Conference paper
A consensus-ADMM approach for strategic generation investment in electricity markets
This paper addresses a multi-stage generation investment problem for a strategic (price-maker) power producer in electricity markets. This problem is exposed to different sources of uncertainty, including short-term operational (e.g., rivals’ offering strategies) and long-term macro (e.g., demand growth) uncertainties.
This problem is formulated as a stochastic bilevel optimization problem, which eventually recasts as a large-scale stochastic mixed-integer linear programming (MILP) problem with limited computational tractability. To cope with computational issues, we propose a consensus version of alternating direction method of multipliers (ADMM), which decomposes the original problem by both short- and long-term scenarios.
Although the convergence of ADMM to the global solution cannot be generally guaranteed for MILP problems, we introduce two bounds on the optimal solution, allowing for the evaluation of the solution quality over iterations. Our numerical findings show that there is a trade-off between computational time and solution quality.
Language: | English |
---|---|
Publisher: | IEEE |
Year: | 2018 |
Pages: | 780-785 |
Proceedings: | 57th IEEE Conference on Decision and Control |
ISBN: | 1538613948 , 1538613956 , 1538613964 , 9781538613948 , 9781538613955 and 9781538613962 |
ISSN: | 25762370 and 07431546 |
Types: | Conference paper |
DOI: | 10.1109/CDC.2018.8619240 |
ORCIDs: | Dvorkin, Vladimir , Kazempour, Jalal and Pinson, Pierre |
Capacity planning Convex functions Decision trees Investment MILP problems Planning Uncertainty Wind power generation computational issues computational time computational tractability consensus version consensus-ADMM approach demand growth electricity markets integer programming investment iterative methods linear programming long-term macro long-term scenarios mixed-integer linear programming problem multistage generation investment problem optimal solution power generation economics power markets price-maker pricing solution quality stochastic bilevel optimization problem stochastic programming strategic generation investment strategic power producer