Toward scalable, parallel progressive hedging for stochastic unit commitment

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2013-01-01
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Wets, Roger
Woodruff, David
Silva-Monroy, Cesar A.
Watson, Jean-Paul
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Ryan, Sarah
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Industrial and Manufacturing Systems Engineering
The Department of Industrial and Manufacturing Systems Engineering teaches the design, analysis, and improvement of the systems and processes in manufacturing, consulting, and service industries by application of the principles of engineering. The Department of General Engineering was formed in 1929. In 1956 its name changed to Department of Industrial Engineering. In 1989 its name changed to the Department of Industrial and Manufacturing Systems Engineering.
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Industrial and Manufacturing Systems Engineering
Abstract

Abstract: Given increasing penetration of variable generation units, there is significant interest in the power systems research community concerning the development of solution techniques that directly address the stochasticity of these sources in the unit commitment problem. Unfortunately, despite significant attention from the research community, stochastic unit commitment solvers have not made their way into practice, due in large part to the computational difficulty of the problem. In this paper, we address this issue, and focus on the development of a decomposition scheme based on the progressive hedging algorithm of Rockafellar and Wets. Our focus is on achieving solve times that are consistent with the requirements of ISO and utilities, on modest-scale instances, using reasonable numbers of scenarios. Further, we make use of modest-scale parallel computing, representing capabilities either presently deployed, or easily deployed in the near future. We demonstrate our progress to date on a test instance representing a simplified version of the US western interconnect (WECC-240).

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This is an accepted manuscript of a conference proceeding published as Ryan, Sarah M., Roger J-B. Wets, David L. Woodruff, César Silva-Monroy, and Jean-Paul Watson. "Toward scalable, parallel progressive hedging for stochastic unit commitment." In Power and Energy Society General Meeting (PES), 2013 IEEE, pp. 1-5. IEEE, 2013.

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Tue Jan 01 00:00:00 UTC 2013