A separable approximation dynamic programming algorithm for economic dispatch with transmission losses

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Yugoslav Journal of Operations Research 12 (2002), Number 2, 157-166 A SEPARABLE APPROXIMATION DYNAMIC PROGRAMMING ALGORITHM FOR ECONOMIC DISPATCH WITH TRANSMISSION LOSSES Pierre HANSEN, Nenad MLADENOVI] GERAD and Ecole des Hautes Etudes Commerciales Montr›al (Qu›bec), Canada Abstract: The standard way to solve the static economic dispatch problem with transmission losses is the penalty factor method. The problem is solved iteratively by a Lagrange multiplier method or by dynamic programming, using values obtained at one iteration to compute penalty factors for the next until stability is attained. A new iterative method is proposed for the case where transmission losses are represented by a quadratic formula (i.e., by the traditional B-coefficients). A separable approximation is made at each iteration, which is much closer to the initial problem than the penalty factor approximation. Consequently, lower cost solutions may be obtained in some cases, and convergence is faster. Keywords: Economic dispatch, transmission losses, B-coefficients, penalty factors, separable approximation, dynamic programming. 1. INTRODUCTION Due to the enormous costs involved, optimizing the use of equipment for power generation and transmission is a lasting concern. Given several thermal or hydro units, often with different characteristics, one must decide how to distribute the load considered between them. This problem, called economic dispatch, has been much studied, both in the static and dynamic cases. It is discussed at length in the book of Wood and Wollenberg [6] Power generation, operation and control, an enlarged second edition of which has recently appeared. The standard way to solve the static case with transmission losses is the penalty factor method. The problem is solved iteratively by a Lagrangian multiplier method or by dynamic programming, using values obtained at one iteration to compute penalty factors for the next until stability is attained. 158 P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm The purpose of this paper is to propose a new iterative method for the case where transmission losses are represented by a quadratic formula (i.e. by the traditional B-coefficients). A separable approximation is made at each iteration, which is much closer to the initial problem than the penalty factor approximation. Moreover, the problem considered at each iteration can be solved by dynamic programming. Convergence is faster than in the scheme, of to Liang and Glover [4], which also uses dynamic programming. The paper is organized as follows: a mathematical formulation of the problem is given in the next section. Previous solution methods are reviewed in Section 3. The particular case of a separable loss function is studied in Section 4, and illustrated by an example of Wood and Wollenberg [6]. The new method is described in full in Section 5 and applied to examples from [6] and [4]. Conclusions are drawn in Section 6. 2. FORMULATION Consider N thermal units committed to serve a load of PR , at minimum cost. Assume that production of each unit is bounded below and above. Assume further that transmission losses in the network are incurred and can be represented by a quadratic formula (with the so-called B-coefficients). This problem can be stated mathematically as minimize FT = N ∑ Fi ( Pi ) (1) i =1 subject to N ∑ Pi = PR + PL (2) i =1 and Pi,min ≤ Pi ≤ Pi,max where • i = 1, 2,..., N (3) Pi is the output of unit i (in MW), • Fi ( Pi ) is the input of unit i , or its cost rate (in $ / h ), • PR is the required load (in MW), • PL is the transmission losses (in MW). Moreover, PL = N N N i =1 j =1 i=1 ∑ ∑ Pi Bij Pj + ∑ B0i P0 + B00 . (4) Derivation of this formula for losses is explained in [6]. Neglecting transmission losses, i.e., setting PL = 0 in (2), problem (1) - (3) can be solved by a Lagrange multiplier method [6] or by dynamic programming [1, 4, 6]. P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm 159 3. PREVIOUS SOLUTION METHODS When transmission losses are considered, the standard solution method is the penalty factor approach. Consider the Lagrange function, with a multiplier λ for (2): minimize L = N N i =1 i=1 ∑ Fi ( Pi ) + λ ( PR + PL − ∑ Pi ) . (5) Neglecting bounds on the Pi , the first order conditions are equation (2) above and 1 dF ⋅ i = λ, dPL dPi 1− dPi i = 1, 2,..., N , (6) where dPL = dPi N ∑ 2 Bij Pj + B0i (7) j =1 are the incremental losses and 1 = dP 1− L 1− dPi 1 N ∑ 2 Bij Pj − B0i = PFi , (8) j =1 are the penalty factors PFi for units i = 1,..., N . Equations (2) and (6) are called coordination equations. If bounds on the Pi are taken into account the first order conditions become ≥ λ if Pi = Pi,min , dFi  PFi ⋅ = λ if Pi ∈ ( Pi,min , Pi,max ), dPi  ≤ λ if Pi = Pi,max . (9) An iterative method to solve (1)-(3) is the following [6]: 1. Solve the coordination equations with unit penalty factors (i.e. neglecting losses) to get an initial solution P10 , P20 ,..., PN0 . Set the iteration counter k = 1 . 2. Compute penalty factors with values of the last iteration, i.e., PFi( k) = 1 1− n , i = 1, 2,..., N , ∑ 2 Bij Pj( k−1) − B0i j =1 3. Solve the coordination equations to get a solution P1( k) , P2( k) ,..., PN( k) . (This can be done in various ways, e.g. a search technique for the optimal λ , a Newton-Raphson search, etc, see [6]). 160 P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm 4. Compute the current difference between the production and load plus losses, i.e., δ= N N N N i =1 i =1 j =1 i=1 ∑ Pi( k) − PR − ∑ ∑ Pi( k) Bij Pj( k) − ∑ B0i Pi( k) − B00 If δ ≤ ε (a given tolerance), stop. Otherwise, increase k by 1 and return to step 2. While no formal proof of convergence for this method seems to have been published, and values of δ may oscillate, a local and possibly global optimum is usually reached in a fairly small number of iterations. Modification to the iterative method just described to allow solution by dynamic programming are proposed in [4]. In Step 1 the initial solution is found by the recursion Fi* ( Di ) = min {Fi*−1 ( Di − Pi ) + Fi ( Pi )} Pi ∈Ri (10) where Ri is the set of integers in [ Pi,min , Pi,max ] the range of production for unit i , assuming that approximation to 1 MW and Di is chosen among the range of possible productions for the i first units, i.e., it is integer and i i k =1 k=1 ∑ Pk,min ≤ Di ≤ ∑ Pk,max . (11) In Step 3, each cost function Fi is multiplied by the penalty factor Pik−1 , the load PR is augmented by the losses as estimated and the problem is again solved by the dynamic programming recursion (10). The Lagrange function for this step is    ∑ i =1  1 −   N   1  Fi ( Pi ) N ( k−1) B P B 2 − ∑ ij j 0i  j =1  (12) N N N N   + λ  PR + ∑ ∑ Pi( k−1) Bij P j( k−1) + ∑ B0i Pi( k−1) + B00 − ∑ Pi    i =1 j =1 i=1 i =1   and the first order condition , as the losses are fixed,    ∑ i =1  1 −   N  ≥ λ if Pi = Pi,min ,  1  dFi   dP = λ if Pi ∈ ( Pi,min , Pi,max ), N ( k−1) i 2 B P B − ∑ ij j 0i  ≤ λ if Pi = Pi,max . j =1  and are the same as (9) except that the values of Pi are fixed in the penalty factors. (13) P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm 161 4. SEPARABLE LOSSES Economic dispatch with transmission losses