Publication Date:
2014-02-26
Description:
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:
ddc:000
Language:
English
Type:
reportzib
,
doc-type:preprint
Format:
application/postscript
Format:
application/pdf