MULTISTAGE STOCHASTIC OPTIMIZATION APPLIED TO ENERGY PLANNING

被引:800
|
作者
PEREIRA, MVF
PINTO, LMVG
机构
[1] Electric Engineering Department, Catholic University of Rio de Janeiro, Gavea, Rio de Janeiro, 22452, RJ
关键词
D O I
10.1007/BF01582895
中图分类号
TP31 [计算机软件];
学科分类号
081202 ; 0835 ;
摘要
This paper presents a methodology for the solution of multistage stochastic optimization problems, based on the approximation of the expected-cost-to-go functions of stochastic dynamic programming by piecewise linear functions. No state discretization is necessary, and the combinatorial "explosion" with the number of states (the well known "curse of dimensionality" of dynamic programming) is avoided. The piecewise functions are obtained from the dual solutions of the optimization problem at each stage and correspond to Benders cuts in a stochastic, multistage decomposition framework. A case study of optimal stochastic scheduling for a 39-reservoir system is presented and discussed.
引用
收藏
页码:359 / 375
页数:17
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