Add Unserved energy Conditional Value at Risk (CVAR) metric#100
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…capacity calculations
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sriharisundar
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Please address any explicit comments I have here (moving _cvar and _ncvar to utils.jl, potentially rename dim to quantity, print CVAR unit based on dim rather than just using E), and merge!
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LGTM, please squash and merge. We will update versions across packages when we merge couple other PRs. Thanks for the patience :) |
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Thanks Hari, will merge now. |
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Summary
This PR adds the Conditional Value at Risk (CVAR) metric to quantify tail-risk shortfalls in resource adequacy assessments. CVAR measures the expected unserved energy across the worst (1−α) simulation samples, where α is a user-defined confidence level (e.g., 0.95).
This PR implements CVAR for unserved energy on both
ShortfallResultandShortfallSamplesResult. CVAR for other dimensions (duration, magnitude) is out of scope and left for a follow-up.Methodology
CVAR is computed as the weighted average of total unserved energy samples that exceed the α-th percentile (VAR). For
ShortfallResult, an additional vector of per-sample total unserved energy is accumulated during simulation and discarded after CVAR computation (Type 1 in figure below).implementation
Performance testing
@benchmarktesting forShortfallandShortfallSamples. There is a slight increase in memory use in theShortfalldue to the additional vector storing the total unserved energy across all samples.