Adaptive monitoring of the progressive hedging penalty for reservoir systems management

Reservoir systems operations problems are in essence stochastic because of the uncertain nature of natural inflows. This leads to very large stochastic models that may not be easy to handle numerically. In this paper, we revisit the decomposition method developed by Rockafellar and Wets (Math Oper R...

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Vydáno v:Energy systems (Berlin. Periodical) Ročník 5; číslo 2; s. 307 - 322
Hlavní autoři: Zéphyr, Luckny, Lang, Pascal, Lamond, Bernard F.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Berlin/Heidelberg Springer Berlin Heidelberg 01.06.2014
Springer Nature B.V
Témata:
Algorithms
Analysis
Computer programming
Decomposition
Economics and Management
Energy
Energy Policy
Energy Systems
Heuristic
Lagrange multiplier
Load
Mathematical analysis
Mathematical models
Monitoring
Operations Research/Decision Theory
Optimization
Original Paper
Random variables
Reservoir management
Reservoirs
Stochastic models
Stochasticity
Strategy
Studies
Systems management
Uncertainty
Water
Progressive hedging algorithm
Stochastic programming models
Decomposition method
Reservoir systems operations
Heuristic
ISSN:1868-3967, 1868-3975
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Popis
Shrnutí:Reservoir systems operations problems are in essence stochastic because of the uncertain nature of natural inflows. This leads to very large stochastic models that may not be easy to handle numerically. In this paper, we revisit the decomposition method developed by Rockafellar and Wets (Math Oper Res 119–147, 1991 ) by proposing new heuristics to initialize and dynamically adjust the penalty parameter of the augmented Lagrangian function on which this method is based. The heuristics are tested on multi-reservoir problems generated randomly and compared with the traditional strategy of setting the penalty parameter to a fixed value.
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ISSN:1868-3967
1868-3975
DOI:10.1007/s12667-013-0110-4