Neural Risk Limiting Dispatch in Power Networks: Formulation and Generalization Guarantees

Abstract: Risk limiting dispatch (RLD) has been proposed as an approach that effectively trades off economic costs with operational risks for power dispatch under uncertainty. However, how to solve the RLD problem with provably near-optimal performance still remains an open problem. This paper presents a learning-based solution to this challenge. We first design a data-driven formulation for the RLD problem, which aims to construct a decision rule that directly maps day-ahead observable information to cost-effective dispatch decisions for the future delivery interval. Unlike most existing works that follow a predict-then-optimize paradigm, this end-to-end rule bypasses the additional suboptimality introduced by separately handling prediction and optimization. We then propose neural RLD, a novel solution method to the data-driven formulation. This method leverages an L2-regularized neural network to learn the decision rule, thereby transforming the data-driven formulation into a neural network training task that can be efficiently completed by stochastic gradient descent. A theoretical performance guarantee is further established to bound the suboptimality of our method, which implies that its suboptimality approaches zero with high probability as more samples are utilized. Simulation tests across various systems demonstrate our method's superior performance in convergence, suboptimality, and computational efficiency compared with benchmarks.