The value of rolling-horizon policies for risk-averse hydro-thermal planning
AbstractWe consider the optimal management of a hydro-thermal power system in the mid and long terms. From the optimization point of view, this amounts to a large-scale multistage stochastic linear program, often solved by combining sampling with decomposition algorithms, like stochastic dual dynamic programming. Such methodologies, however, may entail prohibitive computational time, especially when applied to a risk-averse formulation of the problem. We propose instead a risk-averse rolling-horizon policy that is nonanticipative, feasible, and time consistent. The policy is obtained by solving a sequence of risk-averse problems with deterministic constraints for the current time step and future chance and CVaR constraints.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 217 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/eor
Stochastic programming; Chance constraints; Interstage dependence; Rolling horizon; Hydro-thermal planning;
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Shapiro, Alexander, 2011. "Analysis of stochastic dual dynamic programming method," European Journal of Operational Research, Elsevier, vol. 209(1), pages 63-72, February.
- Andrieu, L. & Henrion, R. & Römisch, W., 2010. "A model for dynamic chance constraints in hydro power reservoir management," European Journal of Operational Research, Elsevier, vol. 207(2), pages 579-589, December.
- Vincent Guigues, 2014. "SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning," Computational Optimization and Applications, Springer, vol. 57(1), pages 167-203, January.
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