16 - Lagrangian Relaxation Solution of Unit Commitment

Page 1
ECE573 2001-2013 George Gross, University of Illinois at Urbana-Champaign; All Rights Reserved 1
ECE 573 Power System Operations and
Control

16. Lagrangian Relaxation Solution of Unit
Commitment
George Gross
Department of Electrical and Computer Engineering
University of Illinois at Urbana-Champaign
Problem statement
Problem formulation
Application of the Lagrangian relaxation approach
Summary
OUTLINE
Page 2
UC PROBLEM STATEMENT
( )
( ) ( )
( ) ( ) ( )
{
( ) ( )
}
( ) ( )
( ) ( ) ( )
( )
1 1
1 1
1
1
1 2
K N
i i i
k i
K N
F S
i i i i i
k i
M
i i i
N
i
i=
N
i i i
i
min f u,p f u k ,p k
f u k ,p k +f u k
f u k ,p k
s.t.
p k d k
k = , ,...K
r u k ,p k k
u, p S
|
= =
= =
=
(
=

( (
= +

(

(
>

)
e
Large-scale optimization
Mixed-integer nonlinear programming problem
commitment decision variables are integer
variables
costs are nonlinear and not continuous
reserves are nonlinear functions
the feasible solution set forms a highly
constrained region
Additively separable cost function
UC PROBLEM CHARACTERISTICS
Page 3
LAGRANGIAN RELAXATION (LR)
Lagrangian relaxation has been applied to solve
the unit commitment problem since the 1970s
Lagrangian relaxation is a technique that makes
extensive use of duality theory in nonlinear
programming
There are commercial packages that solve the UC
problem for very large-scale power systems
REFERENCES
John A. Muckstadt and Sherri A. Koenig, An
Application of Lagrangian Relaxation to
Scheduling in Power-Generation Systems,
Operations Research, vol. 25, pp. 387-403, 1977.
A. Merlin and P. Sandrin, "A New Method for Unit
Commitment at EdF, IEEE Transactions on Power
Apparatus and Systems, vol. PAS-102, no.5, pp. 1218-
1225, May 1983.
Page 4
REFERENCES
A. I. Cohen and V. R. Sherkat, Optimization-
Based Methods for Operations Scheduling, IEEE
Proceedings, vol. 57, no.12, pp. 1574-1592, November
1987.
B.F. Hobbs, M.H. Rothkopf, R.P. ONeill and H.-P.
Chao, eds., The Next Generation of Electric
Power Unit Commitment Modules, Kluwer
Academic Publishers, Boston, 2001.
GENERAL DUALITY THEORY

with and continuously
differentiable functions
n
f :
n m
g :
( )
( )
( )
n
min f x
s.t.
P
g x 0
x S
`
s
e c
)
Page 5
KUHN-TUCKER OPTIMALITY
CONDITIONS
We construct the Lagrangian

Assume for (P ) and that (P ) satisfies
the constraint qualification
Let be optimal for (P ); then, there exists
such that and
( ) ( ) ( )
T
x, f x g x A + L
n
S =
*
x
*
m
e
*
0 >
( )
( )
* * T
x
*T *
x , 0
g x 0
V =
=
L stationarity

complementary-slackness
THE DUAL PROBLEM
The dual function is defined to be

The dual problem is
( ) ( ) { }
: h min x, x S = e L
( )
( )
( )
{ : }
max h
s.t D
h exists, 0
e A >
)
D
Page 6
GLOBAL OPTIMALITY CONDITIONS
Let and . Suppose that and
satisfy the following three conditions:

(ii) feasibility:
(iii) complementary
slackness:
Then, is a saddle point of and
is optimal for (P) and is optimal for (D) .

*
x S e
*
e D
*
x
*
( )
* *
x x, x S e L minimizes overall
( )
*
g x 0 s
( )
* T *
g x 0 =
( )
* *
x ,

*
x
*
( ) x, L
(i) minimality:
STRONG DUALITY
Let and . Then, satisfy the
global optimality conditions if and only if
(i) is feasible for (P )
(ii) is feasible for (D)
(iii)

*
x S e
*
e D
* *
x ,

*
*
x
( ) ( )
( ) { }
* *
f x h max h = = e : D
Page 7
WEAK DUALITY AND CONVEXITY
For any feasible for (P ), and any

The weak duality theorem implies that the value
of the dual at a feasible point is a lower bound for
the primal problem
x e D
( ) ( ) { }
( )
( ) ( )
( )
:
T
h min x, x S
x,
f x g x
f x

