SC 98-11 Claus C. Caröe, Rüdiger Schultz: A Two-Stage Stochastic Program for Unit Commitment Under
Uncertainty in a Hydro-Thermal Power System
Abstract: 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.
Keywords: Programming,
stochastic:Scenario Decomposition if mixed-integer programs,
Natural resourses,
energy:Unit commitment under uncertainty