LAGRANGIAN RELAXATION TECHNIQUE IN POWER SYSTEMS OPERATION
PLANNING: MULTIPLIERS UPDATING PROBLEM
Slobodan Ruzic
Electric Power Utility of Serbia
Belgrade, Yugoslavia
Abstract - All Lagrangian relaxation based approaches to the
power systems operation planning have an important common
part: the Lagrangian multipliers correction procedure. It is the
subject of this paper. Different approaches presented in the
literature are discussed and an original method for the
Lagrangian multipliers uj dating is proposed. The basic idea of
this new method is to update Lagr&ngian multipliers trying to
satisfy Khun-Tucker optimality conditions. Instead of the dual
function maximization the 'distance of optimality function' is
defined and minimized. If Khun-Tucker optimality conditions
are satisfied the value of this function is in range (-1,0);
otherwise the function has a big positive value. This method
called 'the distance of optimality method' takes into account
future changes in planning generations due to the Lagrangian
multipliers updating. The influence of changes in a multiplier
associated to one system constraint to the satisfaction of some
other system requirements is also considered. The numerical
efficiency of the proposed method is analyzed and compared
with results obtained using the subgradient technique.
1. INTRODUCTION
The hydro-thermal coordination problem belongs to the
class of large-scale, mixed-integer, nonlinear, dynamic and
non convex problems. Two main reasons which extremely
complicate the problem are non convexity of the objective
function caused by integer variables and the existence of
system constraints which make units outputs mutually
dependent. The basic idea of the Lagrangian relaxation
technique is to enable the relaxation of all system cons'raints
which is achieved through the dual problem formu.ation.
The dual function is formed by associating a Lagrangian
multiplier to every1 single system constraint and introducing
them into the objective function. The dual problem is stated
as the task of the dual function maximization with respect to
Lagrangian multipliers and its minimization with respect to
primal variables subject to all local constraints.
Paper SPT PS 03- 01- 0100 accepted
for presentation at the IEEE/KTH
Stockholm Power Tech Conference,
Stockholm, Sweden, June 18-22,1995
61
This problem is solved using the separability feature of the
dual function. It means that for a chosen initial set of
Lagrangian multipliers the dual problem is decomposed into
independent subproblems. All of these subproblems are
solved with fixed values of Lagrangian multipliers. The
value of the dual function is calculated, Lagraugian
multipliers are updated and dual subproblems are solved
again. This iterative procedure repeats until the maximum of
the dual function is obtained. Obviously, overall efficiency of
such an algorithm strongly depends on the convergence of
the dual problem solution to the dual maximum i.e. on the
Lagrangian multipliers update procedure.
The main drawback of the Lagrangian relaxation is that
the solution of the dual problem generally does not provide
feasibility of the primal problem. It means that control
variables obtained in the dual problem solution should be
modified in order to find a feasible solution of the primal
problem. That is why algorithms proposed in the literature
in addition to dual maximization phase always have so
called feasibility phase. Depending on the obtained dual
solution two following cases may appear in the feasibility
phase: the solution of the primal problem may be achieved
by changing the continuos variables only and some
commitment status's of thermal units have to be changed to
provide feasibility of the solution. If commitment status's of
thermal units have to be changed the optimization algorithm
is again faced with multipliers updating problem.
A good convergence to the dual maximum and finding the
near optimal solution of the primal problem are two crucial
tasks in all Lagrangian relaxation based approaches. Both of
these tasks are closely related to the Lagrangian multipliers
updating problem. It is important to stress that the problem
is more serious in case of a hydro-thermal than in case of a
thermal power system. Namely, if the Lagrangian multiplier
associated to the power balance equation in hour t is
increased, it will caused the increasing of the thermal units
generation in that hour. Outputs of thermal units in other
hours will stay the same (except in case when ramp rates or
fuel limits are active constraints). On the other hand, the
increasing of the generation in hour t in every single
hydroplant will cause the decreasing of outputs in some of
other hours due to limited amounts of available water. In
other words, even very small changes in the Lagrangian
multipliers may cause the "shifting" of a hydroplant
production from one to the another hour. The goal of this
paper is to present existing techniques for the multipliers
updating and to propose some new ideas in this field.
 2. PROBLEM FORMULATION
A. Primal problem
The hydro-thermal coordination problem is stated as the
minimization of the total system costs subject to all system
and local constraints. The total system costs consist of the
fuel, start-up, shut-down and maintenance costs of thermal
units. A penalty term which penalizes the excessive usage of
available water in hydroplants may be included in the
objective function, also. Two subsets of system constraints
may be recognized in the primal problem formulation.
