EE/Econ 458 Introduction to Linear Programming

1. EE/Econ 458Introduction to Linear Programming J. McCalley

2. SUBJECT TO constraints on Gen resource & demand response resource Demand response resource External asynchronous constraints Stored energy reserve constraints Energy transaction constraints OPF constraints Reliability constraints - System reserves - transmission - watchlist transmission flowgates - contingencies Security Constrained Economic Dispatch* *From Chapter 6 of the MISO Energy & Operating Reserve Markets, Business Practices Manual, BPM-002-r10, JUN-29-2011.

3. This problem may be simplified to the following • GIVEN: • A number of gens make price-quantity offers to sell • A number of LSEs make price-quantity bids to buy • MAXIMIZE social surplus U(P)-C(P), where • U(P) is the composite utility (value) function for consumers, • C(P) is the composite cost function for suppliers, and • P is real power injection vector of network nodes (+ for gen, - for load). Security Constrained Economic Dispatch • SUBJECT TO constraints: • Pmin<P<Pmax • Sum of generation = sum of demand • Flows on each circuit <= maximum flow for circuit The SCED algorithm uses a Linear Programming (LP) solver, and so we will study LP to understand this optimization method.

4. 1. Maximization of a function is equivalent to minimization of the negated function,  maximize f(x) is the same as minimize (-f(x)) Some preliminaries 2. An inequality constraint may be equivalently written as g(x)>b or -g(x)<-b And so any of the following problems are equivalent:

5. Problem P: Linear Program – Standard Form Requirements: f(x) is a linear function in x, i.e., a1x1+a2x2+…+anx3 All equalities hj(x)=cj are linear functions in x. All inequalities gk(x)=bk are linear functions in x.  Then Problem P is a linear program.

6. Problem P: Feasible set Recall: If f(x) is a convex function, and if S is a convex set, then the above problem is a convex programming problem. Linear Program – A Convex Program f(x) is linear, therefore a convex function. If S is formed by inequalities, it is polyhedral, therefore convex. One linear equality reduces feasible set S to the line. More than one reduces feasible set S to their intersections. S is convex in both cases.  A linear program is a convex programming problem.  If we find a locally optimal solution, it will be globally optimal.

7. Ignore inequality. Form Lagrangian: Example 1 Apply first-order conditions: What happened?

8. Example 1 We can push f(x) as far negative as we like and there will always be an intersection point with the equality constraint. This problem is unbounded. This can happen with linear programs. But what about the inequality constraints?

9. Observe g(x)<b implies to add this term. Example 1 Form Lagrangian: KKT Conditions

10. Example 1 The feasible region associated with the inequality constraint is below the dotted line The feasible region for the problem is below the dotted line and on the thick one (the equality constraint). The feasible region for the problem includes everything on the thick line to the right of the intersection point (red dot).

11. Example Minimize the objective: Choose solution that has smallest value of f(x) but is in the feasible region.  Choose lowest contour touching the feasible (red) line. This is shown by the dashed line at the end of its animation. Graphical analysis reveals the solution is: x1=6, x2=10 (red dot)

12. Definition: Any constraint comprising the feasible region boundary is an active constraint. Example 1 Observation: The solution occurred at a point where two active constraints intersect.

13. Resource allocation: Optimize an objective through allocating resources to activities subject to constraints on resources. Three people work 8 hours/day (480 min) making materials X and Y. Their company makes $5 profit per unit X, $8 profit per unit Y. The times required for each person’s contribution towards making a unit are below. Example 2 Note: A unit of material requires contributions from all three people, i.e., no individual may make either material on their own. Objective: Maximize profits Resource: Time of each person Activities: Producing materials X and Y.

14. Three people work 8 hours/day (480 min) making materials X and Y. Their company makes $5 profit per unit X, $8 profit per unit Y. The times required for each person’s contribution towards making a unit are below. Example 2 Produce only X Subject to (person 1) (person 2) Produce only Y (person 3)

15. Conclusion: Producing only Y is better than producing only X, and if we have only these two options, we will produce only Y. Subject to Example 2 (person 1) (person 2) (person 3) Where on the plot are the solutions we just found? Can we increase profits beyond $120 by producing some of each?

16. Plot the contours of increasing objective function. Example 2 The contour f=60 passes through the point (12,0). The contour f=120 passes through the point (0,15). Is it possible for any point to be better than the red one? No. All other points on the f=120 contour occur above the feasible region; all other contours touching the feasible region are below 120. Optimal solution is again at a point where 2 active constraints intersect.

17. Same constraints but slightly different objective. Subject to Example 3 (person 1) (person 2) (person 3) Which of the points is optimal? The blue one is optimal since there must be a contour between f=120 and f=130 that just touches it, and any contour with higher f will not touch the feasible region. Optimal solution is again at a point where 2 active constraints intersect.

18. Same constraints but slightly different objective. Subject to Example 4 (person 1) (person 2) (person 3) Which of the points is optimal? The yellow one is optimal since there must the contour f=180 just touches it, and any contour with higher f will not touch the feasible region. Optimal solution is again at a point where 2 active constraints intersect.

19. The optimal solution was always at a point where two active constraints intersect (corner points). This always happens in an LP. Conclusion The solution to an LP, if one exists, is always at a corner point. Solution strategy: Search the corner points!

20. How many corner points does our problem have? (0,0), (12,0), (1.7143, 13.7143), (0,15) A consideration But what about (0,16), (0,20), (20,0), and (24,0) and the two more outside the plot? The first set are feasible corner points. Revised solution strategy: Search the feasible corner points! The second set are infeasible corner points.

21. Assuming none of our constraints are parallel, the number of corner points is obtained as a combination of 5 distinct things (constraints) taken 2 at a time. In our case: Why is our revision important? Some problems have millions of constraints! With 40 constraints, there would be 780 corner points to check.

22. An approach

23. An approach

24. Pick a corner point at random. • Move to an adjacent corner point that is better. • If there are two that are better, move to the one that is best. • If there are no better adjacent corner points, the current corner point is the solution to the problem. An approach Optimality (stopping) condition: If a corner point feasible solution is equal to or better than all its adjacent corner point feasible solutions, then it is equal to or better than all other corner point feasible solutions, i.e., it is optimal. Main ideas of proof: If objective function monotonically increases (decreases) in some direction within the decision-vector space, then each adjacent corner point will become progressively better in the direction of objective function increase (decrease) such that the last corner point must have two adjacent corner points that are worse. The monotonicity of objective function increase (decrease) is guaranteed by its linearity.

25. Initialization: Start at a corner point solution. • Iterative step: Move to a better adjacent corner point feasible solution. • Optimality test: Determine if the current feasible corner point is optimal using our optimality test (if none of its adjacent feasible corner points are better, then the current feasible corner point is optimal). • If the current feasible corner point is optimal, the solution has been found, and the method terminates. • If the current feasible corner point is not optimal, then go to 2. High-Level Version of Simplex Method