Data-Driven Risk-Aware Approximate Dynamic Programming Algorithm for Resilient Power System Operation Under High Renewable Uncertainty

The accelerating integration of renewable energy sources into modern power grids has created unprecedented operational challenges, with significant system cost volatility under extreme uncertainty events. To address this challenge, this paper presents a risk-aware stochastic approximate dynamic programming (SADP) algorithm based on machine learning and parallel computing architectures. The algorithm learns optimal coordination strategies for source-grid-load-storage resources while explicitly quantifying and mitigating tail risk events that conventional approaches overlook. First, a risk-averse stochastic optimization model is constructed, which captures the complex interdependencies between renewable generation uncertainty, demand variability, and flexible resource coordination through second-order cone programming formulations. This model integrates the GlueVaR (Glued Value-at-Risk) metric, enabling simultaneous optimization across multiple risk horizons with adjustable conservatism parameters. Second, to solve the established model efficiently, an SADP algorithm based on risk-averse approximate value functions (RAVFs) is proposed, in which the training process of the RAVFs employs machine learning principles to directly encode risk preferences into operational decisions. By integrating GlueVaR into offline training across 5000 probabilistically weighted scenarios, the algorithm discovers emergent coordination patterns between distributed resources, which are rarely identified by human operators. Third, a large-scale parallel computing architecture is implemented for the SADP algorithm. This architecture decomposes the multi-period optimization problem into single-period coordinated sub-problems. During offline training, parallel computing of a series of single-period sub-problems can be performed across all probabilistic scenarios, significantly reducing training time. Extensive validation on both the modified IEEE 33-bus and 69-bus systems with integrated wind turbines, photovoltaic plants, energy storage systems, and demand response capabilities demonstrates remarkable performance improvements. Convergence analysis reveals that the AVFs stabilize within 30 training iterations, achieving sub-160 s solution times in online application even for complex networks with heterogeneous resources. By enabling real-time risk-aware decision-making under severe uncertainty, the proposed method provides grid operators with actionable strategies that balance economic efficiency and operational resilience.