Bundle methods in stochastic optimal power management: a disaggregated approach using preconditioners
Claudia Sagastizábal | Bacaud, Léonard | Lemaréchal, Claude | Renaud, Arnaud
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.