Lecture 2

EE 220

Direct Approach: Lagrange Equation

Manipulation

Lagrange Equation Manipulation

 Realistic economic dispatch problem involves

many unknown variables and non-linear terms
Solution by simple algebraic manipulation is
impossible
Numerical methods aids in deriving a solution
through iterative techniques

Numerical Methods

Lambda-Iteration Method

 H L > Do

i=1

M
H
M
P
(
)

>
0
Then
=
P

Gi
D

Else L = M
End While

If

M = ( H + L ) / 2

While

i=1

i=1

H
P
(

Gi ) PD > 0

PGi ( ) PD < 0

Pick L and H such that

Lambda-Iteration Method: Pseudo

Algorithm

$/MWh

IC3 ( PG 3 ) = 18 + 0.025PG 3

15

0.02
18
PG3 ( ) =
0.025

PG1 ( ) =

we have
PG2 ( ) =

0.01

20

Rewriting generation as a function of , PGi ( ),

and with constraint PG1 + PG 2 + PG 3 = 1000 MW

$/MWh

IC2 ( PG 2 ) = 20 + 0.01PG 2

Consider a three generator system with

IC1 ( PG1 ) = 15 + 0.02 PG1
= $/MWh

Lambda Iteration: Example

= 20 then

i=1

i =1

Try
H

0.01

= 30 then

0.02

0.025

i =1

PGi (30) 1000

= 1230 MW

1000 = 670 MW

PGi (20) 1000

PGi ( H ) 1000 > 0

i=1
m

L
P
(

Gi ) 1000 < 0 and

15 20 18

Try
L

Pick so
L

Lambda Iteration: Example

i =1

H
P
(25)

1000
=
280
we
set

= 25
Gi

i =1

PGi (22.5) 1000 = 195 we set L = 22.5

M = (25 + 20) / 2 = 22.5

Since 25 20 > 0.05

Then since

M = ( H + L ) / 2 = 25

Then iterate since H L > 0.05

Pick convergence tolerance = 0.05 $/MWh

Lambda Iteration: Example

PG1 (23.5) =

23.53 15
= 426 MW
0.02
23.53 20
PG 2 (23.5) =
= 353 MW
0.01
23.53 18
PG 3 (23.5) =
= 221 MW
0.025

Once * is known we can calculate the PGi

The solution value of , * , is 23.53 $/MWh

Continue iterating until H L < 0.05

Lambda Iteration: Example

if PGi ( ) < PGi ,min then set PGi ( ) = PGi ,min

if PGi ( ) > PGi ,max then set PGi ( ) = PGi ,max

In the lambda-iteration method the limits are taken

into account when calculating PGi ( ) :

Lambda Iteration with Gen Limits

= PG1 (20) + PG 2 (20) + PG 3 (20) 1000

i =1

PGi (30) 1000

= 300 + 500 + 480 1000 = 280 MW

= 250 + 100 + 200 = 450 MW (compared to -670MW)

i =1

PGi (20) 1000

With limits we get

200 PG3 600 MW

the same cost characteristics but also with limits

0 PG1 300 MW
100 PG2 500 MW

In the previous three generator example assume

Lambda Iteration with Gen Limits

PG 3 (24.43) = 257 MW

PG 2 (24.43) = 443 MW

PG1 (24.43) = 300 MW

cause to either increase or remain the same.

Final solution is

of , is 24.43 $/MWh (compared to 23.53 $/MWh

without limits). Maximum limits will always

Again we continue iterating until the convergence

condition is satisfied. With limits the final solution

Lambda Iteration with Gen Limits

 For optimizing functions that are twice

continuously differentiable.
Generates successive points, starting from a
given initial point, in the direction of the
fastest increase (maximization) or decrease
(minimization) of the function.
The gradient of the function at a point is used
because it is indicative of the fastest rate of
increase or decrease

Gradient Method

Gradient Method

 f
x
1
where f =
f
x n

x ( k +1) = x ( k ) f

and

is a scalar

To find the minimum of a function f(x),

Gradient Method

 L
P
g1

L = L
P
g
L

F1 ( Pg1 )

