Solution Sensitivity-Based Scenario Reduction for Stochastic Unit Commitment

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2014-09-01
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Feng, Yonghan
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Ryan, Sarah
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Industrial and Manufacturing Systems Engineering
The Department of Industrial and Manufacturing Systems Engineering teaches the design, analysis, and improvement of the systems and processes in manufacturing, consulting, and service industries by application of the principles of engineering. The Department of General Engineering was formed in 1929. In 1956 its name changed to Department of Industrial Engineering. In 1989 its name changed to the Department of Industrial and Manufacturing Systems Engineering.
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Industrial and Manufacturing Systems Engineering
Abstract

A two-stage stochastic program is formulated for day-ahead commitment of thermal generating units to minimize total expected cost considering uncertainties in the day-ahead load and the availability of variable generation resources. Commitments of thermal units in the stochastic reliability unit commitment are viewed as first-stage decisions, and dispatch is relegated to the second stage. It is challenging to solve such a stochastic program if many scenarios are incorporated. A heuristic scenario reduction method termed forward selection in recourse clusters (FSRC), which selects scenarios based on their cost and reliability impacts, is presented to alleviate the computational burden. In instances down-sampled from data for an Independent System Operator in the US, FSRC results in more reliable commitment schedules having similar costs, compared to those from a scenario reduction method based on probability metrics. Moreover, in a rolling horizon study, FSRC preserves solution quality even if the reduction is substantial.

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This is a manuscript of an article from Computational Management Science (2014): The final publication is available at Springer via http://dx.doi.org/ 10.1007/s10287-014-0220-z. Posted with permission.

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Wed Jan 01 00:00:00 UTC 2014
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