Abstract
In this chapter, we use an interior-point/cutting-plane (IP/CP) method for non-differentiable optimization to solve the dual to a unit commitment (UC) problem. The IP/CP method has two advantages over previous approaches, such as the sub-gradient and bundle methods: first, it has proved to have better convergence characteristics in an actual implementation; and second, it does not suffer from the parameter-tuning drawback. The results of performance tests using systems with up to 104 units confirm the superiority of the IP/CP method over previous approaches to solve the dual UC problem. We discuss issues that have influenced whether or not UC models are used as the clearing mechanism in electricity markets; these issues include duality gap, cost recovery, and the existence of multiple solutions.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
D.P. Bertsekas, G.S. Lauer, N.R. Sandell, and T.A. Posberg. Optimal short-term scheduling of large scale power systems. IEEE Trans. Autom. Control, AC-28(1): 1–11, 1983.
F. Zhuang and F.D. Galiana. Towards a more rigorous and practical unit commitment by Lagrangian relaxation. IEEE Trans. Power Syst., 3(2): 763–773, 1988.
X. Guang, P.B. Luh, and H. Yan. An optimization-based method for unit commitment. Electrical Power Energy Syst., 14(1): 9–17, 1992.
J.A. Muckstadt and S.A. Koenig. An application of Lagrangian relaxation to scheduling power-generation systems. Oper. Res., 25(3): 387–403, 1977.
F. Pellegrino, A. Renaud, and T. Socroun. “Bundle and augmented Lagrangian methods for short-term unit commitment.” In 12 th Power Systems Computation Conference Proc., pp. 730–739, 1996.
N. Jiménez and A.J. Conejo. Short-term hydro-thermal coordination by Lagrangian relaxation: solution to the dual problem. IEEE Trans. Power Syst., 14(1): 89–95, 1999.
P.B. Luh, D. Zhang, and R.N. Tomastik. An algorithm for solving the dual problem of hydrothermal scheduling. In IEEE-PES, Winter Meeting paper PE-333-PWRS-0-12-1997, New York, 1997.
C. Lemarechal and J Zowe. “A Condensed Introduction to Bundle Methods in Nonsmooth Optimization.” In Algorithms for Continuous Optimization, pp. 357–382, ed. E. Spedicato. Kluwer Academic Publishers, 1994.
O. du Merle, J.L. Goffin, C. Trouiller, and J.P. Vial. A Lagrangian relaxation of the capacitated multi-item lot sizing problem solved with an interior point cutting plane method. Technical report, Faculty of Management, McGill University, 1997.
J.L. Goffin, J. Gondzio, R. Sarkissian and J.P. Vial. Solving nonlinear multi-commodity flow problems by the analytic center cutting plane method. Math. Prog., (76): 131–154, 1996.
M. Madrigal and V.H. Quintana. “An Interior-point/Cutting-plane Algorithm to Solve Unit Commitment Problems.” In IEEE-PES Power Industry Computer Applications Conference Proc., pages 179–185, Santa Clara, California, 1999. To appear in IEEE Trans. Power Syst.
R.B. Johnson, S.S. Oren, and A.J. Svodoba. Equity and efficiency of unit commitment in competitive electricity markets. Technical Report PWP-039, POWER-series, The University of California Energy Institute, 1996.
S. Dekrajangpetch, G.B. Sheble, and A.J. Conejo. Auction implementation problems using Lagrangian relaxation. IEEE Trans. Power Syst., 14(1): 82–88, 1999.
J.M. Jacobs. Artificial power markets and unintended consequences. IEEE Trans. Power Syst, 12(2): 968–972, 1997.
C.L. Tseng. On Power Systems Generation Unit Commitment Problems. Ph.D. Thesis, University of California, Berkeley, 1996.
D.P. Bertsekas. Nonlinear Programming. Athena Scientific, 1997.
M. Madrigal and V.H. Quintana. “Semi-definite Programming Relaxations for {0,1 }-Power Dispatch Problems.” In IEEE-PES, 1999 Summer Meeting Conference Proc., pp. 697–702, Edmonton, Alberta, Canada, 1999.
O. Bahn, J.L. Goffin, J.P. Vial, and O. Du Merle. Experimental behaviour of an interior point cutting plane algorithm for convex programming: an application to geometric programming. Discrete Appl. Math, 49: 3–23, 1994.
J.L. Goffin and J.P. Vial. Interior point methods for nondifferentiable optimization. Technical reports, Faculty of Management, McGill University, 1997.
M. Kojima, N. Megiddo, and S. Mizuno. A primal-dual infeasible-interior-point algorithm for linear programming. Math. Prog, (61): 263–280, 1993.
S. Sen and D.P. Kothari. Optimal thermal generating unit commitment: a review. Electrical Power Energy Syst., 20(7): 443–451, 1998.
M. Madrigal and V.H. Quintana. “Using Optimization Models and Techniques to Implement Electricity Auctions.” In IEEE-PES, 2000 Winter Meeting Conference Proc., Singapore, 2000.
S.J. Wang, S.M. Shahidehpour, D.S. Kirschen, S. Mokhtari, and G.D. Irisarri. Short-term generation scheduling with transmission and environmental constraints using augmented Lagrangian relaxation. IEEE Trans. Power Syst., 10(3): 1294–1301, 1994.
F.C. Schweppe, M.C. Caramanis, R.D. Tabors and R.E. Bohn. Spot Pricing of Electricity. Kluwer Academic Publishers, 1987.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2002 Kluwer Academic Publishers
About this chapter
Cite this chapter
Madrigal, M., Quintana, V.H. (2002). An Interior-Point/Cutting-Plane Algorithm to Solve the Dual Unit Commitment Problem — on Dual Variables, Duality Gap, and Cost Recovery. In: Hobbs, B.F., Rothkopf, M.H., O’Neill, R.P., Chao, Hp. (eds) The Next Generation of Electric Power Unit Commitment Models. International Series in Operations Research & Management Science, vol 36. Springer, Boston, MA. https://doi.org/10.1007/0-306-47663-0_10
Download citation
DOI: https://doi.org/10.1007/0-306-47663-0_10
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-7923-7334-6
Online ISBN: 978-0-306-47663-1
eBook Packages: Springer Book Archive