Cutting planes for the multistage stochastic unit commitment problem

Jiang, Ruiwei; Guan, Yongpei; Watson, Jean -Paul

doi:10.1007/s10107-015-0971-5

Cutting planes for the multistage stochastic unit commitment problem

Journal Article · Wed Apr 20 00:00:00 EDT 2016 · Mathematical Programming

DOI:https://doi.org/10.1007/s10107-015-0971-5· OSTI ID:1062274

Jiang, Ruiwei ^[1]; Guan, Yongpei ^[2]; Watson, Jean -Paul ^[3]

Univ. of Michigan, Ann Arbor, MI (United States)
Univ. of Florida, Gainesville, FL (United States)
Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)

As renewable energy penetration rates continue to increase in power systems worldwide, new challenges arise for system operators in both regulated and deregulated electricity markets to solve the security-constrained coal-fired unit commitment problem with intermittent generation (due to renewables) and uncertain load, in order to ensure system reliability and maintain cost effectiveness. In this paper, we study a security-constrained coal-fired stochastic unit commitment model, which we use to enhance the reliability unit commitment process for day-ahead power system operations. In our approach, we first develop a deterministic equivalent formulation for the problem, which leads to a large-scale mixed-integer linear program. Then, we verify that the turn on/off inequalities provide a convex hull representation of the minimum-up/down time polytope under the stochastic setting. Next, we develop several families of strong valid inequalities mainly through lifting schemes. In particular, by exploring sequence independent lifting and subadditive approximation lifting properties for the lifting schemes, we obtain strong valid inequalities for the ramping and general load balance polytopes. Lastly, branch-and-cut algorithms are developed to employ these valid inequalities as cutting planes to solve the problem. Our computational results verify the effectiveness of the proposed approach.

View Accepted Manuscript (DOE)

Research Organization:: Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Sandia National Laboratories (SNL-NM), Albuquerque, NM (United States)

Sponsoring Organization:: USDOE National Nuclear Security Administration (NNSA); USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR) (SC-21)

Grant/Contract Number:: AC04-94AL85000

OSTI ID:: 1062274

Alternate ID(s):: OSTI ID: 1332947

Report Number(s):: SAND--2012-9093J; SAND--2016-11112J; PII: 971

Journal Information:: Mathematical Programming, Journal Name: Mathematical Programming Journal Issue: 1 Vol. 157; ISSN 0025-5610

Publisher:: SpringerCopyright Statement

Country of Publication:: United States

Language:: English

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cutting planes
security-constrained unit commitment
sequence independent lifting
stochastic programming

Cutting planes for the multistage stochastic unit commitment problem

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References (48)

Cited By (3)

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