problem, in all its variants. We start with a review of the main contributions on solution methods for the deterministic versions of the problem, focusing on those based on mathematical programming techniques that are more relevant for the uncertain versions of the problem. We then present and categorize the approaches to the latter, also providing entry points to the relevant literature on optimization under uncertainty.