= e
s
= +
s
L
L
WEAK DUALITY AND CONVEXITY
A nonlinear program is convex if and
are differentiable and convex
At the optimum of the convex nonlinear
programming problem (P ), the K-T conditions and
the global optimality condition hold
( )
g
( )
f
*
x
Page 8
THE UC PROBLEM
The UC problem is a mixed-integer nonlinear
programming problem: the K-T conditions and
the global optimality condition need not hold
In the UC problem, the objective and constraints
are non-convex; moreover, they are non-
differentiable due to the presence of discrete
variables
Weak duality condition holds since , the dual
function, is concave in the dual variables
( )
h
APPLICATION OF LR TO UC
The basic idea in LR is to get as tight a lower
bound as possible to the optimal solution of (P )
Let be the solution of

then, from weak duality we have

constitutes a tight lower bound for
( ) { }
max h 0 , > :
( ) ( )
* *
h f x s
( )
*
h
*
( )
*
f x
Page 9
THE DUALITY GAP
( )
f x
( ) h
1
A
2
A
3
A
the true dual
optimum
b
the true primal
optimum
c
a computable
solution of (P )
d
a computable
solution of (D)
a

1
is the optimization defect of the primal
problem (P )

3
is the optimization defect of the dual
problem (D)

2
is the difference between the true optimum
solution of the primal problem and the true
optimum solution of the dual problem, given that
only weak duality holds and is called the duality
gap; it can be shown that
2
is a decreasing
function of the dimensionality of the problem
THE DUALITY GAP
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Let be the computable solution of

and so is an approximation of
The duality gap indicates the
difference between the approximate minimum and
the lower bound; the gap is a decreasing function
of the dimension of the primal problem (P )
RELATIVE DUALITY GAP
x
+
( ) ( ) ( )
* * *
x S
h min x, x ,
+
e
= ~ L L
( ) ( )
*
f x h
+
(

*
x x
+
The relative duality gap is expressed by the ratio

Typically, the relative duality gap is small: for
practical UC problems it is of the order of 0.5%
The relative duality gap is often used as the
stopping criterion in computational schemes
RELATIVE DUALITY GAP
( ) ( )
( )
*
f x h
f x
+
+
(
Page 11
PRACTICAL CONSIDERATIONS
While the minimization of the primal problem may
be easy, the maximization of the dual problem
may be difficult
The primal solution obtained may not generally
satisfy the system-wide coupling constraints
(primal infeasible) due to the non-convexity of the
constraints
In actual computations, is not computed;
rather, an approximation of is obtained,
with computed by some numerical scheme;
the goodness of the approximation is very
much a function of the form of the dual function
Then, is computed to be the point at which
*
( ) ( )
x S
x , min x,
+ + +
e
= L L
*
+
x
+
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The feasibility of is tested: for infeasible, a
feasible approximation is computed and used
The estimate of the computable duality gap is then
given by the difference
( ) ( )
f x h
++ +
(
x
+
x
++
x
+
THE UC LAGRANGIAN FUNCTION
( )
( ) ( )
( ) { ( )}
( ) { ( ) ( )
}
1 1
1
1
K N
i i i
k i
N
k i
i
N
k i i i
i
u, p, , f u k ,p k
d k p k
k r u k ,p k
= =
=
=
(
A

(
+
`

)

L
Page 13
THE UC DUAL PROBLEM
The Lagrangian dual function is given by

The Lagrangian dual problem is to determine
that mazimizes , i.e,
( )
( )
( ) { }
u,p S
h , min u, p, , 0
e
A > L :
( )
0
max h ,
>

( )
, h
( )
,
( )
, h
UC IN THE LAGRANGIAN
RELAXATION FRAMEWORK
( )
( )
( )
( ) ( ) ( )
{
( ) ( )
}
( ) ( )
1 1
1
u,p S
N K
i i i k i
u,p S
i k
k i i i
K
k k
k
min u, p, , =
min f u k ,p k p k
r u k ,p k
d k k
e
e
= =
=
`

)
(
+ +

)
constant for
given and
Page 14
UC IN THE LR FRAMEWORK
( ) ( )
( )
( )
( ) ( ) ( )
{
( ) ( )
1
1 i i
i
N
i
i =
K
i i i i k i
u ,p S
k
k i i i
h , h ,
h , min f u k ,p k p k
r u k ,p k

e
=
A
(
=

(

( )
( ) ( ) ( )
{
( ) ( )
( )
1 1
1
i i
i
N K
i i i k i
u ,p S
i = k
k i i i
N
i
i=
= min f u k ,p k p k
r u k ,p k constant
= h , constant
e
=
(