The subset of equality system constraints consists of power
balance equations during the optimization period. All other
system requirements, such as the spinning and regulating
reserve, transmission line capacity limit and fuel constraint
of a group of thermal units belong to the class of inequality
system constraints. Due to notation simplicity, only the fast
spinning reserve requirement will be explicitly treated in the
mathematical formulation. Local constraints have not been
relaxed during the optimization procedure, so they are out of
the scope of this paper. In other words, the primal problem
can be expressed as follows:
N M
min F =Zfj+Zh, (1)
Pfi j=l 1=1
subject to:
^ O ; t=L...,T (2)
so ; t=l,..., T (3)
.=1
The following notation is used in above relations:
f; -cost function of thermal unit j
hj -penalty function of hydroplant i
N -total number of thermal units
M -total number of hydroplants
t -index of a time interval (an hour)
D -total system power demand
PF -penalty factor
Pj -vector of thermal unit j hourly generations
Pj -vector of hydroplant i hourly generations
R -fast spinning reserve system requirement
q -hydroplant i contribution to the system spinning reserve
r, -contribution of thermal unit j to the spinning reserve.
D. Dual problem
By associating vectors of Lagrangian multipliers A. and (i
to system constraints (2) and (3) respectively, the dual
problem can be formulated as:
62
max i mm =F ( (4)
Obviously, the dual problem is defined as a task of finding
the saddle point of function 1>. In each iteration of the
optimization procedure the dual problem solution is found
for a fixed set of Lagrangian multipliers as:
O ,H )=min ( (5)
P,.P, 1=1
Lagrangian multipliers updating and solving of (5) are
successively repeated until the maximal solution of the dual
problem is found.
3. LAGRANGIAN MULTIPLIERS UPDATING PROBLEM IN THE
TECHNICAL LITERATURE
Two different Lagrangian multipliers update procedures
are discussed in this paper. A survey of various tactics for
the Lagrangian multipliers updating is presented in [7].
Although there are a number of theoretically possible
procedures for the dual maximization, the subgradient
method (also called the generalized gradient method) is the
much more applied than other techniques. This method
(firstly proposed in [1], then validated and additionally
developed in [2] and [3]) is the most popular in practice due
to its simplicity and the fact that the subgradient vector of
the dual function is easily available [6].
The second Lagrangian multipliers update method
discussed in this paper is the variable metric method. The
first application of this method to the power system
operations planning is reported in [11]. The method is
additionally improved and applied in [15]. In both cases
promising results have been obtained which show that this
method deserves further investigations.
A. Subgradient method
The subgradient method in its basic form may be
expressed as follows:
k+l
(6)
where k, [X [if, [AD AR] and s are the iteration index,
the Lagrangian multipliers vector, the vector of subgradients
of the dual function and the scalar correction step,
respectively. This algorithm theoretically converge if scalar
correction step, s, satisfies following conditions:
limsk->0 A lim is r ->°° (7)
 Several alternative ways for generating the value of scalar of the dual problem proceeds with a heuristic procedure for
s have been proposed. The first way suggested in [1] is given finding the primal problem solution. However, this heuristic
by the following relation: procedure cannot guarantee that a feasible solution of the
primal problem will be found. T h e general dual-primal
K solution procedure similar to this is applied in [8], [17] and
AD
k
(S) [19]. Ifall inequality system constraints are satisfied in the
AR solution of the dual problem the general solution procedure
where a is a scaling constant and o * is an estimate of the comes to the reduced primal (continuous) problem solving.
optimal value of the dual function. This approach is applied But there is no guarantee that the solution of the dual will
in [9], [13] and [18]. It is suggested in [13] that scaling satisfied necessary conditions for finding a feasible primal
constant a takes value between 0 and 2. problem solution. It means that the convergence of the basic
The following simple rule for generating the value of multiplier update procedure to a dual solution which satisfies
scalar correction step s is defined in [4]: all inequality system constraints is the crucial point in this
methodology. A great number of proposed procedures, such
k
s =l/(p+ky) (9) as [9], [10], [12], [14], [16] and [18], are basically different.
