Parallelized Stochastic Short-term Hydrothermal
Generation Scheduling
Juan Araya
Esteban Gil
Department of Electrical Engineering
Universidad Técnica Federico Santa Marı́a
Valparaı́so, Chile
Abstract—This paper proposes a Stochastic Mixed-Integer Lin-
ear Programming (SMILP) formulation for Short-Term Hydro-
thermal Generation Scheduling (STHTGS) under uncertainty.
STHTGS seeks to minimize present and future operation costs
by deciding the commitments of thermal generators and the
allocation of hydro resources during the planning horizon.
The stochastic STHTGS is decomposed using the Progressive
Hedging Algorithm (PHA) and each sub-problem is solved in
parallel. Numerical tests are conducted for the Chilean Central
Interconnected System with 12 stochastic scenarios and a weekly
decision horizon. The stochastic and deterministic formulations
are compared by solving standard variations of the stochastic
problem. Numerical results show that the proposed decomposi-
tion and parallelization strategy can help reduce simulation times
and hedge against uncertainty, but the level of benefits and the
convergence properties are highly dependent on the amount of
water available in the scheduling horizon and the diversity of the
scenarios.
Index Terms—Power Systems Optimization; Short-term
Hydrothermal Scheduling; Stochastic Mixed-integer Linear Pro-
gramming; Parallel Computing; Unit Commitment.
N OMENCLATURE
cx Vector of cost coefficients for first-stage variables
cy Vector of cost coefficients for second-stage vari-
ables
Cgop Variable cost for generator g ∈ G
Cgon , Cgof f Start and shutdown cost for generator g ∈ G
F CFr Future Cost Function for reservoir r ∈ R
Pt,g Generation for generator g ∈ G.
Qs Set of problem constraints in scenario s ∈ S
U SEt,n Unserved energy in bus n ∈ N
V olT,r Energy in reservoir r ∈ R in the last period T
V oLL Value of lost load for the system
xs Vector grouping first-stage variables for s ∈ S
ys Vector grouping second-stage variables for s ∈ S
ψt Thermal generation cost in period t ≤ T
Yt,g Order to start g ∈ G in t (binary variable)
Zt,g Order to shutdown g ∈ G in t (binary variable)
ωs Weight of scenario s ∈ S in objective function.
The authors thank the support of the Chilean National Commission for
Scientific and Technological Research (CONICYT) under grants Fondecyt
1151270 and Basal Project FB0008, Advanced Center for Electrical and
Electronic Engineering (AC3E).
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I. I NTRODUCTION
The development and improvement of libraries, compilers,
language extensions, and other supporting tools has driven
significant advances in performance and usability of paral-
lel computers and High Performance Computing (HPC) [1].
These advances have recently motivated research of a number
of novel applications of HPC to electric energy systems (see
[2] for a review). At the same time, the need to model explic-
itly the additional uncertainty brought by variable renewable
generation has been increasing the size of the optimization
problems associated to power system operations. In this con-
text, decomposition and parallelization of such problems offer
great potential for reducing simulation times and for allowing
more accurate mathematical representations of the electric grid
and the uncertain parameters.
This paper proposes a Mixed-Integer Linear Programming
(MILP) formulation for the Short-Term Hydrothermal Gener-
ation Scheduling problem (STHTGS). In the STHTGS, the
objective is minimizing present and future operation costs.
The decision variables are the commitments of the thermal
generators and the allocation of hydro resources during the
planning horizon (1 week), thus being a mix of integer and
continuous variables. The constraint set includes, among oth-
ers, energy balance in each bus, transmission network power
flows and losses, technical operation limits, loading ramps,
min-up and min-down times, reserve requirements, and water
balance constraints for reservoirs and cascading hydro.
Uncertainty in the STHTGS may appear in different mod-
eling parameters, such as demand, availability of hydro re-
sources, wind/solar generation, and so on. Due to the large
size and computational complexity of even the deterministic
STHTGS optimization problem, uncertainty in the weekly
planning horizon has traditionally been ignored or dealt with
exogenously. However, increasing penetration of variable gen-
eration such as wind and solar are forcing system operators to
explicitly include uncertainty in this stage.
Recently, a number of scenario-based stochastic mixed-
integer linear programming formulations (henceforth SMILP)
have been proposed in the literature for the stochastic Unit
Commitment (UC) in predominantly thermal power systems.
Due to their structure, SMILP formulations of stochastic UC
lend themselves nicely to parallelization and use of HPC,
with dramatic improvements in simulation times [3], [4].
