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A mixed-integer stochastic nonlinear optimization problem with joint probabilistic constraints

Please always quote using this URN:urn:nbn:de:0296-matheon-12121
  • We illustrate the solution of a mixed-integer stochastic nonlinear optimization problem in an application of power management. In this application, a coupled system consisting of a hydro power station and a wind farm is considered. The objective is to satisfy the local energy demand and sell any surplus energy on a spot market for a short time horizon. Generation of wind energy is assumed to be random, so that demand satisfaction is modeled by a joint probabilistic constraint taking into account the multivariate distribution. The turbine is forced to either operate between given positive limits or to be shut down. This introduces additional binary decisions. The numerical solution procedure is presented and results are illustrated.

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Metadaten
Author:René Henrion, Andris Möller, Stefan Vigerske, Thomas Arnold
URN:urn:nbn:de:0296-matheon-12121
Referee:Werner Römisch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2013/05/08
Release Date:2013/05/08
Tag:Stochastic optimization, probabilistic constraints, mixed-integer nonlinear programming, power management
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Bxx Operations research and management science / 90B05 Inventory, storage, reservoirs
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C10 Integer programming
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Preprint Number:1009
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