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An effective multiplier method-based differential dynamic programming (DDP) algorithm for solving the hydroelectric generation scheduling problem (HSP) is presented. The algorithm is developed for solving a class of constrained dynamic optimization problems. It relaxes all constraints but the system dynamics by the multiplier method and adopts the DDP solution technique to solve the resultant unconstrained dynamic optimization problem. The authors formulate the HSP of the Taiwan power system and apply the algorithm to it. Results demonstrate the efficiency and optimality of the algorithm for this application. Computational results indicate that the growth of the algorithm's run time with respect to the problem size is moderate. CPU times of the testing cases are well within the Taiwan Power Company's desirable performance; less than 30 minutes on a VAX/780 mini-computer for a one-week scheduling.>
Chang et al. (Mon,) studied this question.