Lecture 6

Dynamic Programming
Bruce F. Wollenberg, University of
1
Minnesota
 A Dynamic Programming example

We are given a set of cities with

paths between them. The number
next to each path is the cost
of using that path. You are to find
the cheapest path from A to N

Bruce F. Wollenberg, University of

2
Minnesota
 The Principle of Optimality

An optimal policy must contain only optimal subpolicies.

A policy is optimal if, at a stated stage, whatever the

preceding decisions may have been, the decisions still
to be taken constitute an optimal policy when the result
of the previous decisions is included.

Bruce F. Wollenberg, University of

3
Minnesota
 Optimizing by stages City
Min cost

The vertical dotted lines divide the

cities in our problem into stages
which are numbered from I to V
at the bottom.
{ X i } Are the choices at the end
of each stage, for example
[{ X 3 }= {H, I, J, K}]

Va ( X i , X i + 1)
Is the cost to travel from
City i to city i+1 in stage a
fa ( X i )
Is the minimum cost to arrive at city i at the end of stage a starting
From A
Bruce F. Wollenberg, University of
4
Minnesota
Mathematics of DP

Bruce F. Wollenberg, University of

5
Minnesota
 Final Solution

We will use this kind of dynamic programming solution to solve unit commitment
and hydro scheduling problems in later chapters

Bruce F. Wollenberg, University of

6
Minnesota
 An allocation problem

Determine X 1, X 2 , X 3 , X 4 to maximize total profit

Bruce F. Wollenberg, University of
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Minnesota
Solve the allocation in stages

where =
f 2 (U1 ) max [V1 ( X 1 ) + V2 (U1 X 1 )]
X 1 = 0,1,U
, 1
Bruce F. Wollenberg, University of
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Minnesota
Profits for stage 2 alone

Bruce F. Wollenberg, University of

9
Minnesota
 Stage 3

where =
f 3 (U 2 ) max [ f 2 (U1 ) + V3 (U 2 U1 )]
U1 = 0,1,2 ,U
, 2

Bruce F. Wollenberg, University of

10
Minnesota
Profits for stage 3 alone

Bruce F. Wollenberg, University of

11
Minnesota
 Stage 4

where =
f 4 ( A) max[ f 3 (U 2 ) + V4 ( A U 2 )]
{U 2 }

Bruce F. Wollenberg, University of

12
Minnesota
 Profits for stage 4

Final answer for

We can use this allocation dynamic programming technique A = 10
to find the optimum dispatch for generators that do not conform to the
convex cost function requirement

Bruce F. Wollenberg, University of

13
Minnesota
THANK YOU

Bruce F. Wollenberg, University of

14
Minnesota