Hydro-storage subproblems in power generation: an approach with a relaxation method for network flow problems

Author

Heitsch, Holger ; Römisch, Werner

Author_Institution

Inst. of Math., Humboldt-Univ., Berlin, Germany

Volume

3

fYear

2003

fDate

23-26 June 2003

Abstract

Mathematical models for the electricity portfolio management of a utility that owns a hydrothermal generation system and trades on the power market often lead to complex stochastic optimization problems. We present a new approach to solving stochastic hydro-storage subproblems that occur when stochastic Lagrangian relaxation is applied to solving such models. The special structure of such hydro-storage subproblems allows the design of a stochastic network flow algorithm. The algorithm represents a stochastic extension of a relaxation method that algorithmically solves the linear minimum cost flow problem. It is based on the iterative improvement of dual costs. Numerical experience of the new algorithm is reported and its performance is compared with that of standard LP software.

Keywords

hydrothermal power systems; power markets; relaxation theory; stochastic programming; complex stochastic optimization problems; electricity portfolio management; hydrostorage subproblems; hydrothermal generation system; linear minimum cost flow problem; network flow problems; power generation; power market; relaxation method; stochastic Lagrangian relaxation; stochastic network flow algorithm; Costs; Energy management; Hydroelectric-thermal power generation; Iterative algorithms; Mathematical model; Portfolios; Power generation; Power system management; Relaxation methods; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Power Tech Conference Proceedings, 2003 IEEE Bologna

Print_ISBN

0-7803-7967-5

Type

conf

DOI

10.1109/PTC.2003.1304507

Filename

1304507