Solving Stochastic Energy Production Problems by a Scenario Tree-Based Decomposition Approach

This paper is concerned with the development of an optimization method for multistage stochastic mixed-integer programs arising in energy production. This novel method relies on the decomposition of the original problem formulation into several subproblems based on splitting the scenario tree into subtrees. On this basis, a branch-and-bound method is applied in order to recover feasibility and thus to solve the problem to global optimality. As an application, we present a power generation problem with fluctuating wind power supply in order to investigate the potential of energy storages to decouple fluctuating supply and demand.