Stochastic dual dynamic programming applied to nonconvex hydrothermal models
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ejor.2011.11.040
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Latorre, Jesus M & Cerisola, Santiago & Ramos, Andres, 2007. "Clustering algorithms for scenario tree generation: Application to natural hydro inflows," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1339-1353, September.
- Matthias Nowak & Werner Römisch, 2000. "Stochastic Lagrangian Relaxation Applied to Power Scheduling in a Hydro-Thermal System under Uncertainty," Annals of Operations Research, Springer, vol. 100(1), pages 251-272, December.
- Jeff Linderoth & Alexander Shapiro & Stephen Wright, 2006. "The empirical behavior of sampling methods for stochastic programming," Annals of Operations Research, Springer, vol. 142(1), pages 215-241, February.
- David P. Morton, 1998. "Stopping Rules for a Class of Sampling-Based Stochastic Programming Algorithms," Operations Research, INFORMS, vol. 46(5), pages 710-718, October.
- C. Beltran-Royo, 2009. "The radar method: an effective line search for piecewise linear concave functions," Annals of Operations Research, Springer, vol. 166(1), pages 299-312, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gómez-Pérez, Jesús D. & Latorre-Canteli, Jesus M. & Ramos, Andres & Perea, Alejandro & Sanz, Pablo & Hernández, Francisco, 2024. "Improving operating policies in stochastic optimization: An application to the medium-term hydrothermal scheduling problem," Applied Energy, Elsevier, vol. 359(C).
- Martin N. Hjelmeland & Arild Helseth & Magnus Korpås, 2019. "Medium-Term Hydropower Scheduling with Variable Head under Inflow, Energy and Reserve Capacity Price Uncertainty," Energies, MDPI, vol. 12(1), pages 1-15, January.
- Egging, Ruud, 2013. "Benders Decomposition for multi-stage stochastic mixed complementarity problems – Applied to a global natural gas market model," European Journal of Operational Research, Elsevier, vol. 226(2), pages 341-353.
- Fredo, Guilherme Luiz Minetto & Finardi, Erlon Cristian & de Matos, Vitor Luiz, 2019. "Assessing solution quality and computational performance in the long-term generation scheduling problem considering different hydro production function approaches," Renewable Energy, Elsevier, vol. 131(C), pages 45-54.
- Schäffer, Linn Emelie & Helseth, Arild & Korpås, Magnus, 2022. "A stochastic dynamic programming model for hydropower scheduling with state-dependent maximum discharge constraints," Renewable Energy, Elsevier, vol. 194(C), pages 571-581.
- Duenas, Pablo & Ramos, Andres & Tapia-Ahumada, Karen & Olmos, Luis & Rivier, Michel & Pérez-Arriaga, Jose-Ignacio, 2018. "Security of supply in a carbon-free electric power system: The case of Iceland," Applied Energy, Elsevier, vol. 212(C), pages 443-454.
- Zhang, Chaoyi & Jiao, Zaibin & Liu, Junshan & Ning, Keer, 2023. "Robust planning and economic analysis of park-level integrated energy system considering photovoltaic/thermal equipment," Applied Energy, Elsevier, vol. 348(C).
- Steeger, Gregory & Rebennack, Steffen, 2017. "Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: An application to the strategic bidding problem," European Journal of Operational Research, Elsevier, vol. 257(2), pages 669-686.
- Silva, Rodolfo Rodrigues Barrionuevo & Martins, André Christóvão Pio & Soler, Edilaine Martins & Baptista, Edméa Cássia & Balbo, Antonio Roberto & Nepomuceno, Leonardo, 2022. "Two-stage stochastic energy procurement model for a large consumer in hydrothermal systems," Energy Economics, Elsevier, vol. 107(C).
- Lohmann, Timo & Hering, Amanda S. & Rebennack, Steffen, 2016. "Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling," European Journal of Operational Research, Elsevier, vol. 255(1), pages 243-258.
- Zhong, Zhiming & Fan, Neng & Wu, Lei, 2024. "Multistage Stochastic optimization for mid-term integrated generation and maintenance scheduling of cascaded hydroelectric system with renewable energy uncertainty," European Journal of Operational Research, Elsevier, vol. 318(1), pages 179-199.
- Chaves, Caio Nogueira & da Silva, Tiago Forti & Gaspar, João Paulo Manarelli & Martins, André Christóvão Pio & Soler, Edilaine Martins & Balbo, Antonio Roberto & Nepomuceno, Leonardo, 2025. "Adaptive stochastic approach for solving long-term hydrothermal scheduling problems," Applied Energy, Elsevier, vol. 378(PA).
- 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.
- Escudero, Laureano F. & Monge, Juan F. & Rodríguez-Chía, Antonio M., 2020. "On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty," European Journal of Operational Research, Elsevier, vol. 287(1), pages 262-279.
- Moreira, Alexandre & Pozo, David & Street, Alexandre & Sauma, Enzo & Strbac, Goran, 2021. "Climate‐aware generation and transmission expansion planning: A three‐stage robust optimization approach," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1099-1118.
