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A Two-Stage Stochastic Program for Unit Commitment Under Uncertainty in a Hydro-Thermal Power System

Please always quote using this URN: urn:nbn:de:0297-zib-3543
  • 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.

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Metadaten
Author:Claus C. Caröe, Rüdiger Schultz
Document Type:ZIB-Report
Tag:Natural resourses; Programming; energy:Unit commitment under uncertainty; stochastic:Scenario Decomposition if mixed-integer programs
Date of first Publication:1998/03/16
Series (Serial Number):ZIB-Report (SC-98-11)
ZIB-Reportnumber:SC-98-11
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