Optimal Power Generation under Uncertainty via Stochastic Programming

A power generation system comprising thermal and pumpedstorage hydro plants is considered. Two kinds of models for the cost-optimal generation of electric power under uncertain load are introduced: (i) a dynamic model for the short-term operation and (ii) a power production planning model. In both cases the presence of stochastic data in the optimization model leads to multi-stage and two-stage stochastic programs respectively. Both stochastic programming problems involve a large number of mixed-integer (stochastic) decisions but their constraints are loosely coupled across operating power units. This is used to design Lagrangian relaxation methods for both models which lead to a decomposition into stochastic single unit subproblems. For the dynamic model a Lagrangian decomposition based algorithm is described in more detail. Special emphasis is put on a discussion of the duality gap the efficient solution of the multi-stage single unit subproblems and on solving the dual problem by bundle methods for convex nondifferentiable optimization.