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Hydro-storage subproblems in power generation: An approach with a relaxation method for network flow problems

Please always quote using this URN:urn:nbn:de:0296-matheon-1146
  • Mathematical models for the electricity portfolio management of a utility that owns a hydro-thermal generation system and trades on the power market often lead to complex stochastic optimization problems. We present a new approach to solving stochastic hydro-storage subproblems that occur when stochastic Lagrangian relaxation is applied to solving such models. The special structure of such hydro-storage subproblems allows the design of a stochastic network flow algorithm. The algorithm represents a stochastic extension of a relaxation method, that algorithmically solves the linear minimum cost flow problem. It is based on the iterative improvement of dual costs. Numerical experience of the new algorithm is reported and its performance is compared with that of standard LP software .

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Metadaten
Author:Holger Heitsch, Werner Römisch
URN:urn:nbn:de:0296-matheon-1146
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:113
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