Stochastic STHTGS can be computationally more difficult
than stochastic UC as the planning horizon is usually longer (1
week instead of 1 day), implying a larger number of variables.
STHTGS also needs coordination with medium and long-term
operational planning models, as using stored hydro energy in
the current scheduling horizon precludes its use in the future.
In this context, parallelization of the stochastic STHTGS is
paramount to solve the problem in reasonable time.
The objective of this work is to present results for the appli-
cation of a Progressive Hedging Algorithm (PHA) to decom-
pose and parallelize the SMILP formulation of the stochastic
STHTGS problem. PHA has recently been successfully used
for the stochastic UC problem [5], [6] and for medium-term
operational planning of hydrothermal systems [7], which are
closely related problems. Computational experiments are con-
ducted for the Chilean Central Interconnected System, Chile’s
largest interconnected system with a 2014 installed generation
capacity of about 14.1 GW (42.3% hydro). Numerical results
are discussed to show the convergence properties of the PHA.
Also, the SMILP formulation is evaluated by solving standard
variations of the stochastic problem.
The paper is structured as follows: Section II presents the
mathematical formulation of the stochastic STHTGS; Section
III shows the decomposition approach using the PHA; Section
IV provides details about the implementation of the algorithm,
the parallelization of the problem solution, and describes the
test system; Section V presents numerical results showing the
benefits of the stochastic solution, discusses the convergence of
the PHA, and discusses the computational performance of the
parallelized SMILP formulation. Finally, Section VI presents
the main paper conclusions.
II. S TOCHASTIC STHTGS FORMULATION AND
DECOMPOSITION
A. Deterministic formulation
The purpose of the STHTGS problem is minimizing present
and future operation costs, considering the commitments of
the thermal generators and the allocation of hydro resources
during the planning horizon as decision variables. Therefore,
STHTGS combines the thermal unit commitment (UC) prob-
lem [8] and the short-term hydrothermal coordination (HC)
problem [9] into a single optimization process. The UC prob-
lem has binary decision variables. The HC problem decides
how much and when to use water across the scheduling hori-
zon. Hence, STHTGS combines both integer and continuous
decision variables. As the scheduling horizon goes from a few
days to a week, even the deterministic formulation has a large
number of variables and can be quite difficult to solve. The
objective function can be summarized as:
Minimize:
X X X (NA) constraints. This group includes unit commitment
{ψt + F CFr (V olT,r ) + V oLL · U SEt,n } (1)
t∈T r∈R n∈N
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The thermal generation cost ψt in period t ≤ T can be
written as the sum of variable operating costs and start and
shutdown costs for all generators in set G:
X
ψt = {Cgop · Pt,g + Cgon · Yt,g + Cgof f · Zt,g } (2)
g∈G
All decision variables (see nomenclature section) are in-
dexed in time t ≤ T . The decision variables are when to start
or shut down a thermal generator (Yt,g and Zt,g , respectively),
the production of each generator (Pt,g ), and the level of water
in each reservoir at the end of the scheduling horizon (V olT,r ).
V olT,r defines the amount of water used by hydro generators.
The future cost of water is the opportunity cost of using the
hydro energy now instead of storing it for future use. It is
represented by a Future Cost Function F CFr exogenously
obtained from medium- and long-term models [9].
The hydro and the committed thermal generators must
be able to satisfy the system load for every hour subject
to a number of operating, transmission, security, and hydro
constraints, included in the constraint set Q. Q also includes
DC power flow equations, technical operation limits of gener-
ators and lines, loading ramps, min-up and min-down times,
spinning and non-spinning reserve requirements, and water
balance constraints for reservoirs and cascading hydro. Thus,
all decision variables must satisfy the constraint set Q.
Detailed modeling of some of the problem constraints would
require non-linear optimization, but depending of the formu-
lation and system size the optimization problem can easily
become computationally intractable. For large-sized systems,
STHTGS is usually formulated such as to avoid non-linear
constraints in order to allow the use of extremely efficient
branch-and-bound algorithms found in modern solvers.
B. Stochastic formulation
The stochastic formulation of the STHTGS problem models
the uncertainty of the input parameters (e.g. demand, variable
renewable generation, and hydro inflows) by defining a finite
set of differently-weighted scenarios, so that the objective
function corresponds to the minimization of the expected
value of the total system cost. Further discussion of scenario
generation and reduction can be found in [10] and [11].
