STOCHASTIC GENERATION EXPANSION PLANNING BY MEANS OF STOCHASTIC DYNAMIC-PROGRAMMING

Most generation expansion planning tools do not model uncertainties in important variables such as energy demand and prices of energy carriers together with the dynamics of the system. This paper describes a method for handling these uncertainties in generation expansion problems. The method is based on stochastic dynamic programming. As the uncertain variables are modelled by Markov chains these give a natural year to year dependence of the variables. This modelling makes it possible to describe the connection between investment decisions, time, construction periods and uncertainty. The importance of modelling these connections is demonstrated by a realistic example.