can be optimized by dynamic programming without using penalty factors. The easiest case is when losses are separable in the Pi . Assume also that they are quadratic, a particular case considered in [6]. Then the power Pi produced by unit will be equal to the power Pi′ going to the load and the losses. Thus Pi′ = Pi − bi0 − bi1 Pi − bi2 Pi2 (14) where bi0, bi1 and bi2 are the known coefficients of the loss function. Hence Pi = 1 − bi1 − (1 − bi1 )2 − 4 bi2 ( Pi′ + bi0 ) 2bi2 . (15) One can associate to Pi′ a cost function Fi′( Pi′) equal to the cost necessary for unit i to contribute Pi′ to the load, i.e., Fi ( Pi ) where Pi is obtained from Pi′ by (14). The correspondence between Fi′ and Fi is illustrated on Figure 1. Figure 1: Input-Output functions Fi ( Pi ) and Fi ( Pi′) The range of values of Pi′ , deduced from that of Pi is, assuming integer values, or, in other words an approximation of 1 MW: Pi′,min = [ Pi,min − bi0 − bi1 Pi,min − bi2 Pi2,min ] ≤ Pi′ ≤ [ Pi,max − bi0 − bi1 Pi,max − bi2 Pi2,max ] = Pi′,max (16) 162 P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm where  a  and  a  are respectively the smallest integer not smaller than and the largest integer not larger than a ( Pi,min and Pi,max are assumed to be integer as well). The dynamic programming recursion is Fi′* ( Di ) = min {Fi′−*1 ( Di − Pi′) + Fi′( Pi′)} Pi′∈Ri (17) where Ri = [ Pi′,min , Pi′,max ] , the range of effective production of unit i (i.e. that which is not lost) and i  i  Di ∈  ∑ Pk′ ,min , ∑ Pk′ ,max  k=1  k=1  (18) the range of demand which can be satisfied by the first i units. This recursion is used * ′* , from which the powers P1* , P2* ,..., PN to find the optimal policy P1′* , P2′* ,..., PN to be produced by each unit are obtained by (15). The cost of this policy is ′* ( PR ) = ∑ i =1 Fi ( Pi* ) . FN N Observe that the method proposed gives a globally optimal solution (up to the approximations in the values of the Pi ), even if the cost functions Fi ( Pi ) and/or Pi are non-convex. In contrast, the classical penalty function method may stop at a local optimum in this case. Example 1. (Wood and Wollenberg [6], p 36). This problem involves three units with input/output functions and production ranges: F1 ( P1 ) = 561.0 + 7.920 P1 + 0.001562 P12 , P1,min = 150 MW , P1,max = 600 MW , F2 ( P2 ) = 310.0 + 7.850 P2 + 0.001940 P22 , P2,min = 100 MW , P2,max = 400 MW , F3 ( P3 ) = 78.0 + 7.970 P3 + 0.00482 P32 , P3,min = 50 MW , P2,max = 200 MW , PR = 850 MW and losses are given by PL = 0.00003 P12 + 0.00009 P22 + 0.00012 P32 . Solution. The following solution is obtained by applying dynamic programming to the transformed problem: P1 = 434.668, P2 = 300.106, P3 = 131.061 with losses equal to 15.8350. Note that the same losses are obtained by the penalty factor approach in 4 iterations ([6]). P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm 163 5. SEPARABLE QUADRATIC APPROXIMATION An iterative method using a separable quadratic approximation of the loss function is easily obtained by fixing at each iteration one value Pj in each quadratic term involving two such values Pi and Pj . Such an approximation is much more precise than the one obtained by fixing both values in all such terms, discussed above. Then the algorithm of the previous section is as follows: (a) Obtain an initial solution P1(0) , P2(0) ,..., PN(0) by solving the problem after deleting all quadratic terms Pi Bij Pj with i ≠ j in the loss function (or, which is better, by some heuristics, see below). Set the iteration counter k = 1 . (b) Compute the following separable quadratic approximation of the loss function N N N N i =1 i =1 j =1 i≠ j i =1 ∑ Bii Pi2 + ∑ ∑ Pi Bij