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A Branch-and-Cut Algorithm for Chance-Constrained Multi-Area Reserve Sizing

Author

Listed:
  • Cho, Jehum

    (Université catholique de Louvain, LIDAM/CORE, Belgium)

  • Papavasiliou, Anthony

    (Université catholique de Louvain, LIDAM/CORE, Belgium)

Abstract

We implement an exact mixed-integer programming algorithm for the chance-constrained multi-area reserve sizing problem in the presence of transmission network constraints. The problem can be cast as a two-stage stochastic mixed integer linear program using sample approximation. Due to the complicated structure of the problem, existing methods attempt to find a feasible solution based on heuristics. However, a recent development of integer programming techniques allow us to reformulate the problem into a form where we can solve it to optimality. In this paper, we apply this integer programming approach to solve our problem to optimality and compare the results with that of the existing heuristics.

Suggested Citation

  • Cho, Jehum & Papavasiliou, Anthony, 2022. "A Branch-and-Cut Algorithm for Chance-Constrained Multi-Area Reserve Sizing," LIDAM Discussion Papers CORE 2022018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2022018
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    Keywords

    Multi-area reserve sizing ; chance constraints ; probabilistic constraints ; mixed-integer programming;
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