A primal-dual subgradient method for time staged capacity expansion planning (Q1820669)

We model capacity expansion problems as nondifferentiable convex programs. A dual to this problem is also formulated as a nondifferentiable convex program. The solution methodology we utilize is a primal-dual subgradient approach. Here the primal-dual pair is utilized in step length determination. The special structure of these capacity expansion problems also results in other simplifications. In particular, unlike the application of subgradient optimization for general convex programs, the test for feasibility in certain capacity expansion problems is straightforward. Further, quadratic programs associated with projection operators are also avoided by using the special problem structure. The algorithm is shown to be convergent. In order to illustrate the applicability of our methodology, we discuss its application to a time dynamic power generation capacity planning problem. Computational results with this application is also provided.