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A Control-variable Regression Monte Carlo Technique for Short-term Electricity Generation Planning

Perninge, Magnus LU (2015) In Optimization and Control (math.OC)
Abstract
In the day-to-day operation of a power system, the system operator repeatedly solves short-term generation planning problems. When formulating these problems the operators have to weigh the risk of costly failures against increased production costs. The resulting problems are often high-dimensional and various approximations have been suggested in the literature.



In this article we formulate the short-term planning problem as an optimal switching problem with delayed reaction. Furthermore, we proposed a control variable technique that can be used in Monte Carlo regression to obtain a computationally efficient numerical algorithm.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working paper/Preprint
publication status
published
subject
in
Optimization and Control (math.OC)
issue
arXiv:1512.08880v1
publisher
arXiv.org
project
Stochastic Control Approach to Optimal Power System Operation
language
English
LU publication?
yes
id
460c1e66-7438-4bee-808d-7c8e889eb3a6 (old id 8518045)
alternative location
https://arxiv.org/abs/1512.08880
date added to LUP
2016-04-04 13:19:01
date last changed
2018-11-21 21:29:45
@misc{460c1e66-7438-4bee-808d-7c8e889eb3a6,
  abstract     = {{In the day-to-day operation of a power system, the system operator repeatedly solves short-term generation planning problems. When formulating these problems the operators have to weigh the risk of costly failures against increased production costs. The resulting problems are often high-dimensional and various approximations have been suggested in the literature.<br/><br>
<br/><br>
In this article we formulate the short-term planning problem as an optimal switching problem with delayed reaction. Furthermore, we proposed a control variable technique that can be used in Monte Carlo regression to obtain a computationally efficient numerical algorithm.}},
  author       = {{Perninge, Magnus}},
  language     = {{eng}},
  note         = {{Working Paper}},
  number       = {{arXiv:1512.08880v1}},
  publisher    = {{arXiv.org}},
  series       = {{Optimization and Control (math.OC)}},
  title        = {{A Control-variable Regression Monte Carlo Technique for Short-term Electricity Generation Planning}},
  url          = {{https://arxiv.org/abs/1512.08880}},
  year         = {{2015}},
}