Ir arriba
Información del artículo

Stochastic dual dynamic programming applied to nonconvex hydrothermal models

S. Cerisola, J.M. Latorre, A. Ramos

European Journal of Operational Research Vol. 218, nº. 3, pp. 687 - 697


In this paper we apply stochastic dual dynamic programming decomposition to a nonconvex multistage stochastic hydrothermal model where the nonlinear water head effects on production and the nonlinear dependence between the reservoir head and the reservoir volume are modeled. The nonconvex constraints that represent the production function of a hydro plant are approximated by McCormick envelopes. These constraints are split into smaller regions and the McCormick envelopes are used for each region. We use binary variables for this disjunctive programming approach and solve the problem with a decomposition method. We resort to a variant of the L-shaped method for solving the MIP subproblem with binary variables at any stage inside the stochastic dual dynamic programming algorithm. A realistic large-scale case study is presented.

Palabras Clave: Programming: Stochastic; Integer; Benders decomposition; Lagrangean relaxation; Stochastic Dual Dynamic Programming; Production/scheduling: planning

Índice de impacto JCR y cuartil WoS: 2,038 - Q1 (2012); 6,400 - Q1 (2022)

Referencia DOI: DOI icon

Publicado en papel: Mayo 2012.

Publicado on-line: Diciembre 2011.

S. Cerisola, J.M. Latorre, A. Ramos, Stochastic dual dynamic programming applied to nonconvex hydrothermal models. European Journal of Operational Research. Vol. 218, nº. 3, pp. 687 - 697, Mayo 2012. [Online: Diciembre 2011]

    Líneas de investigación:
  • *Planificación Táctica a Medio Plazo
  • *Análisis de Estrategia a Largo Plazo

pdf Previsualizar
pdf Solicitar el artículo completo a los autores