Numerical solution technique for joint chance-constrained programming problem - An application to electric power capacity expansion -

Takayuki Shiina*

*この研究の対応する著者

研究成果: Article査読

12 被引用数 (Scopus)

抄録

We consider a joint chance-constrained linear programming problem with random right hand side vector. The deterministic equivalent of the joint chance-constraint is already known in the case that the right hand side vector is statistically independent. But if the right hand side vector is correlative, it is difficult to derive the deterministic equivalent of the joint chance-constraint. We discuss two methods for calculating the joint chance-constraint. For the case of uncorrelated right hand side, we try a direct method different from the usual deterministic equivalent, for the correlative right hand side case, we apply numerical integration. In this paper a chance-constrained programming problem is developed for electric power capacity expansion, where the error of forecasted electricity demand is defined by a random variable. Finally we show that this problem can be solved numerically using the trust region method and numerical integration, and we present the results of our computational experiments.

本文言語English
ページ(範囲)128-140
ページ数13
ジャーナルJournal of the Operations Research Society of Japan
42
2
DOI
出版ステータスPublished - 1999 6
外部発表はい

ASJC Scopus subject areas

  • 決定科学(全般)
  • 経営科学およびオペレーションズ リサーチ

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