An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling

An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling

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Article ID: iaor19971412
Country: Netherlands
Volume: 64
Issue: 1
Start Page Number: 211
End Page Number: 235
Publication Date: Jun 1996
Journal: Annals of Operations Research
Authors:
Keywords: scheduling, programming: probabilistic
Abstract:

Handling uncertainty in natural inflow is an important part of a hydroelectric scheduling model. In a stochastic programming formulation, natural inflow may be modeled as a random vector with known distribution, but the size of the resulting mathematical program can be formidable. Decomposition-based algorithms take advantage of special structure and provide an attractive approach to such problems. The paper develops an enhanced Benders decomposition algorithm for solving multistage stochastic linear programs. The enhancements include warm start basis selection, preliminary cut generation, the multicut procedure, and decision tree traversing strategies. Computational results are presented for a collection of stochastic hydroelectric scheduling problems.

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