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A Two-Stage Model for Planning Energy Investment under Uncertainty

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MESW02 - Electricity systems of the future: incentives, regulation and analysis for efficient investment

We consider risk-averse stochastic programming models for the Generation and Expansion Planning(GEP) problem with investment decisions in the first stage and generation variables of recourse, decided in a second stage. The resulting problem is coupled both along scenarios and along power plants. To achieve decomposition, we combine the Progressive Hedging approach in [1] with a suitable duplication of variables [2]. The resulting nonsmooth dual function can then be solved with an inexact dual proximal bundle method, as in [3]. The procedure defines a primal-dual sequence that, under reasonable assumptions, is shown to converge to a primal-dual solution of the original problem.Claudia Sagastizabal andF. Atenas

This talk is part of the Isaac Newton Institute Seminar Series series.

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