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Stochastic unit commitment in hydro-thermal power production planning

Please always quote using this URN:urn:nbn:de:0296-matheon-1131
  • 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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Metadaten
Author:Nicole Gröwe-Kuska, Werner Römisch
URN:urn:nbn:de:0296-matheon-1131
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/02/04
Release Date:2004/03/29
Preprint Number:112
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