Dispatch planning using newsvendor dual problems and occupation times: Application to hydropower

Martin Densing

European Journal of Operational Research, 2013, vol. 228, issue 2, 321-330

Abstract: We consider price-driven dispatch planning under price uncertainty: A storable commodity is optimally sold and purchased over time. First, we consider models where the storage level is constrained in expectation. The dual of the corresponding optimization problem is related to the newsvendor problem. Exact solutions of bang-bang type are given. The second methodology is for high-frequency dispatch decisions in multistage stochastic programming models: To overcome the curse of dimensionality, prices are modeled by occupation times at price levels. In a case study, we consider a pumped-storage hydropower plant: Numerical solutions are given, which have similar patterns as for the first, exactly solvable problems.

Keywords: Dispatch planning; Bang-bang control; Newsvendor problem; Occupation time; Multistage stochastic linear programming; Hydropower optimization (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:228:y:2013:i:2:p:321-330

DOI: 10.1016/j.ejor.2013.01.033

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