Pj( k−1) + ∑ B0i Pi + B00 (19) (c) Solve the problem with the approximate loss function (19) to obtain a solution P1( k) , P2( k) ,..., PN( k) (for this purpose, use DP explained in the previous section). (d) Compute the approximate and exact losses using P1( k) , P2( k) ,..., PN( k) in (19) and (4). If these values differ in absolute value by less than ε , stop. Otherwise increase k by 1 and return to (b). A better initial approximation to the loss function may be obtained by computing a feasible initial solution by heuristics such as following: (h1) Set Pi = Pi,min for i = 1,..., N ; PR − ∑ i =1 Pi N (h2) Compute δ P = (h3) If Pi + δ P > Pi,max ; N for some i , set Pi = Pi,max delete that index value, and reduce N by 1. Return to (h2); (h4) Set Pi + δ P for all remaining i . The aim of this heuristics is to obtain quickly a feasible solution in which the productions above the minimum ones of the various units are as close as possible. Therefore, it first attempts to give an equal load to each unit. If some upper bound is not satisfied the largest possible load is assigned to the corresponding unit. The procedure is iterated with the total unassigned load. More sophisticated heuristics could take cost functions into account, but this does not appear to be necessary. Example 2. (Wood and Wollenberg [6], p 117-120)). The fuel cost curves for the three units in the six-bus network considered are given by 164 P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm F1 ( P1 ) = 213.1 + 11.669 P1 + 0.00533 P12 F2 ( P2 ) = 200.0 + 10.333 P2 + 0.00889 P22 F3 ( P3 ) = 240.0 + 10.833 P3 + 0.00741 P32 with a total load to be supplied PR = 210 and unit dispatch limits 50.0 ≤ P1 ≤ 200 37.5 ≤ P2 ≤ 150 45.0 ≤ P3 ≤ 180. The coefficients B00 = 4.04, B0i = (−0.07660, −0.00342, 0.01890), (i = 1, 2, 3) and the B matrix is  0.0006760 0.0000953 −0.0000507  B =  0.0000953 0.0005210 0.0000901 .  −0.0000507 0.0000901 0.0002940  Solution. The optimal solution is obtained in 3 iterations: It. 1 2 3 F P1 P2 P3 PR + PL Error 3146.28 3165.09 3164.86 70.3011 71.5868 71.5625 76.1023 73.9075 73.9348 71.1801 73.5692 73.5485 217.583 219.063 219.046 0.48846 0.01805 0.00021 Example 3. (Liang and Glover [4]). The operating costs of the generators are represented by the following polynomials of third order: a0 + a1 Pi + a2 Pi2 + a3 Pi3 , i = 1, 2, 3 where coefficients as well as Pmin and Pmax are listed below: Unit 1 2 3 a0 a1 11.200 −632.000 147.144 5.10238 13.01000 4.28997 a2 −0.00264290 −0.03057140 0.00030845 a3 Pmin Pmax 0.00000333333 0.00003333333 −0.00000017677 100 100 200 500 500 1000 The load is PR = 1400 and the losses are given by PL = 0.000075 P12 + 0.000015 P22 + 0.000045 P32 . The B -matrix is 0.0000750 0.000005 0.0000075  B = 0.0000050 0.000015 0.0000100  . 0.0000075 0.000010 0.0000450  P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm 165 Solution. If an initial solution is obtained by neglecting the off-diagonal elements of matrix B , the optimal solution is obtained in four iterations: It. F P1 P2 P3 PR + PL Error 1 2 3 4 6592.20 6642.32 6642.68 6642.69 359.704 360.266 361.361 360.293 406.478 406.927 406.969 406.967 665.957 676.145 675.079 676.158 1432.14 1443.34 1443.41 1443.42 10.46985 0.075683 0.001587 0.000366 Another way to derive an initial solution is also developed above, in Section 5. In this example, the initial solution obtained is P1 = P2 = 433.333 ; P3 = 533.333 . The optimal solution is then reached in only two iterations: It. F P1 P2 P3 PR + PL Error 1 2 6641.60 6642.68 363.129 359.222 407.547 406.959 672.448 677.244 1443.12 1443.42 0.229736 0.000977 Example 4. In the previous examples convex programming problems are solved, since