Bundle Methods in Stochastic Optimal Power Management: A Disaggregated Approach Using Preconditioners

A specialized variant of bundle methods suitable for large-scale problems with separable objective is presented. The method is applied to the resolution of a stochastic unit-commitment problem solved by Lagrangian relaxation. The model includes hydro- as well as thermal-powered plants. Uncertainties...

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Bibliographic Details
Published in:Computational optimization and applications 2001-12, Vol.20 (3), p.227-227
Main Authors: Bacaud, Leonard, Lemarechal, Claude, Renaud, Arnaud, Sagastizabal, Claudia
Format: Article
Language:English
Subjects:
Electric power
Mathematics
Operating costs
Optimization
Stochastic models
Studies
Online Access:Get full text
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Summary:A specialized variant of bundle methods suitable for large-scale problems with separable objective is presented. The method is applied to the resolution of a stochastic unit-commitment problem solved by Lagrangian relaxation. The model includes hydro- as well as thermal-powered plants. Uncertainties lie in the demand, which evolves in time according to a tree of scenarios. Dual variables are preconditioned by using probabilities associated to nodes in the tree The approach is illustrated by numerical results, obtained on a model of the French production mix over a time horizon of 10 days and 1 month. [PUBLICATION ABSTRACT]
ISSN:0926-6003
1573-2894
DOI:10.1023/A:1011202900805