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

Jehum Cho and Anthony Papavasiliou
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Jehum Cho: Université catholique de Louvain, LIDAM/CORE, Belgium
Anthony Papavasiliou: Université catholique de Louvain, LIDAM/CORE, Belgium

No 2022018, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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.

Keywords: Multi-area reserve sizing; chance constraints; probabilistic constraints; mixed-integer programming (search for similar items in EconPapers)
Pages: 6
Date: 2022-04-28
New Economics Papers: this item is included in nep-cmp
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2022018

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