02-ED and Optimization

Introduc)on
to Op)miza)on
and
Economic Dispatch
Baosen Zhang
Perspec)ve
•  Conven)onal PS economics problems:
–  Economic Dispatch (ED)
–  Unit Commitment (UC)
–  Op)mal Power Flow (OPF)
•  Assume monopoly, ver)cally integrated u)lity
•  Why?
–  Conceptually simpler
–  Variants for compe))ve electricity markets
–  Comparison with “benevolent monopolist”
© 2017 B. Zhang and University of Washington 2
Economic dispatch problem
L
A B C
•  Several genera)ng units serving the load

•  What share of the load should each
genera)ng unit produce?
•  Consider the limits of the genera)ng units
•  Ignore the limits of the network

Types of Power Plants
•  Thermal power plants
•  Renewable energy sources
•  Hydro power plants
© 2017 B. Zhang and the University of Washington 4

Thermal power plants
•  Burn a fuel to generate electric power

–  Coal, oil, gas, biomass, uranium, ..
•  Economic characteris)cs:
–  Substan)al opera)ng cost
–  On/off status and power output can be changed
•  Within limits
•  Nuclear units:
–  Low opera)ng cost but very limited flexibility
•  Typically mul)ple units in a power plant
Renewable energy sources
•  Wind, solar, geothermal, )dal
•  Economic characteris)cs:
–  Negligible opera)ng cost
–  Intermiaent (except geothermal)
–  Stochas)c (wind, solar)
–  High investment cost per kW of capacity
Ø Use it or lose it

Hydro power plants
•  Economic characteris)cs
–  Negligible opera)ng cost
–  Storage capability
•  Hydro with reservoir
–  Controllable output
–  Size of the reservoir is highly variable
•  Days to years
•  “Run of the river” hydro
–  No reservoir or negligible reservoir
–  Uncontrollable output: use it or lose it
Concept of net load
- =
actual load – uncontrolled renewable genera)on
= net load
= controllable genera)on
We’ll assume that the uncontrollable renewable genera)on

is known and dispatch the controllable genera)on to meet
the net load
© 2017 B. Zhang & University of Washington 8
Hydro-thermal coordination
Q: Would you rather generate a MWh using hydro

or thermal generation?
A: It depends..
§  If there is a reservoir (and it is not full) a MWh from
hydro can be generated now or later
§  It may have more value later, depending on how
much the thermal MWh costs now and later
•  We will assume that the hydro production is
given
•  We will consider hydro-thermal coordination later
© 2017 B. Zhang & University of Washington 9

Characteris)cs of the thermal units
B T G J/h
Input
Fuel Electric Power
(Input) (Output) MW
Pmin Pmax
•  Thermal genera)ng units
Output
•  Consider the running costs only
•  Input / Output curve
–  Fuel vs. electric power
•  Fuel consump)on measured by its energy content
•  Upper and lower limit on output of the genera)ng unit

Cost Curve
•  Mul)ply fuel input by fuel cost
•  No-load cost
–  Cost of keeping the unit running if it could produce zero MW
$/h
Cost
No-load cost
MW
Pmin Pmax
© 2017 B. Zhang and University of Washington
Output 11
Incremental Cost Curve
Cost [$/h]
•  Incremental cost curve

Δ FuelCost vs Power
Δ Power ∆F

∆P
•  Deriva)ve of the cost curve MW
•  In $/MWh
Incremental Cost
•  Cost of the next MWh [$/MWh]
MW
Mathema)cal formula)on
•  Objec)ve: Minimize
C = C A (PA ) + C B (PB ) + CC (PC ) A B C L
•  Constraints
–  Load / Genera)on balance:
L = PA + PB + PC
–  Unit Constraints:
PAmin ≤ PA ≤ PAmax
PBmin ≤ PB ≤ PBmax
This is an optimization problem
PCmin ≤ PC ≤ PCmax

Introduc)on to Op)miza)on
Objec)ve
•  Achieving the best possible design or
opera)ng condi)ons requires a way of
measuring the goodness of this result
•  We will call this measure our objec)ve F
•  Examples:
–  minimize cost of building a transformer
–  minimize cost of supplying power
–  minimize losses in a power system
–  maximize profit from a bidding strategy

Decision Variables
•  The value of the objec)ve is a func)on of
some decision variables:
F = f ( x 1 , x 2 , x 3 ,… x n )

•  Examples of decision variables:
–  Dimensions of the transformer
–  Output of genera)ng units, posi)on of taps
–  Parameters of bids for selling electrical energy

Op)miza)on Problem
•  What value should the decision variables take
so that F = f ( x 1 , x n ) is minimum or
x 2 , x 3 ,…
maximum?

Example: func)on of one variable
f(x*) f(x)
x* x
f(x) is maximum for x = x*

Minimiza)on and Maximiza)on
f(x*) f(x)
x* x
-f(x)
-f(x*)
If x = x* maximizes f(x) then it minimizes - f(x)

Minimiza)on and Maximiza)on
•  Maximizing f(x) is thus the same thing as
minimizing g(x) = -f(x)

•  Minimiza)on and maximiza)on problems are
thus interchangeable

•  Depending on the problem, the op)mum is
either a maximum or a minimum

Necessary Condi)on for Op)mality
f(x)
f(x*)
df df
>0 <0
dx dx
x* x
If x = x * maximises f ( x ) then:
df
f ( x ) < f ( x ) for x < x ⇒
* *
> 0 for x < x *
dx
df
f ( x ) < f ( x ) for x > x ⇒
* *
< 0 for x > x *
dx
Necessary Condi)on for Op)mality
f(x) df
=0
dx
x* x
df
If x = x maximises f ( x ) then
*
= 0 for x = x *
dx

Example
f(x)
x
df
For what values of x is =0?
dx
In other words, for what values of x is the necessary condition for
optimality satisfied?

