IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v217y2012i1p129-140.html
   My bibliography  Save this article

The value of rolling-horizon policies for risk-averse hydro-thermal planning

Author

Listed:
  • Guigues, Vincent
  • Sagastizábal, Claudia

Abstract

We 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.

Suggested Citation

  • Guigues, Vincent & Sagastizábal, Claudia, 2012. "The value of rolling-horizon policies for risk-averse hydro-thermal planning," European Journal of Operational Research, Elsevier, vol. 217(1), pages 129-140.
  • Handle: RePEc:eee:ejores:v:217:y:2012:i:1:p:129-140
    DOI: 10.1016/j.ejor.2011.08.017
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377221711007582
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    3. Shapiro, Alexander, 2011. "Analysis of stochastic dual dynamic programming method," European Journal of Operational Research, Elsevier, vol. 209(1), pages 63-72, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bertazzi, Luca & Maggioni, Francesca, 2018. "A stochastic multi-stage fixed charge transportation problem: Worst-case analysis of the rolling horizon approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 555-569.
    2. Hohmann, Marc & Warrington, Joseph & Lygeros, John, 2020. "A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems," European Journal of Operational Research, Elsevier, vol. 283(1), pages 16-32.
    3. Reus, Lorenzo & Pagnoncelli, Bernardo & Armstrong, Margaret, 2019. "Better management of production incidents in mining using multistage stochastic optimization," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    4. Frans J. C. T. Ruiter & Aharon Ben-Tal & Ruud C. M. Brekelmans & Dick Hertog, 2017. "Robust optimization of uncertain multistage inventory systems with inexact data in decision rules," Computational Management Science, Springer, vol. 14(1), pages 45-66, January.
    5. V. Guigues & C. Sagastizábal & J. P. Zubelli, 2014. "Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 179-198, April.
    6. Jiang, Ruiwei & Zhang, Muhong & Li, Guang & Guan, Yongpei, 2014. "Two-stage network constrained robust unit commitment problem," European Journal of Operational Research, Elsevier, vol. 234(3), pages 751-762.
    7. W. Ackooij & X. Warin, 2020. "On conditional cuts for stochastic dual dynamic programming," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 8(2), pages 173-199, June.
    8. 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.
    9. Thomas Kallabis, "undated". "Rolling-horizon optimization as a speed-up method - assessment using the electricity system model JMM," EWL Working Papers 2006, University of Duisburg-Essen, Chair for Management Science and Energy Economics.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:217:y:2012:i:1:p:129-140. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/eor .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.