(
+

+

`
)
UNIT i SUBPROBLEM
Therefore, the dual problem is decomposable into
N separable subproblems
For fixed values of the Lagrangian multipliers
, the subproblem may be solved using a
dynamic programming based approach; the
curse of dimensionality may thereby be reduced,
at least to some extent
th
i
,
Page 15
THE DUAL PROBLEM SOLUTION
The dual function is nonlinear and concave, and is
generally nondifferentiable
The computation of a near-optimal dual solution
which is feasible for the primal problem is the
most challenging aspect of the LR approach
The subgradient technique is a general approach
which is useful for this purpose; there are many
heuristics-based computational schemes that use
subgradient information to solve the dual problem
EXAMPLE
( ) f x = x
x
( ) f x
x
c
c
at x = 0, a subgradient can
be any number in [- 1 , + 1]
1
-1
0
x
( )
f x a subgradient of
( )
f x
Page 16
AN IMPORTANT FACT
Consider the general optimization problem

( )
( )
( )
min f x
s.t.
P
g x 0
x S
e
)
AN IMPORTANT FACT
Given a ,

then, is a subgradient of at since
*
0 >
( )
( ) ( )
{ }
T * *
argmin argmin
x x, = f x g x
x S x S
A +
e e
L
( )
* g x
( ) ( ) ( ) ( )
*
T
* * *
h h g x 0
s + >
( ) h
Page 17
A UC PROBLEM SUBGRADIENT
h
=
h
c (
(
c
(
(
(
c
(
c (

( ) ( )
( ) ( )
( ) ( ) ( )
( ) ( ) ( )
1
1
1
1
1 1
1 1 1
N
i
i =
N
i
i =
N
i i i
i =
N
i i i
i =
d p
d K p K

r u , p

K r u K ,p K
|
|
(
(
(
(
(
(
(
(
(
(
(
(
(
(

(
(
(
(
(
(
(
(
(

- - - - - - - - - - - - - - - - - - - - - - - - -
SUBGRADIENT APPROACH
The subgradient approach consists of iterations

of the form :

where, is the positive scalar stepsize
( )
( )
( )
( )
( )
( ) ( )
( )
( ) ( )
( )
1
1
T
v v
v v
v
v v T
v v
h ,
h ,
+
+
(
(
V
( (
(

( ( = +
(
( (
( (

V
(

( ) v
o
Page 18
A SUBGRADIENT
Is a physically meaningful quantity
Measures how binding the primal constraints are
Provides a basis for a stopping criterion for the
maximization in the dual problem
Is useful in maximizing
( )
h ,
ECONOMIC INTERPRETATION
establishes prices for system
requirements (energy and capacity)
central coordinator
monitors responses of the
unit to the requirement
optimizes its performance given
the value of its contribution and
its operating costs and subject to
its constraints
unit i
unit N
generation, reserves
i
i
,
unit 1
i
i
p ,r
Page 19
For a differentiable function , the vector
is the gradient of at
The vector is a subgradient of
at if f is not differentiable
( )
f u, p
( )
* *
u , p
( )
f u, p
( )
* *
u , p
f
SENSITIVITY ANALYSIS
T
T T * *
,
(

T
T T * *
,
(

THE LR APPROACH
Advantages
detailed representation of the complex
characteristics of the units
highly flexible modular and expandable
duality stopping criterion is a function of the
problem dimension
useful for evaluation of marginal costs
Disadvantages
provides only suboptimal solutions
computationally intensive approach
Page 20
In the competitive electricity market environment,
the unit commitment function, when solved by a
central decision-maker to coordinate resource
scheduling and operations, may lead to equity
problems since not all the units are owned by a
single entity
For the LR - based solution only near-optimality
is possible and since there may be many near-
optimal solutions, problems of discrimination
UC IN COMPETITIVE ELECTRICITY
MARKETS
may arise when ownership is vested among many
different entities
Two solutions, which provide approximately
equal values of the objective function, may yield
very different schedules of individual resources
which, in turn, vary significantly in terms of costs,
profits, and commitments
UC IN COMPETITIVE ELECTRICITY
MARKETS
Page 21
REVIEW OF KEY POINTS OF LR
UC is a large-scale problem
integer nature of the commitment variables
global constraints
numerous local constraints
very complex problem
The role of heuristics in any optimization based
approach is critically important to:
obtain reasonably good results
determine feasible solutions
reduce overall computation
REVIEW OF KEY POINTS LR
LR is one of the most important optimization
methods in practice; it works by substituting the
original problem by a sequence of a set of
simpler decomposed subproblems
Currently, LR is the most efficient method, but its
equity and efficiency are severely challenged in
the competitive environment
Page 22
REVIEW OF KEY POINTS LR
Recently, a lot of interest has arisen in using
mixed integer programming MI P approaches to
solve UC
The MI P application to UC is very challenging
and requires effective use of heuristics to solve
large-scale problems
Unless the MI P solves the problem exactly, the
inequity issues persist

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