IEEE Transactions on Power Apparatus and Systems, Vol. PAS-101, No. 1 January 1982.

79

SOLUTION OF LARGE-SCALE OPTIMAL UNIT

COMMITMENT PROBLEMS *
Dr. D.P. Bertsekast

Dr. G.S. Lauert

Mr. T.A. Posberght

Dr. N.R. Sandell, Jr.t

ALPHATECH, Inc.
3 New England Executive Park
Burlington, Massachusetts 01803

Abstract - This paper is concerned with the solution of large-scale unit commitment problems. An
optimization model has been developed for these problems that incorporates minimum up and down time constraints, demand and reserve constraints, cooling-time
dependent startup-costs, and time varying shutdown
costs, as well as other practical considerations. A
solution methodology has been developed for the optimization model that has two unique features. First,
computational requirements grow only linearly with the
number of units. Second, performance of the algorithm
can be shown (rigorously) to actually improve as the
number of units increases. With a preliminary computer implementation of the algorithm, we have been
able to reliably solve problems with 250 units over
12 (2-hour) time periods, and we expect to be able to
easily double these numbers.
I.

INTRODUCTION

The unit commitment problem, i.e., the problem

of determining a schedule of what units will be used
to meet the demand anticipated over a future 24-hour
period, has been the subject of considerable discussion in the power system literature ( [1]- [5]).
Generally, the available approaches can be categori'ed into two groups. First, there are rigorous
optimization theoretic approaches that are impractical
for application to problems cf realistic size.
Second, there are heuristic approaches that are actually used in practice, but give no assurance that the
schedules produced are optimal or even close to optimal. The purpose of this paper is to describe a new
approach, based on optimization techniques, but capable of solving realistic large-scale unit commitment
problems.
We have formulated the unit commitment problem
as an optimization problem with continuous and integer variables similarly as in several earlier works
[1], [2], and [6]. Our solution methodology is based
on the branch-and-bound technique.
Lower bounds are
obtained by solving an associated nondifferentiable
dual optimization problem as in Muckstadt and Koenig
[6] who used a subgradient method for this-purpose.
We have developed a different nondifferentiable optimization approach which, in addition to a lower bound,
yields information which turns out to be very valuable
in generating a near optimal feasible commitment
schedule and an associated upper bound to the optimal
value. As a result, it is necessary to examine only.
a few nodes of the branch-and-bound tree in order to

obtain agreement of the generated upper and lower

bounds to within a practically acceptable tolerance.
In fact for large problems we have been consistently
able to obtain a feasible commitment schedule which
has been within approximately 0.5 percent from the optimal after examination of a. single node of the branchand bound tree.
From the paragraph above, it might be -inferred
that the theory underlying the solution methodology we
have developed is rather complex. This is indeed the
case, and consequently we cannot give a full exposition
here - details can be found in a recent technical report [7]. Rather, we will develop the unit commitment
optimization problem formulation, give a general overview of the solution methodology, and present our preliminary computational results.
Specifically, in Section II we will develop a
dynamic optimization model of the unit commitment problem. In Section III we will describe the branch-andbound method that, together with techniques for determining upper and lower bounds to the optimal cost,
forms the basis of our solution methodology. In Section IV, we will briefly present some preliminary computational results, including the solution of a 250
unit, 12-time period problem.
II.

PROBLEM FORMULATION

The power systems operations scheduling problem

be divided into a long-term problem and a shortterm problem ([8-[10] ). The long-term problem allocates on a per day basis the water available for hydroelectric generation and the power to be used from interchange contracts. We will assume that this allocation
has been performed and that- the hydroelectric generation has been scheduled over -he course of the day.
Thus, we only consider the short-term problem of determining the commitment of generators and the use of
interchange power over the course of a day. This latter
problem will be solved by dividing the day into 1- or
2 -hour intervals and determining which units are to be
used in each interval. Since the cost arsociated with
a particular unit commitment schedule is determined
primarily by the cost of the fuel required to generate
power to meet the demand, we will also determine a
nominal power output for each unit over each time interval in order to compute the cost.
There are two types of constraints that must be
satisfied by a unit commitment schedule. Those which
act to constrain the output of all units during each
time interval are termed system constraints, and those
which constrain the operation of individual units are
termed unit constraints. The basic system constraint
is that the power generated supply the demand reliably.
Since the demand is not known in advance and since
units can fail, this constraint is usually divided into
the following two constraints ([6], [11]).
can

Research sponsored by the U.S. Department of Energy,

Division of Electric Energy Systems, under contract
No. DE-AC01-79ET 29008.

tALPHATECHx

Inc., 3 New England Executive Park,

3urlington, Massachusetts, 01803.

