Lecture 5

Linear Programming
Bruce F. Wollenberg, University of Minnesota

LP Problem
Maximize Production of 2 Plants
x1 is the output from plant 1
x2 is the output from plant 2

Benefit Of Product Plant 1, c1 = 3 [ $/MWh]

Benefit Of Product Plant 2, c2 = 5 [ $/MWh]
The Objective Function expresses the overall benefit
to be optimized, our objective function is:
Maximize: 3 x1 + 5 x2
Plant maximum output constraints:
Maximum Production of Plant 1, b1 = 4
Maximum Production of Plant 2, b2 = 6
Plants Must Meet an additional inequality constraint:
3 x1 + 2 x2 18
Bruce F. Wollenberg, University of Minnesota

Mathematical statement of the LP

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The feasible region for the LP

X2

x2 6

8
7
(2,6)

6
5

x1 0

3x1 + 2x2 18

(0,6)

FEASIBLE
REGION

(4,3)

x1 4

2
1

(0,0)

(4,0)

X1

x2 0
Bruce F. Wollenberg, University of Minnesota

Summary of the LP

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LP objective function

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LP in canonical form with slack

variables

Bruce F. Wollenberg, University of Minnesota

Basic feasible solutions

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All basic feasible solutions

1 0 1 0 0
A= 0 1 0 1 0
3 2 0 0 1

4
b= 6
18
1

x1 1 0 1 4 2
Set 1: x2 =0 1 0 6 = 6 z =36 ()


x3 3 2 0 18 2

x4 = 0
x5 = 0

x1 1 0 0 4 4
Set 2: x2 =0 1 1 6 = 3 z =27


x4 3 2 0 18 3

Bruce F. Wollenberg, University of Minnesota

x3 = 0
x5 = 0

 x1

Set 3: =
x
2

x5

1 0 0 4
0 1 0 =

3 2 1 18

4
6 OUT

6

x3 = 0
fails condition that all x are 0
x4 = 0

x1 1 1 0 4 6
Set 4: x3 =0 0 1 6 = 2 OUT


x4 3 0 0 18 6

x2 = 0
fails condition that all x are 0
x5 = 0

x1 1 1 0 4
Set 5: x3 = 0 0 0 6 = OUT


x5 3 0 1 18

x2 = 0
A matrix singular
x4 = 0

x1 1 0 0 4 4
Set 6: x4 =0 1 0 6 = 6 z =12


x5 3 0 1 18 6

x2 = 0
x3 = 0

Bruce F. Wollenberg, University of Minnesota

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 x2

Set 7: =
x
3

x4

0 1 0 4
1 0 1 =

2 0 0 18

9
4 NO

3

x1 = 0
x5 = 0

fails condition that all x are 0

x2 0 1 0 4 6
Set 8: x3 =1 0 0 6 = 4 z =30


x5 2 0 1 18 6

x1 = 0
x4 = 0

x2 0 0 0 4
Set 9: x4 = 1 1 0 6 = OUT


x5 2 0 1 18
x3

Set 10: x4 =

x5

1 0 0 4
0 1 0 6 =

0 0 1 18

4
6=
z 0
18

x1 = 0
x3 = 0

A matrix singular

x1 = 0
x2 = 0

Bruce F. Wollenberg, University of Minnesota

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The Simplex Method

Starting with our basic LP problem:

Minimize z = cT
Subject to
A

x
x = b
x 0

We partition the A matrix and the x and c vectors into basic and non-basic parts:
=
z
Minimize
Subject to

cBT
B

xB
xB
xB

+ cTN
+ N

xN
xN
xN

Bruce F. Wollenberg, University of Minnesota

=
b
0
0

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The Simplex Method

Last of all we carry out the following matrix multiplys:
=
xB B 1b B 1 NxN
z=
cBT B 1b cBT B 1 NxN + cTN xN

Now we will observe:

b B 1b

T cBT B 1
Y B 1 N

where is a vector called the Dual variable vector.

Bruce F. Wollenberg, University of Minnesota

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The Simplex Method

This leads to a reformulation of our standard form of the LP:
Minimize

Subject to x B

= cTB

T N cTN x N
Y

xN

xB
xN

0
0

We will now define d T T N cTN as the reduced cost vector, and this allows us to write the new
standard form as:

Minimize

Subject to x B
xB

= cTB
=

b - d T
b - Y

xN
xN
xN

Bruce F. Wollenberg, University of Minnesota

0
0

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Pivoting

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Simplex Mechanism

If d j is positive, the objective function decreases if the non- basic variable

If the non-basic variable

If some Y 's are positive, the corresponding basic variables

xNj

The non-basic variable

the value of

is positive

xBi s decrease if the non-

xNj increases

that is, until b Y

xNj increases, the basic variable xBi decreases if Yij

ij

basic variable

xNj increases

xNj

ij Nj

can be increased until the first basic variable becomes zero,

becomes 0 for the first i

Minimum bi

becomes
:Yij >0
1 i m Yij

Figure 2.1 the value of

xBi becomes 0

Bruce F. Wollenberg, University of Minnesota

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Simplex Pseudo Code

1. get a basic feasible solution (see next page)
2. find out if the current solution is the minimizer: if all d < 0 stop, the current solution is the

minimizer; otherwise go on
3. find out which non-basic variable enters the basis,

xNj

(most positive d j )

Minimum bi

4. find out which basic variable x leaves the basis,

:Yij >0
Bi
1 i m Yij

5. build the new basis

6. get a new basic feasible solution

3.07. go to 2

Bruce F. Wollenberg, University of Minnesota

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Steps to LP solution

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LP features
Upper and Lower bounding: A feature of many LP algorithms
available today (for example the LP in the Matlab Optimization
Toolbox) is to directly give vectors of upper and lower bounds
on each LP variable instead of explicitly building constraints for
each limit. Most of the LP problems we have encountered in
power system operation have upper and lower bounds on
variables.
Sensitivity analysis: The Matlab LP allows students to see the
lambda values for all constraints including all variable upper
bound constraints, all variable lower bound constraints, all
linear equality constraints and all linear inequality constraints.
Initial value of the variables: For some problems this may make
a difference in run time, if not specified the algorithm will find
an initial basis by itself and
then proceed to the optimum.
Bruce F. Wollenberg, University of Minnesota

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THANK YOU

Bruce F. Wollenberg, University of Minnesota

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