Solving stochastic hydro unit commitment using benders decomposition and modified stochastic dual dynamic programming

This paper proposes a stochastic hydro unit commitment (SHUC) model for a price-taker hydropower producer in a liberalized market. The objective is to maximize the total revenue of the hydropower producer, including the immediate revenue, future revenue (i.e., opportunity cost), and startup and shutdown cost. The market price uncertainty is taken into account through the scenario tree. The solution of the model is a challenging task due to its non-convex and high-dimensional characteristics. A solution method based on the Benders Decomposition (BD) and Modified Stochastic Dual Dynamic Programming (MSDDP) is proposed to solve the problem efficiently. Firstly, the BD is applied to decompose the original problem into a Benders master problem representing the hydro unit commitment and a Benders subproblem representing the optimal operation of the hydropower plants. The Benders subproblem, which contains a large number of integer variables, is further decomposed by the period and solved by the MSDDP proposed in this paper. Finally, we verify the effectiveness of the SHUC model and the performance of the proposed solution method in case studies.

Abstract licence: CC BY

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