Abstract
A specialized variant of bundle methods suitable for large-scale problems with separable objective is presented. The method is applied to the resolution of a stochastic unit-commitment problem solved by Lagrangian relaxation. The model includes hydro- as well as thermal-powered plants. Uncertainties lie in the demand, which evolves in time according to a tree of scenarios. Dual variables are preconditioned by using probabilities associated to nodes in the tree The approach is illustrated by numerical results, obtained on a model of the French production mix over a time horizon of 10 days and 1 month.
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Bacaud, L., Lemaréchal, C., Renaud, A. et al. Bundle Methods in Stochastic Optimal Power Management: A Disaggregated Approach Using Preconditioners. Computational Optimization and Applications 20, 227–244 (2001). https://doi.org/10.1023/A:1011202900805
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DOI: https://doi.org/10.1023/A:1011202900805