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Stochastic programming

About: Stochastic programming is a research topic. Over the lifetime, 12343 publications have been published within this topic receiving 421049 citations.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the authors discuss different approaches to construct uncertainty sets based on historical data, with the purpose of reducing the conservativeness while maintaining the same level of robustness of the solution.
Abstract: For robust unit commitment problems addressing load, renewable energy generation, and demand response uncertainties, constructing a proper uncertainty set plays an important role in determining the conservativeness of the model. In this letter, we discuss different approaches to construct uncertainty sets based on historical data, with the purpose of reducing the conservativeness while maintaining the same level of robustness of the solution.

158 citations

Journal ArticleDOI
TL;DR: In this article, a multi-stage stochastic programming model is proposed for the expansion coplanning of gas and power networks considering the uncertainties in net load demand, and non-anticipativity constraints are taken into account to guarantee the decisions should only depend on the information of realized uncertainties up to the present stage.
Abstract: A novel multi-stage stochastic programming model is proposed for the expansion coplanning of gas and power networks considering the uncertainties in net load demand. Meanwhile, the nonanticipativity constraints are taken into account to guarantee the decisions should only depend on the information of realized uncertainties up to the present stage. Compared with the traditional two-stage stochastic programming model, the proposed multi-stage stochastic programming model yields sequential investment decisions with the uncertainties revealed gradually over time, such that the investment decisions are capable of keeping future options open and can shift from “never be changed” decisions to a flexible “wait and see” decisions. The test on three systems shows the effectiveness of the proposed multi-stage stochastic programming model.

157 citations

Journal ArticleDOI
TL;DR: A stochastic programming model is proposed to determine how supplies should be positioned and distributed among a network of cooperative warehouses to more effectively preposition supplies in preparation for their distribution at an operational level.

157 citations

Journal ArticleDOI
01 Jan 2017-Energy
TL;DR: In this article, the problem of optimal scheduling problem of plug-in electric vehicle aggregators in electricity market considering the uncertainties of market prices, availability of vehicles and status of being called by the ISO in the reserve market is investigated.

157 citations

Journal ArticleDOI
TL;DR: This work introduces two classes of stochastic approximation methods, each of which requires exactly one projection step at every iteration, and provides convergence analysis for each of them.
Abstract: We consider a Cartesian stochastic variational inequality problem with a monotone map. Monotone stochastic variational inequalities arise naturally, for instance, as the equilibrium conditions of monotone stochastic Nash games over continuous strategy sets or multiuser stochastic optimization problems. We introduce two classes of stochastic approximation methods, each of which requires exactly one projection step at every iteration, and provide convergence analysis for each of them. Of these, the first is a stochastic iterative Tikhonov regularization method which necessitates the update of the regularization parameter after every iteration. The second method is a stochastic iterative proximal-point method, where the centering term is updated after every iteration. The Cartesian structure lends itself to constructing distributed multi-agent extensions and conditions are provided for recovering global convergence in limited coordination variants where agents are allowed to choose their steplength sequences, regularization and centering parameters independently, while meeting a suitable coordination requirement. We apply the proposed class of techniques and their limited coordination versions to a stochastic networked rate allocation problem.

157 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023175
2022423
2021526
2020598
2019578
2018532