  This paper addresses two vital issues which are barely discussed in the
literature on robust unit commitment (RUC): 1) how much the potential
operational loss could be if the realization of uncertainty is beyond the
prescribed uncertainty set; 2) how large the prescribed uncertainty set should
be when it is used for RUC decision making. In this regard, a robust
risk-constrained unit commitment (RRUC) formulation is proposed to cope with
large-scale volatile and uncertain wind generation. Differing from existing RUC
formulations, the wind generation uncertainty set in RRUC is adjustable via
choosing diverse levels of operational risk. By optimizing the uncertainty set,
RRUC can allocate operational flexibility of power systems over spatial and
temporal domains optimally, reducing operational cost in a risk-constrained
manner. Moreover, since impact of wind generation realization out of the
prescribed uncertainty set on operational risk is taken into account, RRUC
outperforms RUC in the case of rare events. Three algorithms based on column
and constraint generation (C&CG) are derived to solve the RRUC. As the proposed
algorithms are quite general, they can also apply to other RUC models to
improve their computational efficiency. Simulations on a modified IEEE 118-bus
system demonstrate the effectiveness and efficiency of the proposed methodology
