A New Multiperiod Stage Definition for the Multistage Benders Decomposition Approach Applied to Hydrothermal Scheduling

Multistage Benders decomposition (MSBD), also known as dual dynamic programming, is a well-established technique to solve hydrothermal scheduling problems, especially for predominantly hydro systems. The MSBD methodology solves the problem by iterative forward and backward recursions, approximating the cost-to-go function for each stage by Benders cuts, as opposed to traditional dynamic programming approaches that discretize the state space at each time-step. The classical definition of the stages in the MSBD approach is to assign a stage for each time period. In this paper, we propose a new strategy to decompose the problem, where each stage comprises all variables and constraints of several time periods.