Integration of wind power production in a conventional power production system: stochastic models and performance measures

A stochastic programming model for the daily coordination of hydro power plants and wind power plants with pumped storage is introduced, with hourly wind power production uncertainty represented by means of a scenario tree. Historical data of wind power production forecast error are assumed to be available, which are used for obtaining wind power production forecast error scenarios. These scenarios are then combined with information from the weather forecast, resulting in wind power production scenarios. Ex-ante and ex-post measures are considered for assessing the value of the stochastic model: the ex-ante performance evaluation is based on the Modified Value of Stochastic Solution for multistage stochastic programming, introduced independently in Escudero (TOP 15(1):48–66, 2007) and Vespucci (Ann Oper Res 193:91–105, 2012); the ex-post performance evaluation is defined in terms of the Value of Stochastic Planning, introduced in Schütz (Int J Prod Econ, 2009), that makes use of the realized values of the stochastic parameter. Both measures indicate the advantage of using the stochastic approach.