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MIQP-Based Algorithm for the Global Solution of Economic Dispatch Problems with Valve-Point Effects

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MIQP-Based Algorithm for the Global Solution of Economic Dispatch Problems with Valve-Point Effects https://sites.uclouvain.be/absil/2017.10 March 10, 2018 MIQP-Based Algorithm for the Global Solution of Economic Dispatch Problems with Valve-Point Effects P.-A. Absil, Benoˆıt Sluysmans, and Nicolas Stevens ICTEAM Institute University of Louvain 1348 Louvain-la-Neuve, Belgium Abstract—Even in a static setting, the economic load dispatch These difficulties prompted the development of numerous problem (ELDP)—namely the cost-optimal distribution of power metaheuristics, mostly population-based stochastic search al- among generating units to meet a specific demand subject to sys- gorithms, that may provide a sufficiently good solution within tem constraints—turns out to be a challenge owing to the consid- eration of valve-point effects (VPE), which make the cost function reasonable time but without optimality guarantee. Several nonsmooth and nonconvex. We present a new method, termed references can be found, e.g., in [2]. Adaptive Piecewise-Quadratic Under-Approximation (APQUA), An alternative was proposed in [3], [4], [5], [6], [7] where for the global solution of the ELDP with VPE. Unlike the many the VPE cost function is piecewise linearized using pieces existing methods for this problem, APQUA produces at each of equal length, and the resulting surrogate ELDP is solved iteration an upper and a lower bound on the globally optimal cost, and the gap between the two bounds is guaranteed to converge by a mixed-integer quadratic programming (MIQP) solver. In to zero as the iteration number grows. Consequently, APQUA is principle, by adequately choosing the number of pieces, it guaranteed to compute the global optimum of the ELDP within would be possible to control the optimality gap and compute any user-prescribed accuracy. Even though APQUA has to call the global optimum of the original ELDP within any user- an MIQP solver on increasingly large surrogate problems in prescribed accuracy; however the large number of pieces order to achieve this unprecedented optimality guarantee, our experiments indicate that the total computation time remains required to achieve even a moderate accuracy would make reasonable even when the prescribed accuracy is very high. this approach impractical. In this paper, we propose instead to choose the piecewise Index Terms—economic dispatch, global optimization, mixed- integer programming, piecewise-linear approximation, valve- linearization adaptively. The outcome is a publicly avail- point effect. able [8] deterministic iterative algorithm, termed Adaptive Piecewise-Quadratic Under-Approximation (APQUA), that, while remaining time efficient (the computation time obtained I. INTRODUCTION for the 40-unit case of Section V-C actually turns out to be ex- cellent), provides optimality guarantees that are unprecedented The economic load dispatch problem (ELDP) consists of in the literature on the ELDP with VPE. Specifically, the main minimizing the cost associated with the power generation by features of the proposed APQUA algorithm (Algorithm 1) are optimally scheduling the load across generating units to meet the following. (i) In view of Proposition 1, APQUA produces a certain demand subject to system constraints [1]. If the cost at each iteration a power distribution p~ that satisfies the ELDP function takes highly nonlinear input-output characteristics constraints, as well as a lower bound f(~p) − δ − γ on the into account due to the valve-point effect (VPE), then even globally optimal value of the ELDP, where f(~p) is the cost of the static ELDP (see Section II for a precise statement of the power distribution p~, δ is guaranteed to converge to zero the problem) that ignores the ramp-rate constraints remains (Theorem 2), and γ is the absolute optimality gap tolerance of widespread interest—it appears as a crucial subproblem assigned to the MIQP solver called by APQUA. (ii) As a in full-fledged dispatch problems and several static ELDP consequence (see Corollary 4), APQUA is guaranteed to instances remain widely used as benchmarks—and turns out return with a power distribution whose cost is within any user- to be difficult to solve—standard mathematical-programming prescribed accuracy of the global optimum of the ELDP. (To methods, which are widely used to address simpler cost this end, set δtol and γ in Algorithm 1 such that their sum is functions, are not guaranteed to find the global optimum of smaller than the prescribed accuracy.) (iii) The VPE cost term the ELDP when the VPE is considered due to the nonlinear, is not restricted to be a rectified sine. It can be any Lipschitz- nonsmooth, and multimodal nature of the problem. continuous piecewise-concave function, where the endpoints