Example
f(x)
A B C D x
•  A, B, C, D are sta)onary points
•  A and D are maxima
•  B is a minimum
•  C is an inflexion point

How can we dis)nguish minima and maxima?
f(x)
A B C D x
d2 f
For x = A and x = D, we have: 2
<0
dx
The objective function is concave around a maximum

f(x)
A B C D x
d2 f
For x = B we have: 2
>0
dx
The objective function is convex around a minimum

f(x)
A B C D x
d2 f
For x = C , we have: 2
=0
dx
The objective function is flat around an inflexion point

Necessary and Sufficient Condi)ons of Op)mality
df
•  Necessary condi)on: dx
=0

•  Sufficient condi)on:
d2 f
–  For a maximum: 2
<0
dx

d2 f
–  For a minimum: 2
>0
dx

Isn’t all this obvious?
•  Can’t we tell all this by looking at the objec)ve

func)on?
–  Yes, for a simple, one-dimensional case when we
know the shape of the objec)ve func)on
–  For complex, mul)-dimensional cases (i.e. with
many decision variables) we can’t visualize the
shape of the objec)ve func)on
–  We must then rely on mathema)cal techniques

Feasible Set
•  The values that the decision variables can take
are usually limited
•  Examples:
–  Physical dimensions of a transformer must be
posi)ve
–  Ac)ve power output of a generator may be
limited to a certain range (e.g. 200 MW to 500
MW)
–  Reac)ve power output of a generator may be
limited to a certain range (e.g. -100 MVAr to 150
MVAr)
Feasible Set
f(x)
xMIN A xMAX D x
Feasible Set
The values of the objec)ve func)on outside
the feasible set do not maaer
Two-Dimensional Case
f(x1,x2)
x1*
x1
x2*
x2 f(x1,x2) is minimum for x1*, x2*

Necessary Condi)ons for Op)mality
f(x1,x2)
∂f ( x 1 ,x 2 )
=0
∂x 1
x * ,x *
1 2
∂f ( x 1 ,x 2 )
=0
∂x 2 x * ,x *
1 2
x1*
x1
x2*
x2
Mul)-Dimensional Case
At a maximum or minimum value of f ( x 1 , x 2 , x 3 ,… x n )
we must have: ∂f
=0
∂x 1
∂f
=0
∂x 2

∂f
=0
∂x n
A point where these conditions are satisfied is called a stationary point

Sufficient Condi)ons for Op)mality
f(x1,x2) minimum maximum
x1
x2
f(x1,x2)
Saddle point
x1
x2
Calculate the Hessian matrix at the stationary point:
⎛ ∂2 f ∂2 f ∂2 f ⎞
⎜ ∂x 2 
∂x 1 ∂x 2 ∂x 1 ∂x n ⎟
⎜ 1 ⎟
⎜ ∂2 f ∂2 f ∂ f ⎟
2
⎜  ⎟
⎜ ∂x 2 ∂x 1 ∂x ∂x 2 ∂x n ⎟
2
2
⎜     ⎟
⎜ ∂2 f ∂2 f ∂ 2 f ⎟⎟
⎜⎜  ⎟
⎝ ∂x n ∂x 1 ∂x n ∂x 2 ∂x n ⎠
2

•  Calculate the eigenvalues of the Hessian matrix at the
sta)onary point
•  If all the eigenvalues are greater or equal to zero:
–  The matrix is posi)ve semi-definite
–  The sta)onary point is a minimum
•  If all the eigenvalues are less or equal to zero:
–  The matrix is nega)ve semi-definite
–  The sta)onary point is a maximum
•  If some or the eigenvalues are posi)ve and other are
nega)ve:
–  The sta)onary point is a saddle point

Calcula)ng eigenvalues
The eigenvalues of a matrix A are such that:
det(λ𝐼−𝐴)=0
(█1&0&0@0&1&0@0&0&1  )
Where I is the iden)ty matrix:

Contours
f(x1,x2)
F2
F1
x1
F1 F2
x2
Contours
A contour is the locus of all the point that give the same value
to the objective function
x2
x1
Minimum or maximum 41
Example 1
Minimise C = x 12 + 4 x 22 − 2 x 1 x 2
Necessary conditions for optimality:

∂C
= 2 x1 − 2 x 2 = 0
∂x 1 ⎧ x1 = 0 is a stationary
⎨
∂C ⎩x 2 = 0 point
= −2 x 1 + 8 x 2 = 0
∂x 2

Example 1
Sufficient conditions for optimality:
⎛ ∂ 2C ∂ 2C ⎞
⎜ ∂x 2 ∂x 1 ∂x 2 ⎟ ⎛ 2 −2 ⎞
Hessian Matrix: ⎜ 1
⎟ =⎜ ⎟
⎜ ∂ 2C ∂ C ⎟ ⎝ −2 8 ⎠
2
⎜ ⎟
⎝ ∂x 2 ∂x 1 ∂x 22 ⎠
must be positive definite (i.e. all eigenvalues must be positive)

λ−2 2
= 0 ⇒ λ 2 − 10 λ + 12 = 0
2 λ−8
10 ± 52 The stationary point
⇒λ = ≥0
2 is a minimum
Example 1
x2
C=9
C=4
C=1
x1
Minimum: C=0

Example 2
Minimise C = − x 12 + 3 x 22 + 2 x 1 x 2
Necessary conditions for optimality:

∂C
= −2 x 1 + 2 x 2 = 0
∂x 1 ⎧ x1 = 0 is a stationary
⎨
∂C ⎩x 2 = 0 point
= 2 x1 + 6 x 2 = 0
∂x 2

Example 2
Sufficient conditions for optimality:
⎛ ∂ 2C ∂ 2C ⎞
⎜ ∂x 2 ∂x 1 ∂x 2 ⎟ ⎛ −2 2 ⎞
Hessian Matrix: ⎜ 1
⎟ =⎜ ⎟
⎜ ∂ 2C ∂ C2
⎟ ⎝ 2 6 ⎠
⎜ ⎟
⎝ ∂x 2 ∂x 1 ∂x 2 ⎠
2
λ + 2 −2
= 0 ⇒ λ2 − 4 λ − 8 = 0
−2 λ − 6
4 + 80
⇒λ = >0
2 The stationary point
is a saddle point
4− 80
or λ = <0
2
Example 2
x2
C=0
C=9
C=4
C=1
C=-9 C=-4 C=-1 C=-4 C=-9
x1
C=1
C=4
C=9
This stationary point is a saddle point C=0