( 1981 IEEE

80
The first constraint is that the sum of the nominal power outputs of the units must supply the expected average demand in each time interval. If I indicates the number of units (and contracts), gt denotes
the nominal output of the ith unit in time period t,
and if Dt denotes the expected average demand (not met
by hydroelectric generation) in time period t, then
this requirement is given by the inequality*
I
E

>

Dr

T ... 1
t=Op ..........
I

where T indicates the number of time intervals for

which the unit commitment schedule is to be determined.
The second system constraint is known as the
reserve constraint. The reserve at time t associated
with unit i, which we denote rt, is the additional
power over what it is scheduled to generate that a unit
can provide within a specified, short interval of time
(e.g., 10 minutes).
The reserve constraint requires that
I
t
t
T
(2)
ri > R , t=0,

where Rt is chosen to ensure that, with high probability, the demand can be met even if units fail or

the actual demand varies from the expected demand.

(see [7] for a computation of the required Rt based on
the probabilities of units failing and the statistics
of demand fluctuations.)
Now consider the unit constraints and the costs
associated with the operation of units. We consider
three types of power-generating units: steam (both
nuclear and fossil fueled), internal combustion, and
interchange contracts. The constraints and costs will
be defined in terms of the following variables:

from physical considerations (minimum down times due

to the thermal stress considerations and from economic

considerations (minimum up times to prevent high maintenance/repair costs due to excessive unit cycling).
Finally, by allowing costs to be time varying, we can
incorporate such effects as variable labor charges.

Such changes might be due to the overtime payments required for starting up or shutting down units during
times when they are not normally manned.
The operating constraints we consider for steam
units are defined in terms of the following variables:

hsut.A hot startup time (the time required to

start up unit i after it has been cooling
for the minimum downtime, i.e., when the
the water is as hot as possible),
csut.A cold startup time (the time required to
start uP unit i after the water is cold),
mut. A minimum up time of unit i,
mdt. A minimum down time of unit i, and
dcsia.A downtime cold start applies for unit i (the
cooling time after which the water is cold).
The dynamics of a steam unit are most easily presented by the use of a state transition diagram.
Figure 1 is an example of such a diagram for the case
in which hsut = 1, csut = 3, mut = 3, mdt = 3, and
dcsa = 5. Note that we include the startup time in the
the down states by assuming that a unit desired at time
t is started up at the appropriate time. In this formulation we assess all of the startup/shutdown costs
when the decision is made.

up

states

c.(g) _ the fuel cost of operating unit i at an

output level of g over one time interval
($),
A the minimum output power of an online
unit (kW),
_i
g.
A the maximum normal output power of unit
i (kW),
A the maximum emergency power available
g.
g.A
t

gi

ut

down

states

from unit i,

A the maximum increase in power for unit i

during the time period associated with
the reserve constraint (kW),
A the average generator output of unit i
for interval t(kW), and
A the startup/shutdown decision variable
for unit i at time t (one for startup,
zero for shutdown).

For steam units the dynamics of unit operation

are relatively complex. For these units the time required to start up the generator and the cost associated with startup depend on how long the unit has
been down. This occurs because the water in its boiler
must be heated before generation of power can occur.
The longer the generator is down, the more heat is lost
from its boiler and the longer the time and the greater
the expense to reheat the water.
In addition, there are various other operational
constraints on steam units. These constraints stem

*We can write the demand constraint (1) and the reserve constraint (2) as inequalities since the minimization of the costs of generation will ensure that
these inequalities are actually satisfid as
equalities, if this is possible. Writing the constraints as inequalities is useful to demonstrate the
applicability of certain of the optimization theoretic
,results underlying our approach.

u=O
x;t

t+l

Xjt+l

u = u;

Figure 1.

Steam Unit State Transition

Diagram.

Thus, we define the startup/shutdown costs of a

steam unit as follows:

s. (xt u.)
t

t-1

shutdown cost
at time t

if xt-l is an up
state and ut = 0

startup cost
at time t after
cooling xtI hours

is a down
if xt 1.
state and ut = 1
otherwise

The cost of generating power for 1 day using a 1-hour

time increment is therefore:
C.

23
z

t=o

st(xttl
i I

t1

while the constraints

on the

t)
I

+ c

(git)I

generator output are:

(3)

81
g.

<

if unit i is up at time t,

g.

gt
The

III.

t-

gi
=

if unit i is

reserve

available from

if the unit is down

if
u

mi(i+gi,

g.

