Unit Commitment with Production Cost Uncertainty, a Recourse Programming Method

In this paper, a stochastic recourse programming method to solve the Unit Commitment problem with production costs uncertainties is presented. These problems are non-linear mixed integer problems, often large scale and subject to several uncertainties. In this field, earlier work addressed the problem in determinist cases and in cases dealing with demand uncertainties. We develop a method to deal with uncertainties related to the cost function. These are often found in energy networks (waste incenerator, cogeneration plant,...). This method is a recourse based programming and remains compatible with existing stochastic programming methods. Results show that this approach presents an obvious interest for a reasonnable computing load.