Department of Mathematical Sciences
Colloquium
Friday, October 24th, 2025
11:00AM-11:50AM
Stratton Hall 202
Speaker: Ronnie Sircar, Princeton University
Title: ORFEUS -- Operational Risk Financialization of Electricity under Stochasticity
Abstract: We describe part of a multi-year project, sponsored by ARPA-E, to quantify, allocate and account for the risk introduced to electricity grids due to the unpredictable reliability of production from renewables. Incorporating this stochasticity into grid risk management is viewed by the industry (which has remained almost entirely tethered to a deterministic viewpoint, and in particular to weather forecasts) as increasingly crucial, as we aim for greater renewables penetration to reduce dependence on carbon-emitting fuels. Our methodology involves feeding Monte Carlo simulations of solar, wind and demand into a grid optimization software that emulates the performance and costs of the Texas electricity grid. This outputs a distribution of running costs, from which we can numerically extract a measure of system (grid) risk. The more challenging part is to allocate this risk back (top down) to the individual renewable assets to assign them a reliability cost. This adapts existing approaches for the risk allocation problem related to Shapley values, but is computationally intense. We show results, project to potential future grids, and propose a way to incorporate the reliability costs back into the day ahead bid curve and thereby re-optimize unit commitment and economic dispatch of assets taking into (some) account the stochasticity.
Note: This event is hybrid. Zoom link available on request.