(4)

at time t.

steam unit is given by

min(gt

domn

)i

the

unit

is

up

since steam units cannot be started up rapidly and

since there are limits on how quickly the output power
can be increased even if the unit is already on.
The internal combustion units are comprised of jet
turbines and diesel engine powered generators.
Typically, these units are built for cycling rather than
base load use and thus are quick to start and have very
few operational limitations.
While there are no startup costs associated with heating water, there may be
labor costs associated with starting up or shutting
down a unit.
Thus, the model of these units is particularly straightforward; only a single state variable
is required to keep track of whether the unit is up
or down.
$1

if unit

is up at time t

vO

if unit

i is down at time t

t
Xi

The state

(6)

equation

is

simple:
t

x=u.

(7)

operating this unit for a week is then

given by (3).
Many of these units can be started and produced at
maximum output very quickly, in which case
The cost of

r.

otherwise
A

gi

(8)

(4) applies.

variety

of

interchange

contracts are

possible

which differ in constraints on minimum and maximum

in each time interval and in the price

readily be incorporated into our
problem formulation.
Thus, we see that the mathematical formulation of
the unit commitment problem as an optimization problem
is to choose the nominal power outputs of the units in
such a way that the system and unit constraints are
satisfied while the total systemi cost

power usage
structure.

These can

ci

(9)

i=l

is minimized.- This formulation incorporates all of the

considerations usually associated with the unit commitment problem as it is classically defined.
From an

optimization point of view, the problem is complicated

by the existence of a very large number of units (I =
250 for a: large power pool), by the fact that both a
continuous (nominal power output) and discrete (startup/shutdown) variable must be selected for each unit
for each interval of time, and by the dynamic coupling
between the decision variables at the various time
intervals.
Development of dealing with this problem
is thus a highly nontrivial matter; our approach is
described in the next section.

UNIT COMMITMENT SOLUTION METHODOLOGY

The solution methodology we are proposing is based

on the well-known branch-and-bound procedure ([l],[12])
of optimization theory. The idea of this procedure is
to be able to obtain upper and lower bounds on a series
of constrained versions of the optimization problems
under consideration, and to use these bounds to eliminate sets of possible solutions from consideration.
Since for large-scale optimization problems there
are an astronomical number of possible ways to constrain
decision variables, it is not computationally practicable to obtain a solution by gradually constraining
all the decision variables. Rather our technique is to
use the branch-and-bound procedure to constrain those
variables which are least accurately determined in the
upper or lower bound computations. Using this approach
it is possible to generate a sequence of constrained
problems, the upper and lower bounds of which rapidly
converge to a satisfactory tolerance. It should be
emphasized, in fact, that for all of the problems tried
to date, our upper and lower bounds have been within
-0.5 percent of each other at the first try. Thus, the
branch-and-bound procedure has been rele-gated to the
role of safeguard against the possibility of problems
for which the upper bound solution is not so close to

optimal.
The procedure we are using to generate the lower
bounds is based on duality theory concepts ([13], [141).
Duality theory concerns the relationship of a constrained problem (here, the unit commitment problem)
and a related problem in which certain constraints are
incorporated into the cost function via Lagrange
multipliers. (Lagrange multipliers are most familiar
in power systems applications as the source of the equal
incremental cost dispatch rule.)
If the original probhem is convex [14] then the
related problem, known as the dual problem, has the
same solution. Unfortunately, the unit commitment
problem contains discrete commitment variables, ut,
and thus is not convex. In this case, the solution of
the dual problem does not even provide a feasible solution to the original problem, it yields only a lower
bound on the optimal value of the unit commitment problem. It is possible, however, in the course of solving
the dual problem, to generate information which can be
used to produce near optimal feasible solutions to the
original problem.
The upper bound procedure that we have developed
takes advantage of the information generated in the
lower bound computation. This is done by producing
dynamic priority lists which are used to generate a
feasible solution (the associated cost of which is an
upper bound). The priority lists are dynamic since
they depend on time, on the state of the units and on
the anticipated demand. These dynamic priority lists
account for the important factors affecting the unit
commitment and thus produce better results than the
static priority lists currently used.
A.

Branch-and-Bound Procedure

The branch-and-bound procedure, in which the

necessary lower bounds are computed by solving appropriate dual optimization problems, was developed by
Muckstadt and Koenig [6]. We will present here some
new theoretical results and algorithms, that together
with our new upper bounding procedure, have the potential of greatly improving the approach. With the full
development of these ideas, it will be possible to
solve a problem with 250 generators over a 24-hour time
period. Note that this involves the choice of 6,000
continuous and 6,000 0-1 variables, and is consequently
an extremely difficult problem.

