Optimization and Engineering

, Volume 6, Issue 2, pp 163–176 | Cite as

A Stochastic Integer Programming Model for Incorporating Day-Ahead Trading of Electricity into Hydro-Thermal Unit Commitment

  • Matthias P. Nowak
  • Rüdiger SchultzEmail author
  • Markus Westphalen


We develop a two-stage stochastic integer programming model for the simultaneous optimization of power production and day-ahead power trading in a hydro-thermal system. The model rests on mixed-integer linear formulations for the unit commitment problem and for the price clearing mechanism at the power exchange. Foreign bids enter as random components into the model. We solve the stochastic integer program by a decomposition method combining Lagrangian relaxation of nonanticipativity with branch-and-bound in the spirit of global optimization. Finally, we report some first computational experiences.


stochastic integer programming power optimization 


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Copyright information

© Springer Science + Business Media, Inc. 2005

Authors and Affiliations

  • Matthias P. Nowak
    • 1
  • Rüdiger Schultz
    • 1
    Email author
  • Markus Westphalen
    • 2
  1. 1.SINTEF Industrial ManagementEconomics and LogisticsTrondheimNorway
  2. 2.Department of MathematicsUniversity Duisburg-EssenDuisburgGermany

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