TY - GEN A1 - Caröe, Claus C. A1 - Schultz, Rüdiger T1 - A Two-Stage Stochastic Program for Unit Commitment Under Uncertainty in a Hydro-Thermal Power System N2 - We develop a two-stage stochastic programming model with integer first-stage and mixed-integer recourse for solving the unit commitment problem in power generation in the presence of uncertainty of load profiles. The solution methodology rests on a novel scenario decomposition method for stochastic integer programming. This method combines Lagrangian relaxation of non-anticipativity constraints with branch-and-bound. It can be seen as a decomposition algorithm for large-scale mixed-integer linear programs with block-angular structure. With realistic data from a German utility we validate our model and carry out test runs. Sizes of these problems go up to 20.000 integer and 150.000 continuous variables together with up to 180.000 constraints. T3 - ZIB-Report - SC-98-11 KW - Programming KW - stochastic:Scenario Decomposition if mixed-integer programs KW - Natural resourses KW - energy:Unit commitment under uncertainty Y1 - 1998 UR - https://opus4.kobv.de/opus4-zib/frontdoor/index/index/docId/354 UR - https://nbn-resolving.org/urn:nbn:de:0297-zib-3543 ER -