A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs

With Application in Energy Production
2011
ISBN: 978-3-8348-1409-8
Verlag: Vieweg+Teubner Verlag

Buch, Englisch, 182 Seiten, Paperback, Format (B × H): 148 mm x 210 mm, Gewicht: 298 g

Reihe: Stochastic Programming

Optimization problems involving uncertain data arise in many areas of industrial and economic applications. Stochastic programming provides a useful framework for modeling and solving optimization problems for which a probability distribution of the unknown parameters is available.
Motivated by practical optimization problems occurring in energy systems with regenerative energy supply, Debora Mahlke formulates and analyzes multistage stochastic mixed-integer models. For their solution, the author proposes a novel decomposition approach which relies on the concept of splitting the underlying scenario tree into subtrees. Based on the formulated models from energy production, the algorithm is computationally investigated and the numerical results are discussed.

Zielgruppe

Research

Autoren/Hrsg.

Mahlke, Debora

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Technische Wissenschaften Energietechnik | Elektrotechnik Energietechnik & Elektrotechnik

Inhaltsverzeichnis

An Energy Production Problem

Mathematical Modeling

Stochastic Switching Polytopes

Primal Heuristics

A Scenario Tree-Based Decomposition of SMIPs

Algorithmic Implementation

Computational Results

Über Autor(innen)

Debora Mahlke received her Ph.D. in Mathematics from the Technische Universität Darmstadt where she currently works as a postdoctoral research associate.