Bundle methods in stochastic optimal power management: A disaggregated approach using preconditioners

Citation
L. Bacaud et al., Bundle methods in stochastic optimal power management: A disaggregated approach using preconditioners, COMPUT OP A, 20(3), 2001, pp. 227-244
Citations number
23
Categorie Soggetti
Engineering Mathematics
Journal title
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
ISSN journal
09266003 → ACNP
Volume
20
Issue
3
Year of publication
2001
Pages
227 - 244
Database
ISI
SICI code
0926-6003(200112)20:3<227:BMISOP>2.0.ZU;2-G
Abstract
A specialized variant of bundle methods suitable for large-scale problems w ith separable objective is presented. The method is applied to the resoluti on of a stochastic unit-commitment problem solved by Lagrangian relaxation. The model includes hydro- as well as thermal-powered plants. Uncertainties lie in the demand, which evolves in time according to a tree of scenarios. Dual variables are preconditioned by using probabilities associated to nod es in the tree The approach is illustrated by numerical results, obtained o n a model of the French production mix over a time horizon of 10 days and 1 month.