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

Vincent Guigues and Claudia Sagastizábal

European Journal of Operational Research, 2012, vol. 217, issue 1, 129-140

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.

Keywords: Stochastic programming; Chance constraints; Interstage dependence; Rolling horizon; Hydro-thermal planning (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:217:y:2012:i:1:p:129-140

DOI: 10.1016/j.ejor.2011.08.017

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