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

被引：49

作者：

Bacaud, L

Lemaréchal, C

Renaud, A

Sagastizábal, C

机构：

[1] Elect France, Dept Methodes Optimisat & Simulat, F-92141 Clamart, France

[2] INRIA Rhone Alpes, F-38330 Montbonnot St Martin, France

[3] INRIA Rocquencourt, F-78153 Le Chesnay, France

来源：

COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 2001年 / 20卷 / 03期

关键词：

optimization; bundle methods; stochastic optimization; Lagrangian relaxation; unit-commitment problems; preconditioning;

D O I：

10.1023/A:1011202900805

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 [运筹学与控制论]; 12 [管理学]; 1201 [管理科学与工程]; 1202 [工商管理学]; 120202 [企业管理];

摘要：

A specialized variant of bundle methods suitable for large-scale problems with separable objective is presented. The method is applied to the resolution 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 nodes in the tree The approach is illustrated by numerical results, obtained on a model of the French production mix over a time horizon of 10 days and 1 month.

引用

页码：227 / 244

页数：18

共 23 条

[1]

DAILY GENERATION SCHEDULING OPTIMIZATION WITH TRANSMISSION CONSTRAINTS - A NEW CLASS OF ALGORITHMS [J].