Abstract
The economic dispatch of electric power with uncertain demand is modeled as stochastic program with simple recourse. We analyze quantitative stability properties of the power dispatch model with respect to the Li-distance of the marginal distribution functions of the demand vector. These stability results are used to derive asymptotic properties of the model if the (true) marginal distributions are replaced by smooth nonparametric estimates based on the kernel method. Finally, we discuss how smooth estimates can be used efficiently for the numerical treatment of simple recourse models by using nonlinear programming techniques. Numerical results are reported for Dantzig’s Aircraft Allocation Problem.
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Gröwe, N., Römisch, W. (1992). A Stochastic Programming Model for Optimal Power Dispatch: Stability and Numerical Treatment. In: Marti, K. (eds) Stochastic Optimization. Lecture Notes in Economics and Mathematical Systems, vol 379. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-88267-8_6
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DOI: https://doi.org/10.1007/978-3-642-88267-8_6
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