Alejandro Garcés Ruiz - Mathematical Programming for Power Systems Operation

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Explore the theoretical foundations and real-world power system applications of convex programming In
, Professor Alejandro Garces delivers a comprehensive overview of power system operations models with a focus on convex optimization models and their implementation in Python. Divided into two parts, the book begins with a theoretical analysis of convex optimization models before moving on to related applications in power systems operations.
The author eschews concepts of topology and functional analysis found in more mathematically oriented books in favor of a more natural approach. Using this perspective, he presents recent applications of convex optimization in power system operations problems.
Mathematical Programming for Power System Operation with Applications in Python A thorough introduction to power system operation, including economic and environmental dispatch, optimal power flow, and hosting capacity Comprehensive explorations of the mathematical background of power system operation, including quadratic forms and norms and the basic theory of optimization Practical discussions of convex functions and convex sets, including affine and linear spaces, politopes, balls, and ellipsoids In-depth examinations of convex optimization, including global optimums, and first and second order conditions Perfect for undergraduate students with some knowledge in power systems analysis, generation, or distribution,
is also an ideal resource for graduate students and engineers practicing in the area of power system optimization.

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Example 2.7

The convergence of the algorithm can be visualized by using the module MatplotLib as follows:

importmatplotlib.pyplot asplt t = 0.5 conv = [] E = [10,10] for iter in range(50): E += - t*grad_f(E) conv += [np.linalg.norm(grad_f(E))] plt.semilogy(conv) plt.grid() plt.xlabel("Iteration") plt.ylabel("|Gradient|") plt.show()

The result of the script is shown in Figure 2.7. As expected, the convergence rate is linear; that is to say, the convergence plot describes almost a line in a semi-logarithmic scale. The value of ε can be used as convergence criteria (a gradient ‖∇ f ‖ ≤ 10 −4can be considered as the local optimum for this problem).

Figure 27 Convergence of the gradient method Notice that addition was - фото 85

Figure 2.7 Convergence of the gradient method.

Notice that addition was simplified by the statement +=. In general, an statement such as x=x+1 is equivalent to x+=1. More details about this aspect are presented in Appendix C.

картинка 86

2.6 Lagrange multipliers

Reality imposes physical constraints into the problems and these constraints must be considered into the model. For example, an optimization model may include equality constraints, as presented below:

Mathematical Programming for Power Systems Operation - изображение 87(2.39)

For solving this problem, a function called lagrangian is defined as follows:

240 This new function depends on the original decision variables x and a new - фото 88(2.40)

This new function depends on the original decision variables x and a new variable λ , known as Lagrange multiplier or dual variable. By means of the lagrangian function, a constrained optimization problem was transformed into an unconstrained optimization problem that can be solved numerically, namely:

Mathematical Programming for Power Systems Operation - изображение 89(2.41)

Mathematical Programming for Power Systems Operation - изображение 90(2.42)

by a small abuse of notation, ∂ f / ∂ x is used instead of ∇ f , which is the formal representation for the n-dimentional case, (the same for L and g ). Notice that the optimal conditions of L imply optimal solution in f but also feasibility in terms of the constraint.

The first condition implies that the gradient of the objective function must be parallel to the gradient of the constraint and, the Lagrange multiplier is the proportionality constant. Besides this geometrical interpretation, Lagrange multipliers have another interesting interpretation. Suppose a local optimum x~ is found for a constrained optimization problem, and we want to know the sensibility of this optimum with respect to a . The following derivative can be calculated, relating the change of the objective function with respect to a change in the constrain:

243 244 245 The first two terms in the right - фото 91(2.43)

244 245 The first two terms in the righthand side of the equation - фото 92(2.44)

картинка 93(2.45)

The first two terms in the right-hand side of the equation vanishes, in view of the optimal conditions of x~; thus, the following expresion is obtained:

картинка 94(2.46)

this means that λ is the variation of the lagrangian (and hence the objective function), for a small variation on the parameter a (see Chapter 3for more details about dual variables).

Example 2.8

Consider the following optimization problem

Mathematical Programming for Power Systems Operation - изображение 95(2.47)

If the problem were unconstrained, the solution would be x = 0, y = 0; however, the solution must fulfill the constraint x + y = 1. Therefore, a new function is defined as follows:

248 with the following optimal conditions 249 250 - фото 96(2.48)

with the following optimal conditions

Mathematical Programming for Power Systems Operation - изображение 97(2.49)

Mathematical Programming for Power Systems Operation - изображение 98(2.50)

Mathematical Programming for Power Systems Operation - изображение 99(2.51)

This is a linear system of equation with solution x = 1/2, y = 1/2, and λ = 1 that constitutes the optimum of the problem.

картинка 100

2.7 The Newton’s method

The optimal conditions for both constrained and unconstrained problems constitute a set of algebraic equations S ( x ) for the first case and S ( x , λ ) for the second case. This set can be solved using Newton’s method 4.

Consider a set of algebraic equations S ( x ) = 0 where S : картинка 101 n→ nis continuous and differentiable Thus the following approximation is made - фото 102 nis continuous and differentiable. Thus, the following approximation is made:

252 where is the Jacobian matrix of S and Δ x x x 0 This constitutes - фото 103(2.52)

where картинка 104is the Jacobian matrix of S and Δ x = xx 0. This constitutes the first-order approximation of S around a point x 0; finding the zero of S means to approximate successively the solution by using the following iteration:

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