15/7/2014 View abstract

EURO Mini-Conference on Stochastic Programming

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Risk-Averse Storage Level Surface Applied to Long

Term Hydrothermal Generation Planning within SDDP
Solving Strategy
Contributed abstract

Authors (first author is the speaker)

1. Andre Diniz
DEA - Energy Optimization and Environment Department, CEPEL - Brazilian
Electric Energy Research Center
2. Maria Elvira Maceira
CEPEL - Brazilian Electric Energy Research Center
3. Cesar Luis Vasconcellos
CEPEL - Brazilian Electric Energy Research Center
4. Debora Penna
CEPEL - Brazilian Electric Energy Research Center

Abstract

We obtain a so-called risk averse storage level surface for long-term planning of a multi-
reservoir hydrothermal generation system. A multistage problem is solved by stochastic dual
dynamic programming, where an inner iterative procedure is included to solve the
subproblems for each stage, in order to ensure a given level of protection against critical
scenarios ahead. Feasibility cuts – as a function of state variables and shared among all
nodes of the current stage – yields a time-variant secure region for system operation. Results
are presented for the real large-scale Brazilian system.

Keywords

Large-scale stochastic optimization

SP and energy management
Stochastic linear programming

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