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Keywords:

  • augmented Lagrangian relaxation;
  • stochastic integer programming;
  • capacity expansion

Abstract

Stochastic programming is a typical method for addressing the uncertainties in capacity expansion planning problem. However, the corresponding deterministic equivalent model is often intractable with considerable number of uncertainty scenarios especially for stochastic integer programming (SIP) based formulations. In this article, a hybrid solution framework consisting of augmented Lagrangian optimization and scenario decomposition algorithm is proposed to solve the SIP problem. The method divides the solution procedure into two phases, where traditional linearization based decomposition strategy and global optimization technique are applied to solve the relaxation problem successively. Using the proposed solution framework, a feasible solution of the original problem can be obtained after the first solution phase whereas the optimal solution is obtained after the second solution phase. The effectiveness of the proposed strategy is verified through a numerical example of two stage stochastic integer program and the capacity expansion planning examples. © 2011 American Institute of Chemical Engineers AIChE J, 2012