In prac)ce..
•  In prac)ce we don’t check the sufficient
condi)ons for op)mality
•  If the problem is convex a sta)onary point will
be a minimum
•  Or we rely on the nature of the problem to
“ensure” that a sta)onary point will be a
minimum or a maximum

Op)miza)on with Constraints
Op)miza)on with Equality Constraints
•  There are usually restric)ons on the values
that the decision variables can take
Minimise
f ( x 1 , x 2 ,…, x n ) Objective function
subject to:
ω 1 ( x 1 , x 2 ,…, x n ) = 0
 Equality constraints
ω m ( x 1 , x 2 ,…, x n ) = 0

Number of Constraints
•  N decision variables
•  M equality constraints
•  If M > N, the problems is over-constrained
–  There is usually no solu)on
•  If M = N, the problem is determined
–  There may be a solu)on
•  If M < N, the problem is under-constrained
–  There is usually room for op)miza)on

Example 1
Minimise f ( x 1 , x 2 ) = 0.25 x + x
1
2 2
2
x2 Subject to ω ( x 1 , x 2 ) ≡ 5 − x 1 − x 2 = 0
ω ( x1 ,x 2 ) ≡ 5 − x1 − x 2 = 0
Minimum
x1
f ( x 1 , x 2 ) = 0.25 x 12 + x 22
Example 2: Economic Dispatch
x1 x2
L
G1 G2
C 1 = a1 + b1 x 12 Cost of running unit 1

C 2 = a 2 + b 2 x 22 Cost of running unit 2
C = C 1 + C 2 = a1 + a 2 + b1 x 12 + b 2 x 22 Total cost
Optimization problem:
Minimise C = a 1 + a 2 + b1 x 12 + b 2 x 22
Subject to: x 1 + x 2 = L
Solu)on by subs)tu)on
Minimise C = a 1 + a 2 + b1 x 12 + b 2 x 22
Subject to: x 1 + x 2 = L
⇒ x 2 = L − x1
⇒ C = a1 + a 2 + b1 x 12 + b 2 ( L − x 1 )
2
Unconstrained minimization
dC
= 2 b1 x 1 − 2 b 2 ( L − x 1 ) = 0
dx 1
b2 L ⎛ b1 L ⎞
⇒ x1 = ⎜⇒ x2 = ⎟
b1 + b 2 ⎝ b1 + b 2 ⎠
d 2C
2
= 2b1 + 2 b 2 > 0 ⇒ minimum
dx 1 54
Solu)on by subs)tu)on
•  Difficult
•  Usually impossible when constraints are non-
linear
•  Provides liale or no insight into solu)on

➙ Solu)on using Lagrange mul)pliers

Gradient
Consider a function f ( x 1 , x 2 ,…, x n )

⎛ ∂f ⎞
⎜ ∂x 1 ⎟
⎜ ⎟
⎜ ∂f ⎟
The gradient of f is the vector ∇f = ⎜ ∂x 2 ⎟
⎜ ⎟
⎜  ⎟
⎜ ∂f ⎟
⎜ ⎟
⎝ ∂x n ⎠

Proper)es of the Gradient
•  Each component of the gradient vector
indicates the rate of change of the func)on in
that direc)on
•  The gradient indicates the direc)on in which a
func)on of several variables increases most
rapidly
•  The magnitude and direc)on of the gradient
usually depend on the point considered
•  At each point, the gradient is perpendicular to
the contour of the func)on
Example 3
f ( x , y ) = ax 2 + by 2
⎛ ∂f ⎞
⎜ ∂x ⎟ ⎛ 2 ax ⎞
∇f = ⎜ ⎟ = ⎜ ⎟
∂f
⎜ ⎟ ⎝ 2 by ⎠ y
⎝ ∂y ⎠

Example 4
f ( x , y ) = ax + by f = f3
⎛ ∂f ⎞
⎜ ∂x ⎟ ⎛ a ⎞ f = f2
∇f = ⎜ ⎟ = ⎜ ⎟ y ∇f
∂f
⎜ ⎟ ⎝ b⎠
⎝ ∂y ⎠
f = f1 ∇f
∇f

Lagrange mul)pliers
Minimise f ( x 1 , x 2 ) = 0.25 x 12 + x 22 subject to ω ( x 1 , x 2 ) ≡ 5 − x 1 − x 2 = 0
ω ( x1 ,x 2 ) = 5 − x1 − x 2
f = 0.25 x 12 + x 22 = 6
f = 0.25 x 12 + x 22 = 5

Lagrange mul)pliers
⎛ ∂f ⎞
⎜ ∂x 1 ⎟
∇f = ⎜ ⎟
ω ( x1 ,x 2 ) ⎜ ∂f ⎟
∇f ⎜ ⎟
⎝ ∂x 2 ⎠
f ( x1 ,x 2 ) = 6
f ( x1 ,x 2 ) = 5 ∇f
∇f

Lagrange mul)pliers
⎛ ∂ω ⎞
⎜ ∂x 1 ⎟
∇ω = ⎜ ⎟
ω ( x1 ,x 2 ) ⎜⎜ ∂ω ⎟⎟
⎝ ∂x 2 ⎠
f ( x1 ,x 2 ) = 6
f ( x1 ,x 2 ) = 5
∇ω
∇ω
∇ω
Lagrange mul)pliers
•  The solution must be on the constraint
•  To reduce the value of f, we must move
in a direction opposite to the gradient
ω ( x1 ,x 2 ) ∇f
f ( x1 ,x 2 ) = 6
f ( x1 ,x 2 ) = 5 ∇f
∇f

Lagrange mul)pliers
•  We stop when the gradient of the function
is perpendicular to the constraint because
moving further would increase the value
ω ( x1 ,x 2 ) of the function
∇f
f ( x1 ,x 2 ) = 6
f ( x1 ,x 2 ) = 5 ∇f
∇ω
∇f
∇ω
At the optimum, the gradient of the
function is parallel to the gradient
of the constraint ∇ω
Lagrange mul)pliers
At the optimum, we must have: ∇f ∇ω
Which can be expressed as: ∇f + λ ∇ω = 0
∂f ∂ω
In terms of the co-ordinates: +λ =0
∂x 1 ∂x 1
∂f ∂ω
+λ =0
∂x 2 ∂x 2
The constraint must also be satisfied: ω ( x 1 , x 2 ) = 0
λ is called the Lagrange multiplier

