A cutting-plane solution for chance-constrained unit commitment problems

Abstract

In this study, we addressed a unit commitment problem with uncertain demands during certain hours of the day. A chance-constrained stochastic mixed-integer program (SMIP) is used in the formulation to express the uncertain conditions that generally present difficulties during the computation. We introduce a cutting-plane method to carry out the calculations, and include valid inequalities to restrict the feasible region for the ease of finding suitable solutions. In addition, we utilize a linear approximation for the quadratic objective function that significantly improves the computational efficiency by reducing the complexity of the problem. The results indicate that the SMIP proposed in this study can be calculated within a short time where the chance constraints are satisfied in all the solutions.