Título: | ON THE SOLUTION VARIABILITY REDUCTION OF STOCHASTIC DUAL DYNAMIC PROGRAMMING APPLIED TO ENERGY PLANNING | ||||||||||||
Autor: |
MURILO PEREIRA SOARES |
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Colaborador(es): |
ALEXANDRE STREET DE AGUIAR - Orientador DAVI MICHEL VALLADAO - Coorientador |
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Catalogação: | 28/OUT/2015 | Língua(s): | ENGLISH - UNITED STATES |
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Tipo: | TEXT | Subtipo: | THESIS | ||||||||||
Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=25355&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=25355&idi=2 |
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DOI: | https://doi.org/10.17771/PUCRio.acad.25355 | ||||||||||||
Resumo: | |||||||||||||
In the hydrothermal energy operation planning of Brazil and other
hydro-dependent countries, Stochastic Dual Dynamic Programming (SDDP)
computes a risk-averse optimal policy that often considers river-inflow
autoregressive models. In practical applications, these models induce an
undesirable variability of primal (thermal generation) and dual (marginal cost
and spot price) solutions, which are highly sensitive to changes in current
inflow conditions. In this work, we propose two differing approaches to stabilize
SDDP solutions to the energy operation planning problem: the first approach
aims at regularizing primal variables by considering an additional penalty on
thermal dispatch revisions over time. The second approach indirectly reduces
thermal generation and marginal cost variability by disregarding past inflow
information in the cost-to-go function and compensating it with an increase
in risk aversion. For comparison purposes, we assess solution quality with a
set of proposed indexes summarizing each important aspect of a hydrothermal
operation planning policy. In conclusion, we show it is possible to obtain high-
quality solutions in comparison to current benchmarks and with significantly
reduced variability.
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