Lagrangian func)on
To simplify the writing of the conditions for optimality,
it is useful to define the Lagrangian function:
 ( x 1 , x 2 , λ ) = f ( x 1 , x 2 ) + λω ( x 1 , x 2 )
The necessary conditions for optimality are then given
by the partial derivatives of the Lagrangian:
∂ ( x 1 , x 2 , λ ) ∂f ∂ω
= +λ =0
∂x 1 ∂x 1 ∂x 1
∂ ( x 1 , x 2 , λ ) ∂f ∂ω
= +λ =0
∂x 2 ∂x 2 ∂x 2
∂ ( x 1 , x 2 , λ )
= ω ( x1 ,x 2 ) = 0
∂λ 66
Example
Minimise f ( x 1 , x 2 ) = 0.25 x 12 + x 22 subject to ω ( x 1 , x 2 ) ≡ 5 − x 1 − x 2 = 0
 ( x 1 , x 2 , λ ) = 0.25 x 12 + x 22 + λ ( 5 − x 1 − x 2 )
∂ ( x 1 , x 2 , λ )
≡ 0.5 x 1 − λ = 0
∂x 1
∂ ( x 1 , x 2 , λ )
≡ 2x2 −λ = 0
∂x 2
∂ ( x 1 , x 2 , λ )
≡ 5 − x1 − x 2 = 0
∂λ

Example
∂ ( x 1 , x 2 , λ )
≡ 0.5 x 1 − λ = 0 ⇒ x1 = 2λ
∂x 1
∂ ( x 1 , x 2 , λ ) 1
≡ 2x2 −λ = 0 ⇒ x2 = λ
∂x 2 2
∂ ( x 1 , x 2 , λ ) 1
≡ 5 − x1 − x 2 = 0 ⇒ 5 − 2λ − λ = 0
∂λ 2
⇒λ=2
⇒ x1 = 4
⇒ x2 =1
Example
Minimise f ( x 1 , x 2 ) = 0.25 x + x
1
2 2
2
x2 Subject to ω ( x 1 , x 2 ) ≡ 5 − x 1 − x 2 = 0
ω ( x1 ,x 2 ) ≡ 5 − x1 − x 2 = 0
f ( x1 ,x 2 ) = 5 Minimum
1
4 x1
Important Note!
If the constraint is of the form: ax 1 + bx 2 = L
It must be included in the Lagrangian as follows:
 = f ( x 1 ,…, x n ) + λ ( L − ax 1 − bx 2 )
And not as follows:
 = f ( x 1 ,…, x n ) + λ ( ax 1 + bx 2 )

Applica)on to Economic Dispatch
x1 x2
L minimise f ( x 1 , x 2 ) = C 1 ( x 1 ) + C 2 ( x 2 )
G1 G2
s.t . ω ( x 1 , x 2 ) ≡ L − x 1 − x 2 = 0
 ( x 1 , x 2 ,λ ) = C1 ( x 1 ) + C 2 ( x 2 ) + λ ( L − x 1 − x 2 )
∂ dC 1
≡ −λ =0
∂x 1 dx 1 dC 1 dC 2
= =λ
∂ dC 2 dx 1 dx 2
≡ −λ =0
∂x 2 dx 2
∂ Equal incremental cost
≡ L − x1 − x 2 = 0
∂λ solution
Incremental Cost
C1 ( x 1 ) C2 ( x 2 )
Cost curves:
x1 x2
dC 1 dC 2
Incremental dx 1 dx 2
cost curves:
x1 x2
Interpreta)on of this solu)on
dC 1 dC 2
dx 1 dx 2
x1 x2
-
L -
+
If < 0, reduce λ
L − x1 − x 2 If > 0, increase λ
Physical interpreta)on
dC ΔC
= lim
C( x ) dx Δx→0 Δx
ΔC For Δx sufficiently small:

Δx dC
ΔC ≈ × Δx
dx
x If Δx = 1 MW :
dC(x) dC
ΔC ≈
dx dx
The incremental cost is the cost of
one additional MW for one hour.
This cost depends on the output of
x the generator.
dC 1
: Cost of one more MW from unit 1
dx 1
dC 2
: Cost of one more MW from unit 2
dx 2
dC 1 dC 2
Suppose that >
dx 1 dx 2
dC 1
Decrease output of unit 1 by 1MW ⇒ decrease in cost =
dx 1
dC 2
Increase output of unit 2 by 1MW ⇒ increase in cost =
dx 2
dC 2 dC 1
Net change in cost = − <0
dx 2 dx 1 75
It pays to increase the output of unit 2 and decrease the

output of unit 1 until we have:
dC 1 dC 2
= =λ
dx 1 dx 2
The Lagrange multiplier λ is thus the cost of one more MW

at the optimal solution.
This is a very important result with many applications in

economics.

Generaliza)on
Minimise
f ( x 1 , x 2 ,…, x n )
subject to:
ω 1 ( x 1 , x 2 ,…, x n ) = 0

ω m ( x 1 , x 2 ,…, x n ) = 0
Lagrangian:
 = f ( x 1 ,…, x n ) + λ 1 ω 1 ( x 1 ,…, x n ) +  + λ m ω m ( x 1 ,…, x n )
•  One Lagrange multiplier for each constraint
•  n + m variables: x1, …, xn and λ1, …, λm

