Applying Stochastic Programming to the Unit Commitment Problem

Multi-stage decision making, a fundamental tenet of stochastic programming, resonates well with the practice of the electricity markets. The day-ahead market, used to commit the generators, bears uncertainty in the power demand and physical conditions of the generators and transmission lines. The situation becomes less uncertain in the real-time market, where the dispatch is decided. Although traditional approaches such as operating reserve requirements have been effectively employed to ensure reliable system operations, the incorporation of stochastic methods offer the potential for superior solutions.