The mathematical optimization problem is formulated using
two-stage stochastic programming [12]. SMILP has recently
been used in other power system optimization problems
subject to uncertainty and having similar structures to the
STHTGS, such as the UC problem [5], [6] and the capacity
expansion planning problem [13], [14]. In two-stage stochastic
programming the decision variables are separated in two
groups:
• A set of first-stage decisions that are forced to be the same
across scenarios by using the so called non-anticipativity
decisions of large thermal generators, Yt,g and Zt,g , as
in the stochastic unit commitment problem [3], [6].
 • A set of second-stage decision variables that, although used in medium- and long-term hydro coordination models for
conditioned by first-stage variables, can be modified creating the future cost functions used in (1) of the STHTGS
depending on the scenario. Among the second-stage vari- formulation (e.g. [17]). However, the application of BD in
ables we include operating decisions such as generation short-term generation scheduling is more limited due to the
output by each generator (Pt,g ), commitment decisions presence of integer variables. In this context, the use of a
for some of the smaller/more flexible thermal units (Yt,g scenario-based decomposition scheme such as the Progressive
and Zt,g ). Hedging Algorithm (PHA) proposed by Rockefeller and Wets
For notation purposes, for each scenario s ∈ S we group [18] can be a good alternative. PHA has been previously
all first-stage decision variables in vector xs , while second- applied to the stochastic UC problem [6], [5] with good
stage variables are grouped in vector ys . Thus, the objective results, and has also been applied for medium-term operational
function in (1) can be rewritten for each scenario s ∈ S as: planning of hydrothermal systems [7]. In this paper we propose
its use in the STHTGS problem.
Minimize: {cx · xs + cy · ys }| xs , ys ∈ Qs (3)
PHA decomposes the extensive form in (4) into |S| sub-
In (3) there are |S| independent formulations of the same problems by relaxing the NA constraints, while adding extra
problem, and henceforth each of these formulations or sce- penalty terms mimicking Lagrange multipliers to each of
narios will be called a sub-problem. As we are assuming the the |S| objective functions. For this reason, PHA can be
cost parameters to be the same for all scenarios, the difference classified as an augmented Lagrangian method. In the first
between scenarios lies in the the right-hand-side (RHS) of the step, an optimal solution is obtained independently for each
set of constraints for scenario s ∈ S, that is, Qs . For example, scenario without enforcing the NA constraints. In other words,
in case of uncertain demand and/or variable generation (wind these independent solutions assume perfect foresight about
and/or solar) only the RHS for the energy balance constraints the realization of the stochastic parameters, but the solution
will be different. for the first-stage decisions is not unique. This solution is
The deterministic formulation for each scenario in (3) can called the Wait-And-See solution (WS). Next, a candidate non-
be extended to a stochastic formulation by defining a master anticipative solution for the first-stage variables is proposed
problem as follows: as the average of the independent solutions. Next, the vector
(k)
X of multipliers associated to the NA constraints (ws ) are
Minimize: ωs {cx · xs + cy · ys } | xs , ys ∈ Qs ∀s ∈ S
updated and included in the augmented objective function for
s∈S
each sub-problem, together with a quadratic proximal term to
subject to xi = xj ∀i, j ∈ S accelerate convergence to a non-anticipative optimal solution.
(4)
The algorithm stops when the first-stage variables vectors for
The extra constraints ensure non-anticipativity, guaranteeing
all scenarios converge to the average. The PHA is summarized
that first-stage variables are identical across scenarios. The
in pseudo-code as follows:
optimization problem in (4) is approximately |S|-times the
original deterministic problem.
Progressive hedging algorithm
III. D ECOMPOSITION USING THE P ROGRESSIVE H EDGING
A LGORITHM (PHA) 1: k←0
The objective function in (4) and the set of all the con- 2: for all scenarios s ∈ S do
(0)
3: xs ← argminx,y {cx · xs + cy · ys } | xs , ys ∈ Qs
straints ∪ Qs is usually called the extensive form (EF) (0)
∀s∈S 4: ws = 0
of the stochastic program. The full constraint matrix of the 5: end for P
(0)
EF has a block-angular structure, where NA constraints are 6: x(0) = ω · xs
s∈S s
7: repeat
the only ones involving variables from different blocks and 8: k ←k+1
precluding solving the sub-problems independently. The EF 9: for all scenarios s ∈ S do
(k) (k−1)
of the stochastic program is a particular case of MILP that 10: ws = ws + ρ(x(k−1) − x(k−1) )
(k) (k)
11: xs ← argminx,y {cx ·xs +cy ·ys +ws ·xs +0.5ρk(xs −
can be solved using a Branch & Bound strategy [15].
