Bundle relaxation and primal recovery in unit commitment problems. The Brazilian case

Bundle relaxation and primal recovery in unit commitment problems. The Brazilian case

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Article ID: iaor20033169
Country: Netherlands
Volume: 120
Issue: 1
Start Page Number: 21
End Page Number: 44
Publication Date: Apr 2003
Journal: Annals of Operations Research
Authors: , , ,
Keywords: Brazil
Abstract:

We consider the inclusion of commitment of thermal generation units in the optimal management of the Brazilian power system. By means of Lagrangian relaxation we decompose the problem and obtain a nondifferentiable dual function that is separable. We solve the dual problem with a bundle method. Our purpose is twofold: first, bundle methods are the methods of choice in nonsmooth optimization when it comes to solve large-scale problems with high precision. Second, they give good starting points for recovering primal solutions. We use an inexact augmented Lagrangian technique to find a near-optimal primal feasible solution. We assess our approach with numerical results.

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