Toward scalable stochastic unit commitment. Part 2: Solver Configuration and Performance Assessment

@inproceedings{Cheung2015TowardSS,
  title={Toward scalable stochastic unit commitment. Part 2: Solver Configuration and Performance Assessment},
  author={Kwok Cheung and Dinakar Gade and Cesar A. Silva-Monroy and Sarah M. Ryan and Jean-Paul Watson and Roger J.-B. Wets and David L. Woodruff},
  year={2015}
}
In this second portion of a two-part analysis of a scalable computational approach to stochastic unit commitment, we focus on solving stochastic mixed-integer programs in tractable run-times. Our solution technique is based on Rockafellar and Wets' progressive hedging algorithm, a scenario-based decomposition strategy for solving stochastic programs. To achieve high-quality solutions in tractable run-times, we describe critical, novel customizations of the progressive hedging algorithm for… CONTINUE READING
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