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# 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

## 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
7
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

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THANK YOU

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