Op)mality condi)ons
 = f ( x 1 ,…, x n ) + λ 1 ω 1 ( x 1 ,…, x n ) +  + λ m ω m ( x 1 ,…, x n )
∂ ∂f ∂ω 1 ∂ω m
= + λ1 + + λ m =0
∂x 1 ∂x 1 ∂x 1 ∂x 1
 n equations
∂ ∂f ∂ω 1 ∂ω m
= + λ1 + + λ m =0
∂x n ∂x n ∂x n ∂x n
∂
= ω 1 ( x 1 ,, x n ) = 0
∂λ 1
 m equations
∂
= ω m ( x 1 ,, x n ) = 0 n + m equations in
∂λ m n + m variables
Op)miza)on with inequality constraints
Minimise
f ( x 1 , x 2 ,…, x n ) Objective function
subject to:
ω 1 ( x 1 , x 2 ,…, x n ) = 0
 Equality constraints
ω m ( x 1 , x 2 ,…, x n ) = 0
and:
g1 ( x 1 , x 2 ,…, x n ) ≤ 0
 Inequality constraints
g p ( x 1 , x 2 ,…, x n ) ≤ 0
Example: Economic Dispatch
x 1min ≤ x 1 ≤ x 1max
x1 x2
L
G1 G2 x 2min ≤ x 2 ≤ x 2max
Minimise C = a 1 + b1 x 12 + a 2 + b 2 x 22
Subject to:
x1 + x 2 = L Equality constraints
x 1 − x 1max ≤ 0
x 1min − x 1 ≤ 0
Inequality constraints
x2 − x max
2 ≤0
x 2min − x 2 ≤ 0
Minimise C = a 1 + b1 x 12 + a 2 + b 2 x 22 Family of ellipses
x2 Ellipse tangent to equality constraint at A

Inequality constraints are satisfied
x1 + x 2 = L
x2max
A
x2min
x1max x1
x1min
What is the solution for a larger load?
x2 Ellipse tangent to equality constraint at B

Inequality constraints are NOT satisfied!
x1 + x 2 = L x 1 + x 2 = L'
x2max
A B
x2min
x1min x1max x1
C is the solution because it is the point on
the equality constraint that satisfies the
x2 inequality constraints at minimum cost
x1 + x 2 = L x 1 + x 2 = L'
x2max
A B
x2min
x1min x1max x1
Binding Inequality Constraints
•  A binding inequality constraint is an inequality constraint that
is sa)sfied exactly
•  Example:
–  If we must have x1 ≤ x1max
–  And at the solu)on we have x1 = x1max
–  Then the constraint x1 ≤ x1max is said to be binding
•  ALL of the inequality constraints must be sa)sfied
•  Only a FEW will be binding (or ac)ve) at any given )me
•  But we don’t know ahead of )me which inequality constraints
will be binding!
•  All equality constraints are always binding

Solu)on using Lagrange mul)pliers
Minimise f ( x 1 , x 2 ,…, x n )
subject to:
ω i ( x 1 , x 2 ,…, x n ) = 0 i = 1,...m
g j ( x 1 , x 2 ,…, x n ) ≤ 0 j = 1,... p
Lagrangian function:
( )
 x 1 ,…, x n , λ 1 ,..., λ m , µ 1 ,..., µ p = f ( x 1 ,…, x n )
m
+ ∑ λ i ω i ( x 1 ,…, x n )
i=1
+ ∑ µ j g j ( x 1 ,…, x n )
j =1
Op)mality Condi)ons
(Known as the Karush Kuhn Tucker (KKT) conditions
m p
 ( x ,λ ,µ ) = f ( x ) + ∑ λ i ω i ( x ) + ∑ µ j g j ( x )
i=1 j =1
∂ ( x , λ , µ ) ∂f ( x ) m ∂ω k ( x ) p ∂g j ( x )
≡ + ∑λ k + ∑µ j =0 i = 1,...n
∂x i ∂x i k =1 ∂x i j =1 ∂x i
∂ ( x , λ , µ )
≡ ω k ( x) = 0 k = 1,...m
∂λ k
gj (x)≤ 0 j = 1,... p
µ j g j ( x) = 0 j = 1,... p
µj ≥0 Complementary Slackness Conditions j = 1,... p
Complementary slackness condi)ons
µ j g j ( x) = 0
µj ≥0
Two possibilities for each constraint j:
µ j = 0 then the constraint g j ( x ) is non - binding ⇒ g j ( x ) < 0
OR
g j ( x ) = 0 then the constraint g j ( x ) is binding ⇒ µ j > 0

Warning!
•  Difficulty with the complementary slackness
condi)ons

–  They tell us that an inequality constraint is either
binding or non-binding
–  They DON’T tell us which constraints are binding
and non-binding
–  The binding constraints have to be iden)fied
through trial and error

Example
Minimise
f ( x 1 , x 2 ) = 0.25 x + x
2
1
2
2
Subject to:
ω ( x1 ,x 2 ) ≡ 5 − x1 − x 2 = 0
g ( x 1 , x 2 ) ≡ x 1 + 0.2 x 2 − 3 ≤ 0

Example
x2
g ( x 1 , x 2 ) ≡ x 1 + 0.2 x 2 − 3 ≤ 0
f ( x 1 , x 2 ) = 0.25 x 12 + x 22
x1
ω ( x1 ,x 2 ) ≡ 5 − x1 − x 2 = 0
Example
 ( x 1 , x 2 , λ , µ ) = f ( x 1 , x 2 ) + λω ( x 1 , x 2 ) + µg ( x 1 , x 2 )
= 0.25 x 12 + x 22 + λ ( 5 − x 1 − x 2 ) + µ ( x 1 + 0.2 x 2 − 3 )
∂
≡ 0.5x1 − λ + µ = 0
∂x1
∂
≡ 2x2 − λ + 0.2 µ = 0
∂x2
∂
≡ 5 − x1 − x2 = 0
∂λ
∂
≡ x1 + 0.2x2 − 3 ≤ 0
∂µ
µ g(x) ≡ µ ( x1 + 0.2x2 − 3) = 0 and µ ≥ 0
Example
KKT conditions do not tell us if inequality constraint is binding
Must use a trial and error approach
Trial 1: Assume inequality constraint is not binding èµ = 0
From solution of example without inequality constraint, we

know that the solution is then:
x 1 = 4 ;x 2 = 1
but this means that:
x 1 + 0.2 x 2 − 3 = 1.2 ≥ 0
This solution is thus not an acceptable solution