x(k−1) )k} | xs , ys ∈ Qs
However, the EF of the stochastic STHTGS problem has 12: end for P
(k)
at least |S| times as many variables and constraints as the 13: x(k) = ω · xs
s∈S s
(k)
deterministic STHTGS problem. As the deterministic problem 14: until k(xs − x(k) )k ≤ tolerance, ∀s ∈ S
is already quite difficult to solve, solving by brute force the
EF of the stochastic STHTGS can take an impractical time
to solve without applying a decomposition scheme. There are
a number of decomposition methods that can be applied to The vector of multipliers associated to the NA constraints
(k)
stochastic programming (see [16] for a review). For example, (ws ) are updated in Step 10 and then included in the
Benders Decomposition (BD) can decompose a stochastic augmented objective function in Step 11, together with a
program in time stages linked by convex piece-wise linear quadratic proximal term to accelerate convergence to a non-
recourse functions. Algorithms based in BD, for example, are anticipative optimal solution.

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 IV. T EST SYSTEM AND ALGORITHM IMPLEMENTATION
A. Algorithm implementation
PHA creates similarly difficult sub-problems (as each one
is a deterministic version of the STHTGS problem), making
it well suited for parallelism. The formulation is programmed
using Python Optimization Modeling Objects (Pyomo) [19],
[20], a Phython-based open-source software. Unlike other
algebraic modeling languages using their own custom mod-
eling language, Pyomo can access Python’s many supporting
libraries. Each sub-problem is solved using CPLEX [21], and
parallelization is conducted using a shared-memory architec-
ture using OpenMP in a computer with 2 Intel E5 Xeon
processors with 6 cores each, totaling 12 cores.
Except for the initialization and the average calculation
in Steps 6 and 13 of the PHA, all other algorithm steps
need to be performed independently for all scenarios and
hence can be easily parallelized. Steps 6 and 13 are a barrier
synchronization point occurring after each set of sub-problems
solves. As reported in [6], if the number of sub-problems is
too large, the barrier synchronizer can reduce the efficiency of
the parallelism if there is too much variability in sub-problem
solve times.
B. Test system
The method is tested in the Chilean Central Interconnected
System, Chile’s largest interconnected system serving nearly
92% of the country’s population. The model is composed of
152 buses and 202 transmission lines, 330 generators, of which
205 are thermal and 11 hydro with significant water storage.
The remaining generators are wind farms, run-of-river, and
cascading hydro units. An instance of the problem considering
a weekly horizon is solved for |S| = 12 stochastic scenarios.
The optimization is formulated as a SMILP that can be solved
using the Branch & Bound algorithm of CPLEX. After the
Presolve and Aggregator routines of CPLEX, the extensive
form (EF) of the SMILP has 297804 rows (constraints) and
3349266 columns (variables) with 9467400 non-zero coeffi-
cients, and 8706 binary variables. Thus, each sub-problem has
approximately one twelfth of that.
Uncertainty was modeled by studying historical forecasting
errors for different parameters of the STHTGS: demand,
hydro inflows, and wind and solar generation. Then, scenarios
consisting of different combinations of forecasting error time
series for each parameter were created. For each combination,
the net demand (demand minus wind and solar generation
minus run-of-river generation) was calculated for the 168
hours of the week. Finally, the number of scenarios was
reduced by defining 12 clusters.
V. C OMPUTATIONAL RESULTS
The performance of the stochastic STHTGS can be mea-
sured by solving standard variations of the stochastic problem
[12], including a comparison with the deterministic solution.
The solution of the deterministic STHTGS was obtained
using an average scenario and its objective function value is
reported as EV in Table I. To evaluate its performance under
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TABLE I
O PTIMAL OBJECTIVE VALUE OF TEST PROBLEMS
Obj Function Value
Problem
[MM$]
EV (Expected Value solution) 302112.7
WS (Wait-and-See solution) 452575.7
RP (Recourse Problem solution) 462825.1
EEV (Expected result of EV) 509614.3
TABLE II
S TOCHASTIC SOLUTION PERFORMANCE METRICS
Performance Value Value
indicator [MM$] [% of EEV]
EEV - WS 57038.6 11.2%
VSS = EEV - RP 46798.2 9.2%
EVPI = RP - WS 10249.5 2.0%
uncertainty we obtain EEV, that is, the expected cost of the
EV solution when tested for all scenarios (that is, if the first-
stage decisions are fixed and the costs are calculated for each
scenario). RP is the objective function value of the stochastic
solution. When the performance of the deterministic solution
is compared against the performance of the stochastic solution
we get the value of the stochastic solution (VSS in Table II).
