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A Stochastic Integer Programming Model for Incorporating Day-Ahead Trading of Electricity into Hydro-Thermal Unit Commitment

Nowak, Matthias P. / Schultz, Rüdiger / Westphalen, Markus

Abstract We develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading in a hydro-thermal system. The model rests on mixed-integer linear formulations for the unit commitment problem and for the price clearing mechanism at the power exchange. Foreign bids enter as random components into the model. We solve the stochastic integer program by a decomposition method combining Lagrangian relaxation of nonanticipativity with branch-and-bound in the spirit of global optimization. Finally, we report some first computational experiences.

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A Stochastic Integer Programming Model for Incorporating Day-Ahead Trading of Electricity into Hydro-Thermal Unit Commitment

Nowak, Matthias P. / Schultz, Rüdiger / Westphalen, Markus

Abstract We develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading in a hydro-thermal system. The model rests on mixed-integer linear formulations for the unit commitment problem and for the price clearing mechanism at the power exchange. Foreign bids enter as random components into the model. We solve the stochastic integer program by a decomposition method combining Lagrangian relaxation of nonanticipativity with branch-and-bound in the spirit of global optimization. Finally, we report some first computational experiences.

A Stochastic Integer Programming Model for Incorporating Day-Ahead Trading of Electricity into Hydro-Thermal Unit Commitment

Nowak, Matthias P. / Schultz, Rüdiger / Westphalen, Markus

Abstract We develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading in a hydro-thermal system. The model rests on mixed-integer linear formulations for the unit commitment problem and for the price clearing mechanism at the power exchange. Foreign bids enter as random components into the model. We solve the stochastic integer program by a decomposition method combining Lagrangian relaxation of nonanticipativity with branch-and-bound in the spirit of global optimization. Finally, we report some first computational experiences.

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Title:

A Stochastic Integer Programming Model for Incorporating Day-Ahead Trading of Electricity into Hydro-Thermal Unit Commitment

Contributors:

Nowak, Matthias P. (author) / Schultz, Rüdiger (author) / Westphalen, Markus (author)

Published in:

Optimization and Engineering ; 6 ; 163-176

Publication date:

2005-06-01

Size:

14 pages

ISSN:

1573-2924 , 1389-4420

DOI:

https://doi.org/10.1007/s11081-005-6794-0

Type of media:

Article (Journal)

Type of material:

Electronic Resource

Language:

English

Keywords:

stochastic integer programming , power optimization Mathematics , Agriculture , Systems Theory, Control , Optimization , Engineering, general , Environmental Management , Operation Research/Decision Theory

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