A Control-variable Regression Monte Carlo Technique for Short-term Electricity Generation Planning

In the day-to-day operation of a power system, the system operator repeatedly solves short-term generation planning problems. When formulating these problems the operators have to weigh the risk of costly failures against increased production costs. The resulting problems are often high-dimensional and various approximations have been suggested in the literature.

In this article we formulate the short-term planning problem as an optimal switching problem with delayed reaction. Furthermore, we proposed a control variable technique that can be used in Monte Carlo regression to obtain a computationally efficient numerical algorithm.