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 -