OR seminars

November 28, 2023


CORE - Room C035

Jehum Cho - CORE

will give a presentation on 

Exact Mixed-Integer Programming Approach for Chance-Constrained Multi-Area Reserve Sizing


An exact algorithm is developed for the chance-constrained multi-area reserve sizing problem in the presence of transmission network constraints. The problem can be cast as a two-stage stochastic mixed integer linear program using sample approximation. Due to the complicated structure of the problem, existing methods attempt to find a feasible solution based on heuristics. Existing mixed-integer algorithms that can be applied directly to a two-stage stochastic program can only address small-scale problems that are not practical. We have found the minimal description of the projection of our problem onto the space of the first-stage variables. This enables us to directly apply more general Integer Programming techniques for mixing sets, that arise in chance-constrained problems. Combining the advantages of the minimal projection and the strengthening reformulation from IP techniques, our method can tackle real-world problems. We specifically consider a case study of the 10-zone Nordic network with 100,000 scenarios where the optimal solution can be found in approximately 5 minutes.