Pg1

F ( P )

=  g
Pg

load Pgi
i =1

The gradient of the Lagrange function is

L = Fi ( Pgi ) + Pload Pgi

i =1
i =1

The Lagrange function is

Gradient Method

 Where

(k )

(k )

ng

i =1 2 i

ng

i =1

= PD Pi k

P ( k )

( k +1) = ( k ) + ( k )

Define (Derived by Taylor Series)

Gradient Method

 Find the optimal dispatch using gradient

method

Given a system with 3 generators with the

following cost and demand

Example

(k )

(k )

ng

i =1 2 i

ng

i =1

= PD Pi k

P ( k )

Remember
( k +1)
(k )
(k )

= +

Example

i =1

P ( k ) = PD Pi k = 800 (87.5 + 41.7 + 11.1) = 659.7 MW

ng

At = 6

( 0)

Example

(k )

i =1 2 i

ng

k)

P1=400 MW P2=250 MW P3=150 MW

( k +1) = 8.5

= 6 + 2.5 = 8.5

>> Repeat the procedure with

(k )

659.7 MW
=
= 2.5
1
1
1
+
+
2 ( 0.004 ) 2 ( 0.006 ) 2 ( 0.009 )

= +
with = 1

( k +1)

(k )

P (

x = g (x) 1 g (x)

The adjustment at every step is

g1
g1

x
g1 ( x1 , , x n )
x n
1

and g (x) =
where g(x) =

= J (Jacobian)

g m
g m
g m ( x1 , , xn

xn
x1

g(x + x) = g(x) + g (x)x = 0

Suppose we wish to drive a function g(x) to

zero. We observe that

Newton Method

 2 L
2L

P
Pg 1Pg
g1

L
x
x
= L
P P
g g1
2 L

Pg1

L = Fi ( Pgi ) + Pload Pgi

i =1
i =1

2 L

Pg 1

HessianMatrix

2
L

For the economic dispatch problem,

If we let ,g = L x then

x = Lx L
x

x( k +1) = x ( k ) + x

Newton Method

gi

= PD (supply-demand balance)

Pgimin Pgi Pgimax (generator capacity limits)

i =1

Subject to

i =1

min( FT ) = min Fi ( Pgi )

Objective Function

Economic dispatch neglecting losses & Including

Generator Limits

 Pgi Pgimin

Pgi Pgimax Pgi 0

L(Pg , ,

max

min

i =1

imin ( Pgi + Pgimin )

m
m max
) = Fi ( Pgi ) Pgi PD i ( Pgi Pgimax )
i =1
i =1
i =1

Lagrange Equation

Pgi Pgimin

The constraint on generating capacity limits

can be written as two constraints:

Economic dispatch neglecting losses & Including

Generator Limits

C4 :

i = 1,2,..., m

= Pgimax Pgi = 0
imin

if Pgi = Pgimin

if Pgi = Pgimax

dFi
imax = 0
if Pgi = Pgimax

dPgi
dFi
L

=
+ imin = 0
if Pgi = Pgimin
Pgi dPgi
dFi
= 0
if Pgimin Pgi Pgimax

dPgi

dFi
L
=
imax + imin = 0
Pgi dPgi

L
= Pgi PD = 0
C2 :

i =1

L
= Pgi Pgimax = 0
C3 :
imax

C1 :

Necessary Conditions for Optimality

Economic dispatch neglecting losses & Including

Generator Limits

ai
0.032
0.038
bi
2.187
2.407

ci
120.312
74.074

min

Pgi
200 MW
100 MW

max

Pgi
350 MW
200 MW

max
min
(

P
+
100
)

2
g2
2 ( Pg 2 200)

( Pg1 + Pg 2 400) 1min ( Pg1 + 200) 1max ( Pg1 380)

