Decomposition algorithm for large-scale two-stage unit-commitment

Everyday, electricity generation companies submit a generation schedule to the grid operator for the coming day; computing an optimal schedule is called the unit-commitment problem. Generation companies can also occasionally submit changes to the schedule, that can be seen as intra-daily incomplete recourse actions. In this paper, we propose a two-stage formulation of unit-commitment, wherein both the first and second stage problems are full unit-commitment problems. We present a primal-dual decomposition approach to tackle large-scale instances of these two-stage problems. The algorithm makes extensive use of warm-started bundle algorithms, and requires no specific knowledge of the underlying technical constraints. We provide an analysis of the theoretical properties of the algorithm, as well as computational experiments showing the interest of the approach for real-life large-scale unit-commitment instances.