Multistage Stochastic Programming Model for Electric Power Capacity Expansion Problem

Takayuki Shina, John R. Birge

Research output: Contribution to journalArticlepeer-review

19 Citations (Scopus)

Abstract

This paper is concerned with power system expansion planning under uncertainty. In our approach, integer programming and stochastic programming provide a basic framework. We develop a multistage stochastic programming model in which some of the variables are restricted to integer values. By utilizing the special property of the problem, called block separable recourse, the problem is transformed into a two-stage stochastic program with recourse. The electric power capacity expansion problem is reformulated as the problem with first stage integer variables and continuous second stage variables. We propose an L-shaped algorithm to solve the problem.

Original languageEnglish
Pages (from-to)379-397
Number of pages19
JournalJapan Journal of Industrial and Applied Mathematics
Volume20
Issue number3
Publication statusPublished - 2003 Oct 1
Externally publishedYes

Keywords

  • Block separable recourse
  • Electric power capacity expansion problem
  • L-shaped method
  • Optimization under uncertainty
  • Stochastic programming

ASJC Scopus subject areas

  • Engineering(all)
  • Applied Mathematics

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