A MIXED-INTEGER STOCHASTIC NONLINEAR OPTIMIZATION PROBLEM WITH JOINT PROBABILISTIC CONSTRAINTS

被引：0

作者：

Arnold, T. ^{[1
]}

Henrion, R. ^{[1
]}

Moeller, A. ^{[1
]}

Vigerske, S. ^{[2
]}

机构：

[1] Weierstrass Inst Berlin, Berlin, Germany

[2] Humboldt Univ, Berlin, Germany

来源：

PACIFIC JOURNAL OF OPTIMIZATION | 2014年 / 10卷 / 01期

关键词：

stochastic optimization; probabilistic constraints; mixed-integer nonlinear programming; power management; CHANCE CONSTRAINTS; RESERVOIR; MODEL;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We illustrate the solution of a mixed-integer stochastic nonlinear optimization problem in an application of power management. In this application, a coupled system consisting of a hydro power station and a wind farm is considered. The objective is to satisfy the local energy demand and sell any surplus energy on a spot market for a short time horizon. Generation of wind energy is assumed to be random, so that demand satisfaction is modeled by a joint probabilistic constraint taking into account the multivariate distribution. The turbine is forced to either operate between given positive limits or to be shut down. This introduces additional binary decisions. The numerical solution procedure is presented and results are illustrated.

引用

页码：5 / 20

页数：16

共 25 条

[1] SCIP: solving constraint integer programs [J].