82
The branch-and-bound procedure consists of the
repeated application of the following steps. First,
that portion of the solution space (i.e., set of
decision variables under consideration) in which the
optimal solution is known to lie is partitioned into
subsets. Second, if all of the elements in a subset
violate the constraints of the minimization problem,
then that subset is eliminated from further consideration (fathomed). Third, an upper bound on the minimum value of the objective function is computed.
Finally, lower bounds are computed on the value of the
objective function when the decision variables are
constrained to lie in each subset still under consideration. A subset is then fathomed if its lower
bound exceeds the upper bound of the minimization
problem, since the optimal decision variable cannbt
lie in that subset. Convergence occurs when only-one
subset of decision variables remains, and the upper
and lower bounds are equal for that subset.
To apply the branch-and-bound procedure to the
unit commitment problem r-equires partitioning the
solution space into subsets. A subset of the solution
one in which ut = 1
space is divided into two regions:
and one in which u4- = 0. This corresponds to a single
unit being constrained to be up (=t = 1) or down
(ut = 0) during a single time interval.
Using this approach a constraint tree can be
constructed in which the nodes in the tree correspond
to unit constraints and in which moving down the tree
corresponds to adding constraints. At each node in
the tree the constrained unit commitment problem (CUC)
is given by
23
mm

ti

u
i
t
Is .(x 1, u.)

c.(g. )

in (CUC). By carefully selecting the constraints to be

appended to the objective function, the dual problem
can be made much simpler to solve than the original
problem.
An advantage associated with this method of computing lower bounds is a theoretical result we have
obtained which indicates that the branch-and-bound procedure will tend to converge quickly. Let J- denote
the minimum value associated with (CUC) and let qi
denote the optimal value of the dual problem associated
with (CUC), where the I indicates that these costs correspond to a system with set of generators denoted by
I. If we denote the number of units by #(I), then we
can show, under very mild assumptions (see [7]), that
lim
#(I)->'

(10)

23

(XA,)

iaI

subject to
I

D
D>

t=O,I ...,1 23

qi (, p)

(A

(13)

t=O

where qi(A,V) is the value of the objective function in

the following optimization problem:

(11)
23

Rt

u. r.1 > R

min

u!t,gt
I1i

the constraints on individual units and the constraints on the ut's.

I'
The branch-and-bound procedure works best when
the solution space can be discarded
of
large portions
(i.e., many nodes in the tree fathomed) quickly. This
does not occur if many solutions have near optimal
function values, since then the solution space must be
partitioned into very small subsets before the optimal solution is obtained. In large power systems where
many similar generators may exist, it is likely that
many near optimal solutions to the unit commitment
problem exist.. We avoid this problem by modifying
the branch-and-bound procedure slightly so that we
obtain an a-optimal solution rather than the exact
solution.
This is done by fathoming nodes whenever the
associated lower bound is within C of the best upper
bound. If many nodes have optimal values that are
close, this procedure allows us to delete large portions of the tree with only e-error. Convergence
occurs when the upper and lower bound at the only
of each other.
remaining node are within
B.

(12)

= 0

This implies that, for a system with a large number of generators, the lower bound is, in relative
terms, "close" to the actual optimal value of the
objective function for (CUC). Since the lower bound is
monotone nondecreasing with the number of constraints
on the ut, and the upper bound is monotone nonincreasing, (12) indicates that subsets of the solution space
should be discarded rapidly. Thus, we expect that the
branch-and-bound procedure will converge to an optimal solution rapidly.
Let us now develop the dual formation of (CUC)
Define the Lagrange multiplier vectors A=(O,. A23)
and p=(pO,. ,p23) and the dual objective function
q(A,p) by

i=l

LOWER BOUND COMPUTATION

We will generate the required lower bounds by

The dual
solving problems which are dual to (CUC)
problems are formed by appending certain constraints
in (CUC) to the objective function using Lagrange
multipliers. Even though (CUC) is not a convex problem, the solution of the dual problem yields a lower
bound on the optimal value of the objective function

1, ut)

s.(x.

t=O

+ c(gi)

g.

pt rt

(14)

subject to unit and branch-and-bound constraints.

The dual problem is then given by
max

q(A, p)

(15)

_, li

subject to

At

>

pt

>

O,

...,

t=O.

23

(16)

While q(A,p) is concave it is also non-differentiable

and thus, its gradient does not exist.* Thus, we must
solve the dual problem via non-differentiable optimization techniques.
The approach we use is that developed by Bertsekas
([15],[16]) in which a sequence of smooth functions are
generated which are increasingly more accurate approximations to the non-differentiable objective function.
The resulting smooth functions are maximized by standard differentiable optimization techniques. The solutions of the approximate problems converge to the solution of the exact. problem.
It can be shown that all the non-differentiable
points in the objective function of the unit commitment problem are due to terms of the form

[g(z) I

min {gl (z)

' gr (z) I

(17)

A subgradient of q always exists, however, and is trivial to compute given that q has been evaluated [13].