L = 0.016 Pg21 + 2.187 Pg1 + 120.312 + 0.019 Pg22 + 2.407 Pg 2 + 74.074

At PD = 400 MW

1
2

Unit I

Example with Gen Limits

1max ( Pg1 380) = 0

max
2 ( Pg 2 200) = 0

1min ( Pg1 + 200) = 0

min
2 ( Pg 2 + 100) = 0

L
= 0 Pg1 + Pg 2 400 = 0

L
max
= 0 0.038Pg 2 + 2.407 + min

=0
2
2
Pg 2

L
= 0 0.032 Pg1 + 2.187 + 1min 1max = 0
Pg1

KKT Conditions are

Example with Gen Limits

or

Pg 2 200 = 0

imin = 0

and imax = 0

If no limit violation then

max
=0
2

or Pg 2 + 100 = 0

min
=0
2

Pg1 380 = 0

or

or Pg1 + 200 = 0

1max = 0

1min = 0

for all i = 1,2,..., m

Complementary conditions

Example with Gen Limits

Pg1 + Pg 2 + 0 = 400

0 Pg1 + 0.038 Pg 2 = 2.407

0.032 Pg1 + 0 Pg 2 = 2.187

Can be rewritten as

Pg1 + Pg 2 400 = 0

0.038 Pg 2 + 2.407 = 0

0.032 Pg1 + 2.187 = 0

Then we have

Example with Gen Limits

 Pg1 220.29 MW
P = 179.71 MW
g2

9.24 $/MWhr

The solution is

0
1 Pg1 2.187
0.032
0
P = 2.407
0
.
038

g2

1
1
0 400

In matrix form

200 Pg1 350

100 Pg 2 200

Example with Gen Limits

200 Pg1 350

100 Pg 2 200

Violated generator 2 limits (exceed)

Pg1 301.71 MW
P = 248.29 MW
g2

11.84 $/MWhr

The Solution is

0
1 Pg1 2.187
0.032
P = 2.407
0
0
.
038

g2

1
0 550
1

Same problem with PD = 550 MW

Example: Limit Violation

// 2max langrange multiplier is not zero (binding)

0 Pg1 + 1Pg 2 = 200

Pg1 + Pg 2 = 0

0 Pg1 + 0.038 Pg 2 max

= 2.407
2

0.032 Pg1 + 0 Pg 2 = 2.187

The modified KKT condition is

2max ( Pg 2 200) = 0

Then fix P2 to 200 MW

Example: Limit Violation

 Pg1 350
P 200
g2 =

13.39
max

3.38

The solution is
2max is commonly termed as shadow price

0
1 0 Pg1 2.187
0.032
P 2.407
0
0
.
038
1
1

g2 =

1
550
1
0 0

max
1
0 0 2 200
0

In matrix form

Example: Limit Violation

 Incremental Cost associated in the objective

value of the optimal solution by relaxing
constraint by one unit

Shadow Price

 Shadow Price = 4157.89 4161.23 = -3.34

FT = F1 ( Pg1 ) + F2 ( Pg 2 ) = 2832.39 + 1325.50 = 4157.89 $/hr

F2 ( Pg 2 ) = 0.019(201) 2 + 2.407(201) + 74.074 = 1325.50 $/hr

F1 ( Pg1 ) = 0.016(349) 2 + 2.187(349) + 120.312 = 2832.39 $/hr

FT = F1 ( Pg1 ) + F2 ( Pg 2 ) = 2845.78 + 1315.47 = 4161.23 $/hr

F2 ( Pg 2 ) = 0.019(200) 2 + 2.407(200) + 74.074 = 1315.47 $/hr

F1 ( Pg1 ) = 0.016(350) 2 + 2.187(350) + 120.312 = 2845.76 $/hr

Based on our example. If P2 exceeds schedule

by 1 MW then

Shadow Price

 Deadline is next week (22 May 2010)

Solve the above problems using Newtons Method

Use PD = 400 MW and PD = 550 MW

Bonus Point for Exam (+5 Points Straight)

A. Lambda Iteration
B. Gradient Method

Re-Work the example with Limits using

Homework 2

 Power Generation, Operation and Control by

Allen J.Wood and Bruce F. Wollenberg
Nerves, Allan C., "EE358: Economic Operation
of Power System (Lecture Notes)." Diliman :
EEEI, University of the Philippines-Diliman,
2005

Reference