As expected, RP < EEV because the RP solution considers
the variability of the scenarios when obtaining the first stage
variables. The Wait-and-See solution (WS) deterministically
obtains different sets of first-stage variables for each of the
scenarios (assuming perfect foresight), so WS < RP. The
differences between the values in Table I provide performance
metrics for the stochastic solution, and are shown in Table II.
The values reported in Table I and Table II are for a ex-
tremely dry condition that severely limits the flexibility usually
provided by hydro units, hence the high value of the stochastic
solution (about 9%). For this condition, the stochastic solution
is capable to avoid some hefty penalties associated to operating
the reservoirs too close to their minimum. In more normal
conditions the VSS is generally around 1%, and can even be
zero is the conditions are very wet.
The Expected Value of Perfect Information (EVPI), rep-
resenting the expected value of having a perfect knowledge
about the future is about 2% of the EEV value. The Value
of the Stochastic Solution (VSS) measures the benefits in
terms of cost reduction of the stochastic solution against the
deterministic solution. The VSS covers over 80% of the gap
between the EEV and the WS model. These estimated savings
can be an important incentive for using stochastic STHTGS.
The case study shown in Tables I and II uses very dissimilar
stochastic scenarios, but further tests conducted for less diverse
sets of scenarios showed benefits of the stochastic STHTGS
significantly more modest (VSS around 1% of EEV). Another
aspect affecting the benefits of the stochastic approach is the
amount of water available, as wet conditions tend to show
smaller benefits as hydro generation can be used to reduce the
need to turn thermal units on and off.
An important advantage of decomposing and parallelizing
the problem is a significant reduction in simulation time.
The EF formulation takes about 50 minutes to read all the
data and writing the problem, and 82 minutes to solve it. In
the first iteration, PHA formulates significantly simpler sub-
problems (writing it takes about 2 minutes) and the process
is parallelized. In subsequent iterations PHA only updates the
penalty term in the objective function, so there is no need
to read the data files again or to formulate the problem in
its entirety. For the case presented in the paper, the PHA
took about 48 minutes from start to finish and 6 iterations
to converge. The number of iterations needed for convergence
is also affected by the diversity of the scenario set and the
amount of water available, as they can change the distance
between the vectors of first-stage variables in the first iteration.
VI. C ONCLUSION
This article proposed a 2-stage stochastic programming
formulation of the STHTGS problem that deals with the uncer-
tainty in the input parameters. In realistic power systems mod-
eled with an adequate level of detail, the stochastic STHTGS
problem is a large and difficult optimization problem whose
extensive form cannot be solved in a reasonable time without
recurring to decomposition. The decomposition method used
in this article is based in the PHA. Since the PHA generates
similarly sized sub-problems, parallelism and use of HPC are
very good alternatives to reduce simulation times.
After simulating a number of different cases and comparing
the results against the deterministic solution, we found that
the stochastic performance metrics (EVPI and VSS) and the
number of iterations (and therefore the total simulation time)
for the PHA can be highly variable depending on mainly two
things: (1) amount of water available during the scheduling
horizon, and (2) diversity of scenarios.
In the case of the available water, we found out that in very
wet weeks most of the net demand variability is covered by
hydro generation and not by turning on and off thermal units.
Thus, the thermal unit commitments in the first iteration are
very similar across scenarios, and the problem converges quite
fast after only two iterations. Because of this, the gap between
the EEV and the WS solutions is relatively small and the VSS
does not exceed 1% of the EEV. On the other hand, in dry
weeks the thermal commitments need to handle most of the
net demand variability, so the first-stage variables can be very
different across scenarios and the problem can take beyond 6
iterations to converge (depending on the value of ρ). In dry
weeks both EVPI and VSS can increase significantly, clearly
justifying the use of SMILP.
If the scenarios used to model the uncertainty are too
diverse (as in the results shown in the paper) we observed
that simulation times for PHA tend to increase, as in the first
iteration the first-stage variables for each sub-problem will be
more different. Thus, more iterations will be needed for PHA
to converge. Of course, a large diversity of scenarios also tends
to elicit larger benefits of the stochastic solution, as the VSS
and EVPI will both increase.
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