83
where the functions qi(z) are twice differentiable.
The approximation method of [17], in which the terms

[g(z)]

are

replaced by

El

c [g(z); Y] = - C log

(18)

where
r

0 < y., j=l

r,

y. = 1

(19)

can, therefore, be applied and the approximating function'yc[g(z); y] will be twice differentiable. Niote
that the approximation becomes exact as c>X.
If this approximating function is substituted
for each of the nondifferentiable terms in the dual
objective function, then the resulting approximate
dual objective function is smooth and can be maximized by standard methods to yield an approximate solution, z*(c,y), to the dual problem. The approximate
problem is resolved with a higher value of c and with
new values of yi given by
y e -cg.

y3

(z* (cy,y) )

<.

y,-cgj(Z*(c,Y))

=3l

until z*(c,y) converges to 'the solution of the exact

dual problem. In [17] it is shown that, if the update
given by (20) is used, then z*(c,y) converges to the
optimal solution of the original problem for a finite
value of c and y converges to associated Lagrange
multipliers. This method is intimately related to
penalty-multiplier methods for constrained optimization, a relationship we exploit to advantage in the
upper bounding routine.
The application of this technique to the dual
formulation of (CUC) yields a three-level solution
methodology. At the lowest level, the approximate
dual function is evaluated at a point (X,p). At the
intermediate level a constrained optimizaation algorithm
is used to solve the approximate dual problem. At the
highest level, the parameters controlling the approximation are adjusted as in (20) so that a solution to
the exact dual problem is obtained.
The exact dual function can be evaluated by
applying the 'dynamic programming iteration to calculate
qi(A,1). A similar set of recursions can be developed
to evaluate the approximate dual function at (X,p).
It is also possible to develop associated iterations
that efficiently compute the gradient and Hessian of
the approximate dual function at (X,p). (For more
details and a proof that this Hessian is negative
definite see [7]).
At the intermediate level we use a Newton-like
algorithm for maximizing the approximate dual problem
since both gradient and Hessian are available. Due to
the presence of the positivity constraints on X and ,
however, we cannot use a standard Newton iteration.
Rather, an algorithm developed by Bertsekas [18] is
used. This algorithm consists of the following steps.
First, the inverse Hessian is modified so that the
the product of the matrix and the gradient yields a
Newton step in the variables in the interior of the
positive orthant and a steepest ascent step in the
variables on the boundary of the positive orthant.
This step is then projected back onto the positive
orthant to yield a feasible, new point for the dual
problem. If this point is unacceptable (i.e., it does
not satisfy some convergence line rule [19], [20]), then
a new point is calculated by taking a shorter step
before projection.

There are two main advantages associated with the

algorithm. First, once the set of dual
variables equal to zero has been identified, the
algorithm converges to the optimal solution quadratically. Second, unlike other algorithms which can set
at most one variable to zero per iteration, this
algorithm can identify many active constraints per iteration. If many of the positivity constraints are active
this is an important advantage, as otherwise a large
number of iterations would be required to identify which
constraints are active.
At the highest level, the approximation parameters
are adjusted via (20) so that the solution to the sequence of approximate dual problems converges to the
solution of the exact dual problem.
use of this

C.

UPPER BOUND COMPUTATION

We will generate the required upper bounds by

selecting from a sequence of feasible unit commitment
schedules (i.e., schedules which satisfy unit, demand,
reserve, and brantch-and-bound constraints) that one
which incurs the lowest costs.
Recall that while the solution of the dual problems
in the lower bound computation does not produce a fea-sible unit commitment schedule it does yield information
which can be used to generate very good commitment
schedules. This information is contained in the yb's
introduced in the approximation of (18). Effectively
these variables converge to variables which are dual
to the dual variables X and a. These "dual-dual" variables have an interpretation as primal variables in the
unit commitment problems (CUC).
In fact, if the unit commitment problem were convex, then these "dual-dual" variables would be exactly
equivalenit to the original commitment and dispatch
variables.
Effectively the yj introduced in (18) are associated with the various discrete values that the commitment variables can take on. If these values are denoted xj then the solution to the dual problem is given
by
x =

J
I
-i1

y. x.

