A simple recourse model for power dispatch under uncertain demand

A simple recourse model for power dispatch under uncertain demand

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Article ID: iaor1996172
Country: Switzerland
Volume: 59
Issue: 1
Start Page Number: 135
End Page Number: 164
Publication Date: Sep 1995
Journal: Annals of Operations Research
Authors: , ,
Keywords: scheduling
Abstract:

Optimal power dispatch under uncertainty of power demand is tackled via a stochastic programming model with simple recourse. The decision variables correspond to generation policies of a system comprising thermal units, pumped storage plants and energy contracts. The paper is a case study to test the kernel estimation method in the context of stochastic programming. Kernel estimates are used to approximate the unknown probability distribution of power demand. General stability results from stochastic programming yield the asymptotic stability of optimal solutions. Kernel estimates lead to favourable numerical properties of the recourse model (no numerical integration, the optimization problem is smooth convex and of moderate dimension). Test runs based on real-life data are reported. The authors compute the value of the stochastic solution for different problem instances and compare the stochastic programming solution with deterministic solutions involving adjusted demand portions.

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