Long- and Medium-term Operations Planning and Stochastic Modelling in Hydro-dominated Power Systems Based on Stochastic Dual Dynamic Programming

This chapter reviews how stochastic dual dynamic programming (SDDP) has been applied to hydropower scheduling in the Nordic countries. The SDDP method, developed in Brazil, makes it possible to optimize multi-reservoir hydro systems with a detailed representation. Two applications are described: (1) A model intended for the system of a single power company, with the power price as an exogenous stochastic variable. In this case the standard SDDP algorithm has been extended; it is combined with ordinary stochastic dynamic programming. (2) A global model for a large system (possibly many countries) where the power price is an internal (endogenous) variable. The main focus is on (1). The modelling of the stochastic variables is discussed. Setting up proper stochastic models for inflow and price is quite a challenge, especially in the case of (2) above. This is an area where further work would be useful. Long computing time may in some cases be a consideration. In particular, the local model has been used by utilities with good results.