Adaptive monitoring of the progressive hedging penalty for reservoir systems management.

Autor: Zéphyr, Luckny, Lang, Pascal, Lamond, Bernard
Zdroj: Energy Systems; Jun2014, Vol. 5 Issue 2, p307-322, 16p
Abstrakt: Reservoir systems operations problems are in essence stochastic because of the uncertain nature of natural inflows. This leads to very large stochastic models that may not be easy to handle numerically. In this paper, we revisit the decomposition method developed by Rockafellar and Wets (Math Oper Res 119-147, ) by proposing new heuristics to initialize and dynamically adjust the penalty parameter of the augmented Lagrangian function on which this method is based. The heuristics are tested on multi-reservoir problems generated randomly and compared with the traditional strategy of setting the penalty parameter to a fixed value. [ABSTRACT FROM AUTHOR]
Databáze: Complementary Index
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