Example
Trial 2: Assume that the inequality constraint is binding
∂
≡ 5 − x1 − x 2 = 0 x 1 = 2.5
∂λ
∂ x 2 = 2.5
≡ x 1 + 0.2 x 2 − 3 = 0
∂µ
∂
≡ 0.5 x 1 − λ + µ = 0 λ = 5.9375
∂x 1
∂ µ = 4.6875
≡ 2 x 2 − λ + 0.2 µ = 0
∂x 2
All KKT conditions are satisfied. This solution is acceptable

Example: graphical solu)on
x2
g ( x 1 , x 2 ) ≡ x 1 + 0.2 x 2 − 3 ≤ 0
Solution of problem
with inequality constraint
Solution of problem
f ( x 1 , x 2 ) = 0.25 x + x 2
1
2
2 without inequality
constraint
x1
Solution of problem
without constraints
ω ( x1 ,x 2 ) ≡ 5 − x1 − x 2 = 0
x1 x2
L
G1 G2
minimise f ( x 1 , x 2 ) = C 1 ( x 1 ) + C 2 ( x 2 )
s.t . ω ( x 1 , x 2 ) ≡ L − x 1 − x 2 = 0
g1 ( x 1 , x 2 ) ≡ x 1 − x 1max ≤ 0
g 2 ( x 1 , x 2 ) ≡ x 1min − x 1 ≤ 0
g 3 ( x 1 , x 2 ) ≡ x 2 − x 2max ≤ 0
g 4 ( x 1 , x 2 ) ≡ x 2min − x 2 ≤ 0

 ( x 1 , x 2 ,λ ,µ 1 ,µ 2 ,µ 3 ,µ 4 ) = C1 ( x 1 ) + C 2 ( x 2 ) + λ ( L − x 1 − x 2 )
+ µ 1 ( x 1 − x 1max ) + µ 2 ( x 1min − x 1 )
+ µ 3 ( x 2 − x 2max ) + µ 4 ( x 2min − x 2 )
KKT Conditions:
∂ dC 1
≡ − λ + µ1 − µ 2 = 0
∂x 1 dx 1
∂ dC 2
≡ −λ +µ3 −µ4 = 0
∂x 2 dx 2
∂
≡ L − x1 − x 2 = 0
∂λ
KKT Conditions (continued):
∂
≡ x 1 − x 1max ≤ 0 µ 1 ( x 1 − x 1max ) = 0 ; µ 1 ≥ 0
∂µ 1
∂
≡ x 1min − x 1 ≤ 0 µ 2 ( x 1min − x 1 ) = 0 ; µ 2 ≥ 0
∂µ 2
∂
≡ x 2 − x 2max ≤ 0 µ 3 ( x 2 − x 2max ) = 0 ; µ 3 ≥ 0
∂µ 3
∂
≡ x 2min − x 2 ≤ 0 µ 4 ( x 2min − x 2 ) = 0 ; µ 4 ≥ 0
∂µ 4

Solving the KKT Equa)ons
Case #1: No generator is at a limit
No inequality constraint is binding and all μ’s are equal to zero
∂ dC 1
≡ −λ =0
∂x 1 dx 1 dC 1 dC 2
= =λ
∂ dC 2 dx 1 dx 2
≡ −λ =0
∂x 2 dx 2
∂
≡ L − x1 − x 2 = 0
∂λ
All generators operate at the same incremental cost

Case #2: Generator 1 is at its upper limit; Other limits not binding
x1 − x1max = 0 ⇒ µ1 ≥ 0; µ2 = µ 3 = µ 4 = 0
∂ dC 1 dC 1
≡ − λ + µ1 = 0 = λ − µ1 ≤ λ
∂x 1 dx 1 dx 1
∂ dC 2 dC 2
≡ −λ =0 =λ
∂x 2 dx 2 dx 2
All generators do NOT operate at the same incremental cost!
The incremental cost of unit 1 is lower…. Why?
If that was possible, more power would be produced by unit 1

Case #3: Generator 1 is at its lower limit; other limits not binding
x1min − x1 = 0 ⇒ µ2 ≥ 0; µ1 = µ 3 = µ 4 = 0
∂ dC 1 dC 1
≡ −λ −µ2 = 0 = λ + µ2 ≥ λ
∂x 1 dx 1 dx 1
∂ dC 2 dC 2
≡ −λ =0 =λ
∂x 2 dx 2 dx 2
Again, all generators do NOT operate at the same incremental cost!
The incremental cost of unit 1 is higher… Why?

If that was possible, less power would be produced by unit 1
Physical Interpreta)on of Lagrange Mul)pliers
Minimise C ( x )
subject to: ω ( x ) = L ⇔ L − ω ( x ) = 0
and: g( x) ≥ K ⇔ K − g( x ) ≤ 0
 ( x ,λ ,µ ) = C ( x ) + λ ( L − ω ( x ) ) + µ ( K − g ( x ) )
At the optimum x * , λ * , µ * : =0 =0
 ( x * ,λ * ,µ * ) = C ( x * )
∂
= λ * Marginal cost of equality constraint
∂L Optimum
∂
= µ* Marginal cost of inequality constraint
∂K Optimum
Physical Interpreta)on of Lagrange Mul)pliers
•  Constraints always increase the cost of a

solu)on
•  The Lagrange mul)pliers give the incremental
cost of the binding constraints at the op)mum
•  They are some)mes called shadow costs
•  Non-binding inequality constraints have a zero
incremental cost

Economic Dispatch
Example of Calcula)on Using

Lagrange Mul)pliers
Economic Dispatch Example
A load of 800 MW is supplied by three generating units.

The cost characteristics of these generating units are
given by the following expressions:

C1 = 100 + 8 P1 + 0.1 P12 [$/h] 230 ≤ P1 ≤ 400 MW

C2 = 200 + 7 P2 + 0.06 P22 [$/h] 100 ≤ P2 ≤ 500 MW

C3 = 250 + 9 P3 + 0.07 P32 [$/h] 100 ≤ P3 ≤ 260 MW

Calculate the optimal economic dispatch.

