In this project we consider the task of selecting power generators that minimize the total
cost of supplying enough electricity to satisfy regional demand, which is random.
To begin, suppose that we wish to select the optimal sizes of J = 4 different types of
generators: 1 gas fired, 2 coal fired, and 1 nuclear. The annualized capital cost (e/kwh) for
the acquisition of a generator of type
- Two-stage SP model formulation: Formulate the power generation planning problem as a two-stage stochastic linear programming model.
- Model implementation and solution: With the given dataset, solve your model employing either the Benders L-Shaped method or the Progressive Hedging algorithm. Report the purchased generation capacity and the total expected cost (investment + production).
- Risk-averse formulation: Formulate the problem as a two-stage stochastic linear pro- gramming model with risk-averse measure CVaRα, instead of using the expected gen- eration cost, in the objective function.
- Risk-averse model implementation and solution: With the given dataset, solve your risk-averse model with different confidence levels α employing the decomposition algo- rithm you developed in task 2.
see notebook