Lagrangian Relaxation & Unit Commitment

Stochastic Unit Commitment problem is a stochastic MIP that must be solved frequently by TSO (Transmission System Operator) in order to produce as much power as the load demand at the lowest price. Such problem cannot be solved at optimality in a timely manner with a realistic number of power generation unit, and heuristics have to be employed to tackle this problem. The tutorial exposes the theoretic framework underlying the Lagrangian relaxation, and provide an application to the Stochastic Unit Commitment problem.