Decomposition of a multi-stage stochastic program for power dispatch (1996)
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by
Werner Römisch
,
Rüdiger Schultz
| Venue: | SUPPL |
| Citations: | 5 - 3 self |
BibTeX
@ARTICLE{Römisch96decompositionof,
author = {Werner Römisch and Rüdiger Schultz},
title = {Decomposition of a multi-stage stochastic program for power dispatch},
journal = {SUPPL},
year = {1996},
pages = {29--32}
}
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Abstract
We develop a multi-stage stochastic program for the optimal dispatch of electric power under uncertain demand in a generation system comprising thermal and pumped storage hydro plants. Based on an abstract duality argument we propose an iterative decomposition scheme involving a non-smooth convex master problem and decoupled single-unit multi-stage stochastic programs.
