| edoc-Server der Humboldt-Universität zu Berlin |
| Autor(en): | Darinka Dentcheva; Werner Römisch | Titel: | Optimal Power Generation under Uncertainty via Stochastic Programming |
| Erscheinungsjahr: | 1996 |
| Erschienen in: |
Preprints aus dem Institut für Mathematik 35 (Mathematik-Preprints) ISSN: 0863-0976 |
| Volltext: | pdf (urn:nbn:de:kobv:11-10051917) |
| Fachgebiet(e): | Mathematik |
| Schlagwörter (eng): | Lagrangian relaxation, stochastic programming, hydro-thermal power system, uncertain load, multi-stage, two-stage, mixed-integer, bundle methods |
| Herausgeber: | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik |
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| A power generation system comprising thermal and pumped-storage hydro plants is considered. Two kinds of models for the cost-optimal generation of electric power under uncertain load are introduced: (i) a dynamic model for the short-term operation and (ii) a power production planning model. In both cases, the presence of stochastic data in the optimization model leads to multi-stage and two-stage stochastic programs, respectively. Both stochastic programming problems involve a large number of mixed-integer (stochastic) decisions, but their constraints are loosely coupled across operating power units. This is used to design Lagrangian relaxation methods for both models, which lead to a decomposition into stochastic single unit subproblems. For the dynamic model a Lagrangian decomposition based algorithm is described in more detail. Special emphasis is put on a discussion of the duality gap, the efficient solution of the multi-stage single unit subproblems and on solving the dual problem by bundle methods for convex nondifferentiable optimization. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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