A Gradient-Based Approach for Solving the Stochastic Optimal Power Flow Problem with Wind Power Generation

•Non-differentiability is handled in the Stochastic Optimal Power Flow (SOPF) problem•Exact analytical expressions are derived for the first and second order derivatives of the expected wind power cost function.•The SOPF problem is recast as an NLP problem, which is solvable by solver packages.•An interior/exterior-points method is proposed for solving the recast SOPF model.•The computation times are strongly improved when compared to a Cuckoo Search algorithm. Although wind power generation improves decarbonization of the electricity sector, its increasing penetration poses new challenges for power systems planning, operation and control. In this paper, we propose a solution approach for Stochastic Optimal Power Flow (SOPF) models under uncertainty in wind power generation. Two complicating issues are handled: i) difficulties imposed by probability density functions used to formulate wind power costs and their derivatives; ii) the non-differentiability of the cost function for thermal units. Due to such issues, SOPF models cannot be solved by gradient-based approaches and have been solved by meta-heuristics only. We obtain exact analytical expressions for the first and second order derivatives of wind power costs and propose a technique for handling non-differentiability in thermal costs. The equivalent SOPF model that results from such recasting is a differentiable NLP problem which can be solved by efficient gradient-based algorithms. Finally, we propose a modified log-barrier primal-dual interior/exterior-point method for solving the equivalent SOPF model which, differently from meta-heuristic approaches, is able to calculate important dual variables such as energy prices. Our approach, which is applied to the IEEE 30-, 57- 118- and 300-bus systems, strongly outperforms a meta-heuristic approach in terms of computation times and optimality.