Importance Sampling with Analog Scenarios for Stochastic Economic Dispatch

Research output: NRELPoster


Increasing penetrations of renewable energy sources such as wind into power grids motivates the investigation of new approaches to 5-minute economic dispatch computation. In this poster, we investigate the application of importance sampling in the two-stage stochastic economic dispatch problem while using historical data to characterize uncertainty. In our numerical experiments, we observe that importance sampling performs better than the standard Monte Carlo sampling approach in preventing loss-of-load. While first-stage costs are comparable for both sampling methods, the second-stage costs are significantly reduced when the importance sampling method is employed.
Original languageAmerican English
StatePublished - 2018

Publication series

NamePresented at the Energy Systems and Optimization Workshop 2018, 15-16 November 2018, Atlanta, Georgia

NREL Publication Number

  • NREL/PO-2C00-72784


  • analog forecasting
  • economic dispatch
  • electric grid
  • importance sampling
  • integration
  • wind energy


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