both the objective function FT and the transmission losses PL are convex. Note that convexity of the PL function follows from the positive definiteness of the B matrix (i.e., the main minors of B are positive in Examples 1, 2 and 3 above). In this example, we change elements b12 and b21 from Example 3, i.e., we now have b12 = b21 = 0.00005 . Then the minor of the second order is negative (det = 0.000075 ⋅ 0.000015 − 0.000052 < 0) and thus, there are more than one local minima. Since the penalty factor method is derived from the first order conditions, it is a local optimization method, and may not reach the global optimum. Solution. With our separable approximation dynamic programming method, the following locally optimal solution is obtained in six iterations: It. F 1 2 3 4 5 6 6699.85 6657.20 6684.72 6703.30 6701.74 6701.69 P1 P2 P3 PR + PL Error 375.187 419.456 348.296 328.416 327.425 327.437 100.875 98.993 401.648 403.299 404.014 403.992 999.538 946.974 703.157 725.495 725.391 725.391 1475.60 1465.42 1453.10 1457.21 1456.83 1456.82 8.50537 0.259155 3.97778 0.324585 0.009888 0.000122 We then ran the penalty factor method to see what solution it gives for this non-convex example. For that purpose we used software attached to the book [6]. The solution obtained is as follows: F ( P1 , P2 , P3 ) = 6940.35 ; P1 = 428.6, P2 = 100.0, P3 = 1, 000.0, λ = 4.6765 . Therefore, the objective function value and the total losses are 6940.35 and 128.6 respectively (compare those values with 6701.69 and 56.82 obtained by our approach). 166 P. Hansen, N. Mladenovi} / A Separable Approximation Dynamic Programming Algorithm We also tried a modification of the penalty factor method: instead of adjusting λ in the inner loop (as suggested in [6] for Step 3 in the algorithm given in Section 3), we simply find the closest solution that satisfies the range constraints (3) as well. In other words, within Step 3, we iteratively project the current solution ( P1 ,..., Pn ) onto the hyperplane defined by (2) and the hypercube (3) until a feasible solution is reached. Note that both methods are equivalent if the point obtained after solving the coordination equations is feasible. The result, obtained in 5 iterations, is: F (219.21, 243.79, 1000.00) = 6812.31 . Again, this solution is worse than the dynamic programming one. 6. CONCLUSION A new method for static termal power units economic dispatch problem with transmission losses is proposed. It uses a separable quadratic approximation to the loss function, and refines it iteratively. Convergence is quicker than with previous methods. Moreover, it may lend to better locally optimal solutions than those methods in case of non-convexity of the loss function. REFERENCES [1] [2] [3] [4] [5] [6] Bellman, R.E., and Dreyfus, S.E., Applied Dynamic Programming, Princeton University Press, Princeton, 1962. Chowdury, B.H., and Rahman, S., "A review of recent advances in economic dispatch'', IEEE Trans. PWRS, 5 (V) (1990) 1248-1257. Kirchmayer, L.L., and Stagg, G.W., "Evaluation of methods of coordinating internal fuel and incremental transmission losses'', AIEE Trans., 71 (III) (1952) 513-520 Liang, Z.-X., and Glover, J.D., "A zoom feature for a dynamic programming solution to economic dispatch'', IEEE Trans. PWRS, 7 (II) 1992 544-549. Ringlee, R.J., and Williams, D.D., "Economic dispatch operation considering valve throtting losses II - Distribution of system loads by method of dynamic programming'', IEEE Trans. PAS, 82 (I) (1963) 615-622. Wood, A.J., and Wollenberg, B.F., Power Generation, Operation and Control, Wiley, New York, 1984. 2nd revised edition, 1996.
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