of the pieces (termed “kink points”) are specified. The proposed APQUA algorithm proceeds as follows (see This work was supported by the Fonds de la Recherche Scientifique - FNRS under Grants no. PDR T.0025.18 and FRFC 2.4585.12, and by the Belgian Algorithm 1 for a precise statement). For each power gen- Network DYSCO (Dynamical Systems, Control, and Optimization). eration unit, the algorithm maintains a set of knots over the allowable range. The set of knots includes the kink points of where di and ei are positive coefficients [10]. However, the the VPE cost term. The algorithmic loop starts by considering proposed APQUA algorithm and its analysis are not limited the linear spline interpolation of the VPE term for the current to the rectified sine VPE model (1). Throughout the paper, VPE set of knots. This yields a surrogate ELDP problem where the we only assume for all i that fi (pi) is a given Lipschitz- VPE production cost is piecewise quadratic. The surrogate problem continuous piecewise-concave function. Specifically, fi (pi) kink kink kink can be solved by means of an MIQP solver. The point returned is concave on each interval [pi;j ; pi;j+1], j = 1; : : : ; ni −1, kink min kink max min max by the MIQP solver is added to the set of knots and the where pi;1 ≤ pi and p kink ≥ pi , with pi and pi i;ni loop starts again. The MIQP solver is thus called repeatedly, as defined below. The proposed method needs to know the each time to solve a new surrogate problem. The analysis kink points (see line 3 of Algorithm 1) but it does not need of the algorithm crucially relies on the fact that, since the to know a Lipschitz constant. This is a realistic requirement VPE term is piecewise-concave, each surrogate function is an since, for the popular rectified sine model (1), the kink points kink min kink underapproximation of the true function. are readily computed as pi;j = (j−1)π=ei +pi with ni = The paper is organized as follows. The investigated ELDP max min d(pi − pi )ei/πe + 1. with VPE is reviewed in Section II. The proposed method Furthermore, the ELDP must also satisfy some constraints, is introduced in Section III, analyzed in Section IV, and thereby restricting the search space. In keeping with the illustrated on well known ELDP instances in Section V. streamlined exposition announced above, we consider the Conclusions are drawn in Section VI. power balance constraint and the generator capacity con- II. PROBLEM STATEMENT straints. The power balance constraint imposes that the gen- erated power meets out the demand, despite some wastage of This section gives an overview of the ELDP context and power in the network: ends with the formulation of the problem considered in the rest of the paper. In order to keep the exposition streamlined, n X we restrict to the static ELDP with VPE; it already presents pi = pD + pL(p) the challenging nonlinear nonsmooth multimodal aspects men- i=1 tioned in Section I, and very widely investigated instances are with scalar p and function p being the power demand and available, notably those considered in Section V. D L the transmission loss in the network in MW, respectively. As In the ELDP, the major component of the cost arises from often in the literature, we will ignore the transmission losses the generator input, i.e., the fuel. Thus, the objective function along the network, i.e., we set p = 0. The generator capacity associated with the problem is related to how we represent the L constraint imposes that the power generated by each unit lies input-output characteristics of each generator. The total cost is within an allowable range [pmin; pmax]: then naturally the sum of each generating unit’s contribution. i i The objective function is therefore expressed in the separable min max pi ≤ pi ≤ pi ; form n X min max f(p) = fi(pi); where pi and pi are the minimum and maximum power i=1 output of the i-th generator in MW, respectively. where f is the total cost function in $/h, fi is the cost due to In summary, the problem of interest in this paper is the static the i-th generator, and pi denotes the power assigned to the ELDP without losses, stated as the minimization of f(p) = Pn i-th unit in MW. i=1 fi(pi) under the lossless power balance constaint and A classical, simple, and straightforward approach to model the generator capacity constraints: the cost function is to use a quadratic function for each n 2 X generator, i.e., fi(pi) = aipi + bipi + ci; where ai, bi, and 2 VPE min f(p) := aipi + bipi + ci + fi (pi) (2a) p2 n ci are scalar coefficients. However, in reality, performance R i=1 | {z } curves do not behave so smoothly; instead, in generating units fi(p) n with multi-valve steam turbines, ripples will be introduced into X subject to p = p (2b) these curves. Large steam turbine generators usually have a i D i=1 number of steam admission valves that are opened in sequence min max to meet an increasing demand from a unit.
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