(21)

The original problem would be entirely equivalent to

this formulation of the dual problem if the additional
constraint

yj-E{0, 1}

(22)

were imposed. Without this constraint the "dual commitment variables" x take values in a convex set and thus
can be considered as the solution to a "convexified"
version of the original problem.
Under mild conditions it can be shown that the
solution of this convexified problem yields "dual commitment variables" almost all of which are feasible as
commitment variables in the original unit commitment
problem (i.e., almost all of dual equivalents of ui are
equal to 0 or 1). By modifying the remaining variables
we can produce a feasible solution to the unit commitment problem. Since the cost corresponding to the solution of the dual problem is a lower bound on the optimal
cost and since changing only a few of the dual variables
increases the cost only slightly, this procedure can be
expected to yiel d near optimal feasible solutions.
The exact procedure for producing a feasible
schedule is detailed in [7]. Basically we take advantage of the fact that the yj's are functions of the
state of the power generating unit and of the time
period.. At the initial time we compute the "convexified"
output of each unit, which we denote gi, using the yj
corresponding to the units state. If gi is greater than

84
or equal to gi then the efficiency of the unit is defined to be gi/ci(gt). If gi is less than gi then the
efficiency is defined as gi/c(gi). The free units* are
then ordered into a priority list based on efficiency.
Units are selected in order of increasing efficiency, from this priority list and examined to determine if the reserve and demand constraints can be
satisfied.
This approach guarantees that a feasible unit
commitment can be found by recursively determining the
state of the units at the next time period and computing a new priority list. Since the priority lists
are based on the yj, which are determined from an
optimization over all time periods and which take into
account the state of the units, the commitment decisions should provide better results than use of the
more common static priority lists.
To provide an even better schedule we inbed the
above procedure in a higher level optimization procedure by forming a tree of different commitment schedules
where each node in the tree corresponds to using a
slightly different commitment schedule. The depth of
the tree is predetermined and the best commitment
schedule at the current time is determined by applying
dynamic programming to the tree where the costs at each
node are determined via an optimal economic dispatch.
For more details see [7].
D.

BRANCHING RULES AND GENERAL COMMENTS

If the unit commitment schedule produced in the

upper bounding procedure has a cost which is considered
to be too much greater than the lower bound then we
must evaluate more nodes in the branch-and-bound tree.
The branching rule we use to generate new nodes is that
of constraining a generator for which yj is noninteger. These units are the ones which are most
ambiguous with respect to commitment based on (22).
In the single-period case this rule has produced
excellent results (see [7]) after only two node evaluations. In the multi-period case (considered in the
next section) the branching rule has not been tested
since the results have been uniformly good after only
one node evaluation.
By using a sophisticated procedure we are able to
generate a very good feasible commitment schedule after
only one node evaluation. This is crucial since the
number of nodes in a branch-and-bound tree grows exponentially with the number of units to be scheduled.
Thus, algorithms which require the evaluation of many
nodes cannot schedule a large number of units.
The procedure outlined here not only is able to
solve large problems, but should solve them as efficiently and more accurately as they get bigger. As
efficiently since the computation time for one iteration of the lower bound computation is only linear in
the number of units. More accurately since the result
of (12) indicates that the duality gap should decrease
as more units are added.
IV.

COMPUTATIONAL RESULTS

To evaluate the unit commitment algorithm developed in the preceding sections computer code was written
which implements this branch-and-bound procedure. Preliminary computational results are tabulated in Table
I. The basic unit cormitment problem considered was
that of scheduling from 20 to 250 generators over the
course of 1 day.

*Many of the units will he constrained up or down at

any time period by the minimum up and down time
requirements and by initial, terminal, and branch-andbound constraints.

TABLE I

Computational Results

Demand
Curve 1

Demand
Curve 2

Number
of Units

Total Number
of Newton Steps

Difference

20
40
60
120
250
20
40
60
120
250

22
18
17
17
26

0.596
0.452
0.439
0.605
0.623

22
21
19
22

0.136
0.085
0.148
0.162

The 1-day time horizon was divided into 12 2-hour

time intervals. The nominal demand in each of these
periods is based on demand curves in [6] and [21]. The
parameters of the test units were generated by making
reasonable and minor modifications to the parameters of
certain units owned by Boston Edison Co.*
The major conclusion to be drawn from Table I is
that the upper bounding routine, and the associated unit
commitment schedule, are very nearly optimal after only
one node evaluation. The unit commitment schedule
generated is always within 1 percent of the optimum and
frequently within 0.5 percent. Since this occurs for a
variety of demand curves and for a wide range of problem sizes, we expect similar results for even larger
problems.
It is also interesting to note that the number of
Newton step iterations required to solve the dual problem does not increase with problem size. This is consistent with our experience with other problems solved
via Newton's method, and indicates that the efficient
solution of large problems is possible. In fact, we
anticipate that, with well-tuned code the number of
iterations will be reduced by a factor of 2 and that it
will be possible to solve 24-time period 250-generator
problems in 30 minutes of VAX 11/780 CPU time.
V.

