Nonconvex Medium-Term Hydropower Scheduling by Stochastic Dual Dynamic integer Programming
M. N. Hjelmeland(martin.hjelmelandntnu.no)
Abstract: Hydropower producers rely on stochastic optimization when scheduling their resources over long periods of time. Due to its computational complexity, the optimization problem is normally cast as a stochastic linear program. In a future power market with more volatile power prices, it becomes increasingly important to capture parts of the hydropower operational characteristics that are not easily linearized, e.g. unit commitment and nonconvex generation curves. Stochastic dual dynamic programming (SDDP) is a state-of-the-art algorithm for long- and medium-term hydropower scheduling with a linear problem formulation. A recently proposed extension of the SDDP method known as stochastic dual dynamic integer programming (SDDiP) has proven convergence also in the nonconvex case. We apply the SDDiP algorithm to the medium-term hydropower scheduling (MTHS) problem and elaborate on how to incorporate stagewise dependent stochastic variables in the right-hand sides and the objective of the optimization problem. Finally, we demonstrate the capability of the SDDiP algorithm on a case study for a Norwegian hydropower producer. The case study demonstrates that it is possible but time-consuming to solve the MTHS problem to optimality. However, a new type of cut known as strengthened Benders' cut significantly contributes to closing the optimality gap compared to classical Benders cuts.
Keywords: Stochastic processes, Dynamic programming, Hydroelectric power generation, Integer programming.
Category 1: Other Topics (Dynamic Programming )
Category 2: Stochastic Programming
Category 3: Applications -- OR and Management Sciences (Scheduling )
Citation: Submitted for publication, 2017.
Entry Submitted: 10/23/2017
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