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Multistage stochastic programming model for electric power capacity expansion problem


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.

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Correspondence to Takayuki Shiina.

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Shiina, T., Birge, J.R. Multistage stochastic programming model for electric power capacity expansion problem. Japan J. Indust. Appl. Math. 20, 379 (2003).

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Key words

  • stochastic programming
  • optimization under uncertainty
  • electric power capacity expansion problem
  • L-shaped method
  • block separable recourse