SUMMARY AND CONCLUSIONS

In this paper we have formulated a unit commitment

problem which includes demand and reserve constraints,
minimum up and down time constraints, cooling-time
dependent startup costs and time varying shutdown costs
as well as other practical considerations. This problem is large-scale (over 12,000 decision variables for
realistic problems), nonlinear, nonconvex, and highly
constrained. A method for determining a near optimal
unit commitment schedule has been developed in the
framework of a branch-and-bound procedure. The lower
bound required is computed by solving a problem dual to
the unit commitment problem. The upper bound is determined through a sophisticated dynamic priority list procedure which generates a unit commitment with a cost
that is less than 1 percent suboptimal.
Current research is focused on developing better
dyanmic priority lists which account for startup costs
and future generation costs in an explicit manner. In
a parallel effort we are modifying our computer code to
make it more efficient. Based on preliminary results,
we expect to solve problems involving scheduling 250
units over 24 hours in less than 30 minutes of CPU time.
Once the unit commitment scheduling algorithm is developed we intend to incorporate it as an "inner loop" in
a 1-week unit commitment/hydro allocation program.

*The data for these uinits was kindly supplied by Mr. E.

Haddad of Boston Edison Co.

85
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Experimental Method of Determination of Optimal
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the Branch-and-Bound Technique." IEEE Tta!n.
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1969.
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EngLneeAing and, ComputeA Science,M.1.T., 1980.

Zia A. Yamayee, and A. 1. Cohen (Systems Control, Inc., Palo Alto,

CA): The authors are congratulated for presenting a very useful approach to solving the unit commitment problem. The methodology is
especially effective in solving large unit commitment problems.
We would appreciate it if the authors would clarify a few points. (1)
Could the authors comment on the interaction between thermal unit
commitment and short-term hydro scheduling? How is the
methodology presented in this paper applicable to a utility with high
penetration of non-thermal technologies (hydro, storage, wind, solar,
etc.), especially hydro technology? (2) Has the method been tried on a
weekly unit commitment problem? If so, how does the computational
time and storage increase with the scheduling period? (Is it linear?) (3)
How does the number of constraints affect the time and memory requirements? (4) Are the inequalities I and 2 of the paper valid if the unit
ramp rates are not ignored? It also seems to us that the unit ramp rates
(except for reserve calculations) have been ignored. Is the methodology
capable of incorporating this effect? If so, how is it going to affect the
computational and memory requirements? (5) Could the authors
elaborate on how the reserve requirement is chosen in inequality 2 to insure high probability of system security (reliability)? (6) Do the authors
plan to use branch and bound on any realistic problems? (In their
results section, they appear to solve only one node on the branch and
bound tree).
The authors are once again complemented for their important contribution to the solution of the unit commitment problem
Manuscript received May 20, 1981.
P. Sandrin, (EDF, CLAMART France): The authors have presented a
very interesting paper on this classical problem of unit commitment. We
are working, at EDF, on a rather similar approach, and we agree with
the authors about the interest of this method for large systems (over 200
units, 48 hours).
We should like to ask some questions:
1- Is the solution of the approximate problem quite close to that of:
max q(A, y)? A, p
2 - which is the speed of convergence of the approximate problem
solution?
3 - When generating feasible solutions, is there any difficulty with
unit constraints (minimum up-times and down-times)?
4- Do the authors intend to develop a stochastic version of this

algorithm?

Manuscript received May 28, 1981.

G. S. Lauer, D. P. Bertsekas, N. R. Sandell, Jr., and T. P. Posbergh:

The authors thank the discussors for their kind comments. We answer
their questions in order.
1. The short-term hydro scheduling is a convex optimization problem
since there is no minimum power output for operating units. Thus, if we
dualize the hydro-thermal problem, the hydro schedule produced will
be very near optimal. As discussed in the paper, the nonconvexities
mean that the solution of the dual problem cannot be used to solve the
thermal portion of the scheduling problem. We, therefore, take the
hydro schedule produced by solving the dual problem and use it to compute the demand and reserve that must be met by the thermal units. The
thermal scheduling problem with this modified demand and reserve is
then solved using the technique of this paper. Storage technologies can
be handled quite easily: the generation variables are allowed to be
negative and an appropriate cost is defined so that the unit can be
treated like any other unit. Wind and solar technologies which have a
significant random component cannot be incorporated directly into our

