Stochastic unit commitment problem

The electric power industry is undergoing restructuring and deregulation. We need to incorporate the uncertainty of electric power demand or power generators into the unit commitment problem. The unit commitment problem is to determine the schedule of power generating units and the generating level of each unit. The objective is to minimize the operational cost which is given by the sum of the fuel cost and the start-up cost. In this paper we propose a new algorithm for the stochastic unit commitment problem which is based on column generation approach. The algorithm continues adding schedules from the dual solution of the restricted linear master program until the algorithm cannot generate new schedules. The schedule generation problem is solved by the calculation of dynamic programming on the scenario tree.