9. Multi-stage Modeling of the Generation Expansion Planning

This chapter describes a generation expansion problem in which investment decisions can be made at different stages along the planning horizon. This planning problem usually consists of a long-term decision process that is subject to multiple uncertain sources. Therefore, a precise representation of the evolution of the uncertain parameters helps the decision maker to adopt the optimal solutions considering its final targets. In this chapter, a multi-stage investment model in generation capacity considering long-term uncertainties is presented. Specifically, the demand growth per year and the investment costs of the units are characterized as random variables. The proposed model is formulated using two different approaches, namely stochastic programming and linear decision rules. These approaches differ in how the uncertain parameters are represented. Illustrative examples are provided to ease the understanding of the proposed formulations. A realistic case study based on the European power system is solved. The outcomes obtained from the stochastic and linear decision rules approaches are compared for different number of decision stages.