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Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment

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Abstract

The unit commitment problem, aims at computing the production schedule that satisfies the offer-demand equilibrium at minimal cost. Often such problems are considered in a deterministic framework. However uncertainty is present and non-negligible. Robustness of the production schedule is therefore a key question. In this paper, we will investigate this robustness when hydro valleys are made robust against uncertainty on inflows and the global schedule is robust against uncertainty on customer load. Both robustness requirements will be modelled by using bilateral joint chance constraints. Since this is a fairly large model, we will investigate several decomposition procedures and compare these on several typical numerical instances. The latter decomposition procedures are clearly a prerequisite if robust unit commitment is ever to be used in practice. We will show that an efficient decomposition procedure exists and can be used to derive a robust production schedule. The obtained results are illustrated on a convex simplification of a unit commitment problem in order to avoid the use of heuristics. The investigated decomposition approaches can be applied trivially to a non-convex setting, but will need to be followed by appropriate heuristics. How this may work in practice is also illustrated.

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Acknowledgments

The author would like to thank René Henrion, Claudia Sagastizábal and Nadia Oudjane for the ongoing collaboration and their comments on this paper.

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  1. EDF R&D. OSIRIS, 1, avenue du Général de Gaulle, 92141, Clamart Cedex, France

    Wim van Ackooij

  2. Ecole Centrale Paris, Grande voie des Vignes, 92295, Châtenay-Malabry, France

    Wim van Ackooij

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  1. Wim van Ackooij
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van Ackooij, W. Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment. Math Meth Oper Res 80, 227–253 (2014). https://doi.org/10.1007/s00186-014-0478-5

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