86

methodology. We are currently examining alternative extensions of this

methodology to handle stochastic effects.
2. The computational requirements are linear in the number of units
and are quadratic in the number of time steps. Thus, to solve weekly
problems we need more time, however, this is not a critical issue since
more time is typically available for solving weekly problems. Using the
current version of our experimental code and with two hour time steps
our methodology requires roughly 1 /2 hours/100 units; with 4 hour
time steps only 20 minutes/100 units. Identical units further reduce the
time required to solve a problem.
3. If the constraint is across all units (e.g., demand or reserve constraints) then a new Lagrange multiplier is required. However, time and
memory requirements are roughly linear in the number of units and
quadratic in time steps and depends only weakly on the number of
multipliers, thus, time and memory requirements should not be
significantly affected by this type of constraint. If the constraint is on
the operation of an individual unit, then the problem actually becomes
easier since more constraints makes dynamic programming easier, not
harder.
4. Both inequalities hold in the case of rampoing constraints. (Equation 5 defines the reserve in a way which accounts for ramping constraints.) To incorporate ramping constraints into the operation of units
is quite straightforward. The state of unit is now (xi,, gjt), where xi' is
up/down time rather than (xi'). The ramping constraint then can be expressed as
t+1

[max(g, g- 6 uu ) , min

- t'i
i

if the unit is up at time t and t + 1. Similar constraints can be added to

account for startup and shutdown ramping requirements. The dynamic
programming is thus two dimensional rather than one dimensional.
However, the Hessian computation dominates the CPU and storage requirements and thus this modification should have little affect on these
requirements.
5. Inequality 2 as it stands represents a typical industry requirement. It
can be modified (with no storage or computational expense) to ensure
that the probability of meeting the demand is greater than 1-6. This is
done by noting that
s

i- r

(2)

i=1

where ri is defined in Eqs. 5 and 8 is a sum of random variables if ri can

be zero with probability 1-pi for units scheduled up (i.e., there is no output available from units that fail). Since many units are always scheduled up SI is approximately normal with mean ml and standard deviation
S where
(3)

i=1M3

at

t ~
=

t2
(1-pt) (rt)

tt

3-1

3-

(4)

The probability that SI<D' (i.e., that the demand cannot be supplied
within A minutes of a unit failure) can be made as small as desired by the
appropriate selection of a' in the requirement
t

tt

>

Dt

(5)

If (t is any upper bound on (t then Eq. 5 is satisfied if we require that

I
Z
i=l

t +

pir.>D
+i

tt

AR

--

(6)

Upper bounds on ( are readily computed, for example by assuming that

all units are up during peak hours and all units except peaking units are
up otherwise. Equation 6 is additively separable and thus can be incorporated directly into our methodology.
6. We have already applied our methodology to many large realistic
problems. These problems are detailed in EPRI Report Em-285, "Synthetic Electric Utility Systems for Evaluating Advanced Technologies."
These systems included nuclear units (1000 and 1200 MW), coal-fired
units (50, 200, 400, 600, and 800 MW), oil-fired units (200 and 400
MW) and combustion turbine units (50 MW). The examples we considered ranged from 47 units to 194 units using both summer and winter
demand curves. The results for 4 examples are presented in Table 1.

Table I
194 units, twelve 2-hour time steps, summer demand
capacity:
42,400 MW
peak demand
40,000 MW
reserve in excess of
demand required:
600 MW
schedule cost:
within 0.13%o of optimal
164 units, twelve 2-hour time steps, winter demand
capacity:
38,800 MW
peak demand:
29,000 MW
reserve in excess of
demand required:
600 MW
schedule cost:
within 0.21% of optimal

47 units, twenty-four 1-hour time steps, summer demand

capacity:
10,000 MW
peak demand:
8,000 MW
reserve in excess of
demand required:
150 MW
within 0.32% of optimal
schedule cost:

194 units, twenty-four 1-hour time steps, winter demand

capacity:
45,000 MW
peak demand:
8,000 MW
reserve in excess of
600 MW
demand required:
within 0.16% of optimnal
schedule cost:
These results are typical and (for twenty-four I-hour time steps) are
obtained in roughly 7-10 minutes of VAX 11/780 CPU time per hundred units using current code. (The results in the paper were obtained
using earlier code.) Since our methodology produces schedules which
are closer to optimal as the problem size increases, we do not need to
emnploy branch and bound teclhniques: we are consistenitly within 0.25%o
of optimal for problems with 150+ units. More nodes in a branch and
bounId schemne could be solved to improve the solution further,
however, limits on the accuracy ot the data make such improvemiients of
dubious value.

MIliiiiscr-ipi received Jiuy 27, 1981.