Decomposition of a Multi-Stage Stochastic Programfor Power Dispatch

Werner Römisch & Rüdiger Schultz
We develop a multi-stage stochastic program for the optimal dispatch of electric power under uncertain demand in a generation system comprising thermal and pumped storage hydro plants. Based on an abstract duality argument we propose an iterative decomposition scheme involving a non-smooth convex master problem and decoupled single-unit multi-stage stochastic programs.
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