2005-11-03Buch DOI: 10.18452/2616
Stochastic unit commitment in hydro-thermal power production planning
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
We present a mixed-integer multistage stochastic programming model for the short term unit commitment of a hydro-thermal power system under uncertainty in load, inflow to reservoirs, and prices for fuel and delivery contracts. The model is implemented for uncertain load and tested on realistic data from a German power utility. Load scenario trees are generated by a procedure consisting of two steps: (i) Simulation of load scenarios using an explicit respresentation of the load distribution and (ii) construction of a tree out of these scenarios. The dimension of the corresponding mixed-integer programs ranges up to 200,000 binary and 350,000 continuous variables. The model is solved by a Lagrangian-based decomposition strategy exploiting the loose coupling structure. Solving the Lagrangian dual by a proximal bundle method leads to a successive decomposition into single unit subproblems, which are solved by specific algorithms. Finally, Lagrangian heuristics are used to construct nearly optimal first stage decisions.
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