Boundary conditions for hydrothermal operation planning problems
the infinite horizon approach
DOI:
https://doi.org/10.5540/03.2025.011.01.0355Palabras clave:
Stochastic Optimization, Value Functions, Periodic ModelsResumen
Multistage stochastic optimization models are used in the energy sector for a variety of planning and operational decisions. Traditional models optimize over a finite planning horizon, which requires setting up ad-hoc terminal conditions, in many cases given as a terminal cost function which induces the water value along the planning horizon. We propose the use of periodic, infinite horizon models, which are better approximations of the long-term behaviour of the system, as a framework to calculate such terminal cost functions. The periodic nature of the model allows for a more efficient algorithm, and leads to a method that is naturally adapted to the system configuration. This is especially useful for the operation planning of hydrothermal power systems, where the water value is a key component of the operation strategy, as well as for the expansion planning of the system.
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