- Rodríguez, Jesús A. & Anjos, Miguel F. & Côté, Pascal & Desaulniers, Guy, 2021. "Accelerating Benders decomposition for short-term hydropower maintenance scheduling," European Journal of Operational Research, Elsevier, vol. 289(1), pages 240-253.
- 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).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Güzin Bayraksan & David P. Morton, 2011. "A Sequential Sampling Procedure for Stochastic Programming," Operations Research, INFORMS, vol. 59(4), pages 898-913, August.
- Anthony Papavasiliou & Shmuel S. Oren, 2013. "Multiarea Stochastic Unit Commitment for High Wind Penetration in a Transmission Constrained Network," Operations Research, INFORMS, vol. 61(3), pages 578-592, June.
- Panos Parpas & Berk Ustun & Mort Webster & Quang Kha Tran, 2015. "Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach," INFORMS Journal on Computing, INFORMS, vol. 27(2), pages 358-377, May.
- Maria Vespucci & Francesca Maggioni & Maria Bertocchi & Mario Innorta, 2012. "A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants," Annals of Operations Research, Springer, vol. 193(1), pages 91-105, March.
- Jangho Park & Rebecca Stockbridge & Güzin Bayraksan, 2021. "Variance reduction for sequential sampling in stochastic programming," Annals of Operations Research, Springer, vol. 300(1), pages 171-204, May.
- Yankai Cao & Carl D. Laird & Victor M. Zavala, 2016. "Clustering-based preconditioning for stochastic programs," Computational Optimization and Applications, Springer, vol. 64(2), pages 379-406, June.
- Michael Freimer & Jeffrey Linderoth & Douglas Thomas, 2012. "The impact of sampling methods on bias and variance in stochastic linear programs," Computational Optimization and Applications, Springer, vol. 51(1), pages 51-75, January.
- Luis Montero & Antonio Bello & Javier Reneses, 2022. "A Review on the Unit Commitment Problem: Approaches, Techniques, and Resolution Methods," Energies, MDPI, vol. 15(4), pages 1-40, February.
- Zéphyr, Luckny & Lang, Pascal & Lamond, Bernard F. & Côté, Pascal, 2017. "Approximate stochastic dynamic programming for hydroelectric production planning," European Journal of Operational Research, Elsevier, vol. 262(2), pages 586-601.
- Alexandre Forel & Martin Grunow, 2023. "Dynamic stochastic lot sizing with forecast evolution in rolling‐horizon planning," Production and Operations Management, Production and Operations Management Society, vol. 32(2), pages 449-468, February.
- Chen, Lijian, 2020. "Determine the cost of denying boarding to passengers: An optimization-based approach," International Journal of Production Economics, Elsevier, vol. 220(C).
- Hongling, Liu & Chuanwen, Jiang & Yan, Zhang, 2008. "A review on risk-constrained hydropower scheduling in deregulated power market," Renewable and Sustainable Energy Reviews, Elsevier, vol. 12(5), pages 1465-1475, June.
- Thomas Bittar & Pierre Carpentier & Jean-Philippe Chancelier & Jérôme Lonchampt, 2022. "A decomposition method by interaction prediction for the optimization of maintenance scheduling," Annals of Operations Research, Springer, vol. 316(1), pages 229-267, September.
- Schulze, Tim & McKinnon, Ken, 2016. "The value of stochastic programming in day-ahead and intra-day generation unit commitment," Energy, Elsevier, vol. 101(C), pages 592-605.
- Emelogu, Adindu & Chowdhury, Sudipta & Marufuzzaman, Mohammad & Bian, Linkan & Eksioglu, Burak, 2016. "An enhanced sample average approximation method for stochastic optimization," International Journal of Production Economics, Elsevier, vol. 182(C), pages 230-252.
- Xiaotie Chen & David L. Woodruff, 2024. "Distributions and bootstrap for data-based stochastic programming," Computational Management Science, Springer, vol. 21(1), pages 1-21, June.
- Miao Bai & Bjorn Berg & Esra Sisikoglu Sir & Mustafa Y. Sir, 2023. "Partially partitioned templating strategies for outpatient specialty practices," Production and Operations Management, Production and Operations Management Society, vol. 32(1), pages 301-318, January.
- Halit Üster & Sung Ook Hwang, 2017. "Closed-Loop Supply Chain Network Design Under Demand and Return Uncertainty," Transportation Science, INFORMS, vol. 51(4), pages 1063-1085, November.
- Fei, Xin & Gülpınar, Nalân & Branke, Jürgen, 2019. "Efficient solution selection for two-stage stochastic programs," European Journal of Operational Research, Elsevier, vol. 277(3), pages 918-929.
- Löhndorf, Nils, 2016. "An empirical analysis of scenario generation methods for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 255(1), pages 121-132.
More about this item
Keywords
Programming: stochastic; Integer; Benders decomposition; Lagrangean relaxation; Stochastic dual dynamic programming; Production/scheduling: planning;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:218:y:2012:i:3:p:687-697. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.