Example: Form the Lagrangian
 = 100 + 8P1 + 0.1P 1
2
+200 + 7P2 + 0.06P 2

2
+250 + 9P3 + 0.07P 3

2
+ λ (L − P1 − P2 − P3 )
+ µ1 (P1 − 400) + µ2 (230 − P1 )
+ µ 3 (P2 − 500) + µ 4 (100 − P2 )
+ µ5 (P3 − 260) + µ6 (100 − P3 )
Example: Op)mality Condi)ons
Set the partial derivatives of the Lagrangian with respect to the
decision variables and λ to zero:
∂
≡ 8 + 0.2P1 − λ + µ1 − µ2 = 0 (1)
∂P1
∂
≡ 7 + 0.12P2 − λ + µ 3 − µ 4 = 0 (2)
∂P2
∂
≡ 9 + 0.14P3 − λ + µ5 − µ6 = 0 (3)
∂P3
∂
≡ L − P1 − P2 − P3 = 0 (4)
∂λ
μ’s to zero:
∂
≡ P1 − 400 ≤ 0
∂ µ1
∂
≡ 230 − P1 ≤ 0
∂ µ2
∂
≡ P2 − 500 ≤ 0
∂ µ3

μ’s to zero:
∂
≡ 100 − P2 ≤ 0
∂ µ4
∂
≡ P3 − 260 ≤ 0
∂ µ5
∂
≡ 100 − P3 ≤ 0
∂ µ6

Example: Complementary slackness
µ1 .(P1 − 400) = 0; µ1 ≥ 0
µ2 .(230 − P1 ) = 0; µ2 ≥ 0
µ 3 .(P2 − 500) = 0; µ 3 ≥ 0
µ 4 .(100 − P2 ) = 0; µ 4 ≥ 0
µ5 .(P3 − 260) = 0; µ5 ≥ 0
µ6 .(100 − P3 ) = 0; µ6 ≥ 0
Example: First Trial (1)
Assume that none of the inequality constraints is binding
This means that all the μ‘s are zero
Set the μ’s equal to zero in the optimality conditions.
Equations (1) to (3) become:
∂ ⇒ P1 =
λ−8
≡ 8 + 0.2P1 − λ = 0
∂P1 0.2
∂ λ−7
≡ 7 + 0.12P2 − λ = 0 ⇒ P2 =
∂P2 0.12
∂ λ−9
≡ 9 + 0.14P3 − λ = 0 ⇒ P3 =
∂P3 0.14
Example: First Trial (2)
Inserting these expressions in Equation (4), we get:
L − 5(λ − 8) − 8.33(λ − 7) − 7.14(λ − 9) = 0
With L = 800MW, we get: λ = 46.96 $/MWh
Replacing λ in the equations on the previous slide, we have:
P1 = 194.8 MW <P
1
min
= 230 MW
Not a valid solu)on
P2 = 333.0 MW à trial fails
P3 = 271.2 MW >P
3
max
= 260 MW
Example: Second Trial (1)
We must try another combination of binding constraints.
6 inequality constraints à 26 = 64 possible combinations

Realistic system à ridiculously large number of combinations
Must use information from previous trials
Let us try:
P1 = P1min = 230 MW ⇒ µ2 ≠ 0
P3 = P 3
max
= 260 MW ⇒ µ5 ≠ 0
µ1 = µ 3 = µ 4 = µ6 = 0
L − P1 − P2 − P3 = 0
P1 = P1min = 230 MW ⇒ P2 = 310 MW
P3 = P 3
max
= 260 MW
However, we must check that the μ‘s meet the

complementary slackness conditions

µ1 = µ 3 = µ 4 = µ6 = 0
∂
≡ 8 + 0.2P1 − λ − µ2 = 0 ⇒ µ2 = 9.8 $/MWh
∂P1
∂
≡ 7 + 0.12P2 − λ = 0 ⇒ λ = 44.2 $/MWh
∂P2
∂
≡ 9 + 0.14P3 − λ + µ5 = 0 ⇒ µ5 = −1.2 $/MWh
∂P3
≤ 0!
The constraint P3 ≤ P 3
max
should not be binding!
What is happening?
First trial:
P1
max
P1
P
1
min P1
P2
P2
P2min P2max
P3
min max
P3
P 3 P3
In the second trial, we “pushed” P1 towards its lower limit and P3
towards its upper limit. However, there was no need to push P3
because increasing P1 would naturally reduce P3 below its limit.
Second trial:
P1
max
P1
P
1
min P
1
P2
P2
P2min P2max
P3
min max
P3
P 3 P
3
Example: Third Trial (1)
P1 = P1min = 230 MW ⇒ µ2 ≠ 0
µ1 = µ 3 = µ 4 = µ5 = µ6 = 0
∂
≡ 7 + 0.12P2 − λ = 0
∂P2 λ = 44.75 $/MWh
∂ P2 = 315 MW
≡ 9 + 0.14P3 − λ = 0
∂P3
P3 = 255 MW
∂
≡ L − P1 − P2 − P3 = 0
∂λ
Example: Third Trial (2)
∂
≡ 8 + 0.2P1 − λ − µ2 = 0 ⇒ µ2 = 9.25 $/MWh
∂P1
Solution that satisfies all the optimality conditions:
P1 = 230 MW
P2 = 315 MW
P3 = 255 MW
λ = 44.75 $/MWh ß Cost of an extra MW of load
µ2 = 9.25 $/MWh ß Value of reducing P by 1MW 1
min

Example: Op)mal Solu)on
Third trial:
P1
max
P1
P
1
min P
1
P2
P2
P2min P2max
P3
min max
P3
P 3 P 3
Prac)cal Economic Dispatch
Equal Incremental Cost Dispatch
dC A dC B dC C
dPA dPB dPC
PA PB PC
PA + PB + PC
Lambda search algorithm
1. Choose a starting value for λ
∂C A (PA ) ∂C B (PB ) ∂C C (PC )

2. Calculate PA ,PB ,PC such that = = =λ
∂PA ∂PB ∂PC
3. If one of these values exceeds its lower or upper limit, fix it at that limit
4. Calculate PTOTAL = PA + PB + PC
5. If PTOTAL < L, then increase λ

Else If PTOTAL > L, then decrease λ
Else If PTOTAL ≈ L, then exit
6. Go To Step 2
Linear Cost Curves
CA CB
PA PB
PAMAX PBMAX
dC A dC B
dPA dPB
λ
PA PB
PAMAX PBMAX

