An improved Lagrangian relaxation algorithm for the robust generation self-scheduling problem

DOI10.1155/2018/6303596MaRDI QIDQ1721218zbMATH OpenOpenAlexFDO

Authors Ping Che, Zhenhao Tang, Hua Gong, Xiaoli Zhao

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2018/6303596

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Deterministic scheduling theory in operations research (90B35)

Review text

Summary: The robust generation self-scheduling problem under electricity price uncertainty is usually solved by the commercial solver, which is limited in computation time and memory requirement. This paper proposes an improved Lagrangian relaxation algorithm for the robust generation self-scheduling problem where the quadratic fuel cost and the time-dependent exponential startup cost are considered. By using the optimal duality theory, the robust generation self-scheduling problem, which has a max-min structure, is reformulated as a minimization mixed integer nonlinear programming (MINLP) problem. Upon the reformulation, the Lagrangian relaxation algorithm is developed. To obtain a solvable relaxed problem, the variable splitting technique is introduced before the relaxation. The obtained relaxed problem is decomposed into a linear programming-type subproblem and multiple single-unit subproblems. Each single-unit subproblem is solved optimally by a two-stage backward dynamic programming procedure. The special cases of the problem are discussed and a two-stage algorithm is proposed. The proposed algorithms are tested on test cases of different sizes and the numerical results show that the algorithms can find near-optimal solutions in a reasonable time.

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Cites work

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Cited in

(4)

• Distributionally robust self-scheduling optimization with CO₂ emissions constraints under uncertainty of prices
• Weekly self-scheduling, forward contracting, and pool involvement for an electricity producer. An adaptive robust optimization approach
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