Ordoudis, ChristosNguyen, Viet AnhKuhn, DanielPinson, Pierre2018-12-022018-12-022018-12-02202110.1016/j.orl.2021.01.012https://infoscience.epfl.ch/handle/20.500.14299/151667We develop a two-stage stochastic program for energy and reserve dispatch of a joint power and gas system with a high penetration of renewables. Data-driven distributionally robust chance constraints ensure that there is no load shedding and renewable spillage with high probability. We solve this problem efficiently using conditional value-at-risk approximations and linear decision rules. Out-of-sample experiments show that this model dominates the corresponding stochastic program without chance constraints that models the effects of load shedding and renewable spillage explicitly.Distributionally robust optimizationEnergy and reserve dispatchJoint chance constraintsWasserstein metrictext::journal::journal article::research article