A two-stage model for planning energy investment under uncertainty
Professor Advisor
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Correa Fontecilla, Rafael
Author
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Atenas Maldonado, Felipe Eduardo
Associate professor
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Sagastizábal, Claudia
Associate professor
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Ramirez Cabrera, Héctor
Admission date
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2019-09-25T12:54:46Z
Available date
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2019-09-25T12:54:46Z
Publication date
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2019
Identifier
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https://repositorio.uchile.cl/handle/2250/170925
General note
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Tesis para optar al grado de Magíster en Ciencias de la Ingeniería, Mención Matemáticas Aplicadas
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General note
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Memoria para optar al título de Ingeniero Civil Matemático
Abstract
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We consider risk-averse stochastic programming models for the Generation Expansion Planning problem for energy systems with here-and-now investment decisions and generation variables of recourse. The resulting problem is coupled both along scenarios and along power plants. We develop a new decomposition technique to solve the energy optimization problem, resulting from the combination of two existing procedures, one to deal with stochastic programming problems through decomposition for different realizations of the stochastic process representing the uncertain data, and the second one is a method aim to find solutions to nonsmooth optimization problems. More precisely, we combine the Progressive Hedging algorithm to deal with scenario separability, obtaining a separate subproblem for each scenario, and an inexact proximal bundle method to handle separability for different power plants in each subproblem. By suitably combining these approaches, if the evaluation errors of the proximal bundle method vanish asymptotically, then bundle method converges to an approximate solution to each scenario subproblem. Thus, under mild convexity assumptions, the Progressive Hedging algorithm generates a sequence that converges to a solution to the original problem. The methodology is satisfactorily assessed on a test instance of the Generation Expansion Planning problem, whose reduced size allows us to compare the results with those obtained when solving the problem directly, and without decomposition.
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Patrocinador
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CONICYT-PFCHA/Magister Nacional/2018-22181067 y CMM Conicyt PIA AFB170001