Linear Cost Curves
CA CB
PA PB
PAMAX PBMAX
dC A dC B
dPA dPB
λ
PA PB
PAMAX PBMAX

Linear Cost Curves
CA CB
PA PB
PAMAX PBMAX
dC A dC B
dPA dPB
PA PB
PAMAX PBMAX

Linear Cost Curves
•  The output of the unit with the lowest
incremental cost (in this case unit A) is
increased first (it is “loaded” first)
•  The output of the other units is not increased
un)l unit A is loaded up to its maximum
•  The output of the unit with second lowest
incremental cost is then increased (i.e. the
“second cheapest” unit)
•  And so on un)l the genera)on meets the load
Linear cost curves with minimum genera)on
CA CB
PA PB
PAMIN PAMAX PBMIN PBMAX
dC A dC B
dPA dPB
PA PB
PAMIN PAMAX PBMIN PBMAX

Linear cost curves with minimum genera)on
•  All genera)ng units are first loaded up to their

minimum genera)on
•  The genera)ng units are then loaded in order
of incremental cost

Piecewise Linear Cost Curves
CA CB
PA PB
dC A dC B
dPA dPB
PA PB

Economic Dispatch with Piecewise Linear Cost Curves
CA CB
PA PB
dC A dC B
dPA dPB
λ
PA PB

CA CB
PA PB
dC A dC B
dPA dPB
PA PB

CA CB
PA PB
dC A dC B
dPA dPB
PA PB

CA CB
PA PB
dC A dC B
dPA dPB
PA PB

CA CB
PA PB
dC A dC B
dPA dPB
PA PB

•  All generators except one are at breakpoints of their cost

curve
•  The marginal generator is between breakpoints to balance
the load and genera)on
•  Not well-suited for lambda-search algorithm
•  Very fast table lookup algorithm:
–  Rank all the segments of the piecewise linear cost
curves in order of incremental cost
–  First dispatch all the units at their minimum
genera)on
–  Then go down the table un)l the genera)on
matches the load
Example
dC A
dPA
Unit PSegment Ptotal Lambda
0.7 A&B min 20+30 = 50 50
B 70-20=50 100 0.1
0.5
0.3 A 80-30=50 150 0.3
A 120-80=40 190 0.5
30 80 120 150 PA B 110-70=40 230 0.6
A 150-120=30 260 0.7
B 140-110=30 290 0.8
dC B
dPB
0.8 If Pload = 210MW

0.6 The optimal economic dispatch is:
PA = 120MW
0.1 PB = 90 MW
20 70 110 140
PB λ = 0.6

02-ED and Optimization

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02-ED and Optimization

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Introduc)on

• Several genera)ng units serving the load

© 2017 B. Zhang and University of Washington 3

© 2017 B. Zhang and the University of Washington 4

• Burn a fuel to generate electric power

© 2017 B. Zhang and the University of Washington 6

We’ll assume that the uncontrollable renewable genera)on

Q: Would you rather generate a MWh using hydro

© 2017 B. Zhang & University of Washington 9

© 2017 B. Zhang and University of Washington 10

© 2017 B. Zhang and University of Washington 13

© 2017 B. Zhang and University of Washington 15

© 2017 B. Zhang and University of Washington 16

© 2017 B. Zhang and University of Washington 17

f(x) is maximum for x = x*

© 2017 B. Zhang and University of Washington 18

If x = x* maximizes f(x) then it minimizes - f(x)

© 2017 B. Zhang and University of Washington 20

© 2017 B. Zhang and University of Washington 22

© 2017 B. Zhang and University of Washington 23

© 2017 B. Zhang and University of Washington 24

The objective function is concave around a maximum

The objective function is convex around a minimum

The objective function is flat around an inflexion point

© 2017 B. Zhang and University of Washington 28

• Can’t we tell all this by looking at the objec)ve

© 2017 B. Zhang and University of Washington 29

x2 f(x1,x2) is minimum for x1*, x2*

A point where these conditions are satisfied is called a stationary point

© 2017 B. Zhang and University of Washington 34

© 2017 B. Zhang and University of Washington 37

© 2017 B. Zhang and University of Washington 38

© 2017 B. Zhang and University of Washington 39

Necessary conditions for optimality:

© 2017 B. Zhang and University of Washington 42

must be positive definite (i.e. all eigenvalues must be positive)

© 2017 B. Zhang and University of Washington 44

Necessary conditions for optimality:

© 2017 B. Zhang and University of Washington 45

C=-9 C=-4 C=-1 C=-4 C=-9

This stationary point is a saddle point C=0

© 2017 B. Zhang and University of Washington 48

© 2017 B. Zhang and University of Washington 50

© 2017 B. Zhang and University of Washington 51

C 1 = a1 + b1 x 12 Cost of running unit 1

© 2017 B. Zhang and University of Washington 55

Consider a function f ( x 1 , x 2 ,…, x n )

© 2017 B. Zhang and University of Washington 56

© 2017 B. Zhang and University of Washington 58

© 2017 B. Zhang and University of Washington 59

© 2017 B. Zhang and University of Washington 60

© 2017 B. Zhang and University of Washington 61

© 2017 B. Zhang and University of Washington 63

The constraint must also be satisfied: ω ( x 1 , x 2 ) = 0

λ is called the Lagrange multiplier

© 2017 B. Zhang and University of Washington 65

© 2017 B. Zhang and University of Washington 67

It must be included in the Lagrangian as follows:

And not as follows:

© 2017 B. Zhang and University of Washington 70

ΔC For Δx sufficiently small:

It pays to increase the output of unit 2 and decrease the

The Lagrange multiplier λ is thus the cost of one more MW

This is a very important result with many applications in

•  Several genera)ng units serving the load

•  Burn a fuel to generate electric power

•  Can’t we tell all this by looking at the objec)ve

x2 f(x1,x2) is minimum for x1, x2

•  Constraints always increase the cost of a

•  All genera)ng units are ﬁrst loaded up to their

•  All generators except one are at breakpoints of their cost