Optimal Power Dispatch via Multistage Stochastic Programming

. The short-term cost-optimal dispatch of electric power in a generation system under uncertain electricity demand is considered. The system comprises thermal and pumped-storage hydro units. An operation model is developed which represents a multistage mixed-integer stochastic program and a conceptual solution method using Lagrangian relaxation is sketched. For fixed start-up and shut-down decisions an efficient algorithm for solving the multistage stochastic program is described and numerical results are reported. 1 Introduction Mathematical models for cost-optimal power scheduling in hydro-thermal systems often combine several difficulties such as a large number of mixed-integer variables, nonlinearities, and uncertainty of problem data. Typical examples for the latter are uncertain prices in electricity trading, the future electric power demand, and future inflows into reservoirs of hydro plants. Incorporating the uncertainties directly into an optimization model leads to stochasti..