A stochastic integer programming model for incorporating day-ahead trading of electricity into hydro-thermal unit commitment

作     者：Nowak, MP Schultz, R Westphalen, M 

作者机构：Univ Duisburg Essen Dept Math D-47048 Duisburg Germany SINTEF Ind Management NO-7465 Trondheim Norway 

出 版 物：《OPTIMIZATION AND ENGINEERING》 (最优化与工程学)

年 卷 期：2005年第6卷第2期

页      面：163-176页

核心收录：

学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 08[工学] 0701[理学-数学] 

主　　题：stochastic integer programming power optimization 

摘      要：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.