TY - JOUR

T1 - Multistage Stochastic Programming Model for Electric Power Capacity Expansion Problem

AU - Shina, Takayuki

AU - Birge, John R.

PY - 2003/10/1

Y1 - 2003/10/1

N2 - 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.

AB - 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.

KW - Block separable recourse

KW - Electric power capacity expansion problem

KW - L-shaped method

KW - Optimization under uncertainty

KW - Stochastic programming

UR - http://www.scopus.com/inward/record.url?scp=0346271749&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0346271749&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0346271749

VL - 20

SP - 379

EP - 397

JO - Japan Journal of Industrial and Applied Mathematics

JF - Japan Journal of Industrial and Applied Mathematics

SN - 0916-7005

IS - 3

ER -