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Stochastic dual dynamic programming applied to nonconvex hydrothermal models

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  • Cerisola, Santiago
  • Latorre, Jesus M.
  • Ramos, Andres

Abstract

In this paper we apply stochastic dual dynamic programming decomposition to a nonconvex multistage stochastic hydrothermal model where the nonlinear water head effects on production and the nonlinear dependence between the reservoir head and the reservoir volume are modeled. The nonconvex constraints that represent the production function of a hydro plant are approximated by McCormick envelopes. These constraints are split into smaller regions and the McCormick envelopes are used for each region. We use binary variables for this disjunctive programming approach and solve the problem with a decomposition method. We resort to a variant of the L-shaped method for solving the MIP subproblem with binary variables at any stage inside the stochastic dual dynamic programming algorithm. A realistic large-scale case study is presented.

Suggested Citation

  • Cerisola, Santiago & Latorre, Jesus M. & Ramos, Andres, 2012. "Stochastic dual dynamic programming applied to nonconvex hydrothermal models," European Journal of Operational Research, Elsevier, vol. 218(3), pages 687-697.
  • Handle: RePEc:eee:ejores:v:218:y:2012:i:3:p:687-697
    DOI: 10.1016/j.ejor.2011.11.040
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    13. Hohmann, Marc & Warrington, Joseph & Lygeros, John, 2020. "A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems," European Journal of Operational Research, Elsevier, vol. 283(1), pages 16-32.
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    17. Tejada-Arango, Diego A. & Wogrin, Sonja & Siddiqui, Afzal S. & Centeno, Efraim, 2019. "Opportunity cost including short-term energy storage in hydrothermal dispatch models using a linked representative periods approach," Energy, Elsevier, vol. 188(C).

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