# Hydro-thermal scheduling

*This tutorial was generated using Literate.jl.* *Download the source as a .jl file*.

*Download the source as a*.

`.ipynb`

file## Problem Description

In a hydro-thermal problem, the agent controls a hydro-electric generator and reservoir. Each time period, they need to choose a generation quantity from thermal `g_t`

, and hydro `g_h`

, in order to meet demand `w_d`

, which is a stagewise-independent random variable. The state variable, `x`

, is the quantity of water in the reservoir at the start of each time period, and it has a minimum level of 5 units and a maximum level of 15 units. We assume that there are 10 units of water in the reservoir at the start of time, so that `x_0 = 10`

. The state-variable is connected through time by the water balance constraint: `x.out = x.in - g_h - s + w_i,`

where `x.out`

is the quantity of water at the end of the time period, `x.in`

is the quantity of water at the start of the time period, `s`

is the quantity of water spilled from the reservoir, and `w_i`

is a stagewise-independent random variable that represents the inflow into the reservoir during the time period.

We assume that there are three stages, `t=1, 2, 3`

, representing summer-fall, winter, and spring, and that we are solving this problem in an infinite-horizon setting with a discount factor of `0.95`

.

In each stage, the agent incurs the cost of spillage, plus the cost of thermal generation. We assume that the cost of thermal generation is dependent on the stage `t = 1, 2, 3`

, and that in each stage, `w`

is drawn from the set `(w_i, w_d) = {(0, 7.5), (3, 5), (10, 2.5)}`

with equal probability.

## Importing packages

For this example, in addition to `SDDP`

, we need `HiGHS`

as a solver and `Statisitics`

to compute the mean of our simulations.

```
using HiGHS
using SDDP
using Statistics
```

## Constructing the policy graph

There are three stages in our infinite-horizon problem, so we construct a unicyclic policy graph using `SDDP.UnicyclicGraph`

:

`graph = SDDP.UnicyclicGraph(0.95; num_nodes = 3)`

```
Root
0
Nodes
1
2
3
Arcs
0 => 1 w.p. 1.0
1 => 2 w.p. 1.0
2 => 3 w.p. 1.0
3 => 1 w.p. 0.95
```

## Constructing the model

Much of the macro code (i.e., lines starting with `@`

) in the first part of the following should be familiar to users of JuMP.

Inside the `do-end`

block, `sp`

is a standard JuMP model, and `t`

is an index for the state variable that will be called with `t = 1, 2, 3`

.

The state variable `x`

, constructed by passing the `SDDP.State`

tag to `@variable`

is actually a Julia struct with two fields: `x.in`

and `x.out`

corresponding to the incoming and outgoing state variables respectively. Both `x.in`

and `x.out`

are standard JuMP variables. The `initial_value`

keyword provides the value of the state variable in the root node (i.e., `x_0`

).

Compared to a JuMP model, one key difference is that we use `@stageobjective`

instead of `@objective`

. The `SDDP.parameterize`

function takes a list of supports for `w`

and parameterizes the JuMP model `sp`

by setting the right-hand sides of the appropriate constraints (note how the constraints initially have a right-hand side of `0`

). By default, it is assumed that the realizations have uniform probability, but a probability mass vector can also be provided.

```
model = SDDP.PolicyGraph(
graph;
sense = :Min,
lower_bound = 0.0,
optimizer = HiGHS.Optimizer,
) do sp, t
@variable(sp, 5 <= x <= 15, SDDP.State, initial_value = 10)
@variable(sp, g_t >= 0)
@variable(sp, g_h >= 0)
@variable(sp, s >= 0)
@constraint(sp, balance, x.out - x.in + g_h + s == 0)
@constraint(sp, demand, g_h + g_t == 0)
@stageobjective(sp, s + t * g_t)
SDDP.parameterize(sp, [[0, 7.5], [3, 5], [10, 2.5]]) do w
set_normalized_rhs(balance, w[1])
return set_normalized_rhs(demand, w[2])
end
end
```

```
A policy graph with 3 nodes.
Node indices: 1, 2, 3
```

## Training the policy

Once a model has been constructed, the next step is to train the policy. This can be achieved using `SDDP.train`

. There are many options that can be passed, but `iteration_limit`

terminates the training after the prescribed number of SDDP iterations.

`SDDP.train(model; iteration_limit = 100)`

```
-------------------------------------------------------------------
SDDP.jl (c) Oscar Dowson and contributors, 2017-24
-------------------------------------------------------------------
problem
nodes : 3
state variables : 1
scenarios : Inf
existing cuts : false
options
solver : serial mode
risk measure : SDDP.Expectation()
sampling scheme : SDDP.InSampleMonteCarlo
subproblem structure
VariableRef : [6, 6]
AffExpr in MOI.EqualTo{Float64} : [2, 2]
VariableRef in MOI.GreaterThan{Float64} : [5, 5]
VariableRef in MOI.LessThan{Float64} : [1, 1]
numerical stability report
matrix range [1e+00, 1e+00]
objective range [1e+00, 3e+00]
bounds range [5e+00, 2e+01]
rhs range [2e+00, 1e+01]
-------------------------------------------------------------------
iteration simulation bound time (s) solves pid
-------------------------------------------------------------------
1 2.390000e+02 6.304440e+01 1.095691e-01 183 1
31 8.517170e+02 2.346450e+02 1.140093e+00 7701 1
52 2.121585e+02 2.361937e+02 2.173720e+00 13596 1
69 3.584855e+02 2.363821e+02 3.190514e+00 18603 1
78 3.060172e+02 2.364187e+02 4.190774e+00 22830 1
100 1.135002e+02 2.364293e+02 5.200772e+00 26640 1
-------------------------------------------------------------------
status : iteration_limit
total time (s) : 5.200772e+00
total solves : 26640
best bound : 2.364293e+02
simulation ci : 2.593398e+02 ± 5.186931e+01
numeric issues : 0
-------------------------------------------------------------------
```

## Simulating the policy

After training, we can simulate the policy using `SDDP.simulate`

.

```
sims = SDDP.simulate(model, 100, [:g_t])
mu = round(mean([s[1][:g_t] for s in sims]); digits = 2)
println("On average, $(mu) units of thermal are used in the first stage.")
```

`On average, 1.71 units of thermal are used in the first stage.`

## Extracting the water values

Finally, we can use `SDDP.ValueFunction`

and `SDDP.evaluate`

to obtain and evaluate the value function at different points in the state-space. Note that since we are minimizing, the price has a negative sign: each additional unit of water leads to a decrease in the expected long-run cost.

```
V = SDDP.ValueFunction(model[1])
cost, price = SDDP.evaluate(V; x = 10)
```

`(233.55074662683333, Dict(:x => -0.6602685305287201))`