### 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 language | English |
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Pages (from-to) | 379-397 |

Number of pages | 19 |

Journal | Japan Journal of Industrial and Applied Mathematics |

Volume | 20 |

Issue number | 3 |

Publication status | Published - 2003 Oct 1 |

### 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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## Cite this

Shina, T., & Birge, J. R. (2003). Multistage Stochastic Programming Model for Electric Power Capacity Expansion Problem.

*Japan Journal of Industrial and Applied Mathematics*,*20*(3), 379-397.