They maximize the solution of the dual in the first step and
where P and y are positive constants which depend on the after that in the second step try to find a feasible solution of
power system. The above rule is basically applied in [8], the primal problem. In the feasibility phase of these
[10]. [17] and [19]. An interesting modification of this algorithms Lagrangian multipliers have to be updated again
algorithm regarding multipliers X has been proposed in [8] either in the same manner as it is performed during the dual
(and later applied in [13] and [17]). In case that a feasible maximization phase ([10] and [18]) or using some special
(but not the optimal) solution of the primal problem is found update procedures (reserve-feasibility search in [12],
in iteration k the system marginal cost, MC, in each hour is adaptive partial relaxation in [14] or a procedure based on
calculated and Lagrangian multipliers X are updated as: the quadratic programming in [16]).
The subgradient method may be efficient only if the
).k+]=z)}+{l -t )MC k (10) multipliers initialization is done properly and if heuristic
where E is a hcuristically defined parameter (0<e<l). The coefficients in the correction procedure are chosen
procedure for the multipliers (i updating arc also modified in adequately. Initial values for Lagrangian multipliers \ may
[8]. In order to obtain the satisfaction of inequality system be set to system marginal costs which are calculated using
constraints positive elements of subgradient vector AR are the economic dispatch procedure and the priority order list
increased in each iteration using the constant equal to the of thermal units ([17] and [18]). Also, the initialization of
Lagrangian multipliers may be carried out using their
capacity of the lowest thermal unit in the system. Due to
optimal values obtained in the previous planning period (as
same reasons an acceleration coefficient is used in [17] and
it is suggested in [9] and applied in [19]). However, although
[19] providing much stronger corrections for those elements
a good initial set of Lagrangian multipliers can significantly
of n which are associated to violated system constraints.
reduce the number of iteration, the subgradient method
The third approach for the scalar correction step s generally provide a ' cry slow convergence.
gcneraling (suggested in [5] and later applied in [12] and
[16]) may be expressed as follows: B. Variable metric method

The variable metric method is proposed in [11] in order to

AD1 overcome the slow convergence of the subgradient method.
(x+kv) (H)
AR1 This method takes into account that changes in cither
subvector X or |i effect not only the corresponding
where % and o arc system dependent constants. subgradient vector. Due to this fact an approximation of the
These three alternative approaches for the step size Hessian inverse matrix, H, is calculated in each iteration as:
generating in the subgradient method are tested in [14]. It
has been found that both methods defined by (9) and (11) [ ] [ ] / k T H k A S k (12)
provide an acceptable convergence. It is also reported that
the basic problem with method defined by (8) lies in where H° is equal to the identity matrix and £ is a
heuristically defined parameter (0<q<l). Vector AS used in
obtaining a correct value for o*- This problem is overcome
the above relation is assumed to be:
in [13] using the best available solution of the primal
problem. It is possible due to the fact that the primal
problem solution cannot be less than the solution of the dual ASK = AD k-l
(13)
problem. The algorithm proposed in [13] after each iteration AR AR

63
 The Hessian inverse matrix is then multiplied by the
subgradient vector. The new vector obtained in that way
(instead of the subgradient vector) is then used in the
(14)
Lagrangian multipliers updating algorithm defined by
relations (6) and (11). It should be noticed that in the special
case when £=0 the variable metric method completely where RQ is a constant which regulates the importance of
corresponds to the subgradient method defined by (6) and violated reserve constraints to value of function W. It is
(11). However, if the optimization period increases the important to note that always when Khun-Tucker optimality
Hessian inverse matrix becomes too large and dense. To conditions are satisfied this function takes a value between 0
overcome this serious disadvantages the method is modified and -1 but otherwise function W takes a big positive value.
in [15] using the block diagonal structure of the Hessian This means that when all dual subproblems are solved the
inverse matrix. Actually, the variable metric method is used value of function W can be calculated and Lagrangian
to calculate a multipliers update width vector for each day multipliers should be updated in order to nullify this
and then the obtained update width vector is modified using function. Of course, it is practically impossible to achieve
the mean value of subgradients in other days. this goal by means of Lagrangian multipliers updating only.
However, if the value of function W is decreased it means
In both papers [11] and [15] the dual maximization phase
that the algorithm converge to a near optimal and feasible
is carried out completely before the feasibility phase is
solution of the primal problem. In other words, the finding
performed. Using the least squares method and information
of a feasible solution is much easier task if the 'distance of
obtained during the dual maximization a linear relationship
oplimality1 function has less value. The minimization of this
between Lagrangian multiplier X and the total system
function leads to the fast satisfaction of all inequality system
generation is formed in [11]. This relationship is used in the
constraints (due to the fact that second term in function W
feasibility phase to calculate necessary changes of the
takes an enormous value if AR>0) and on the other hand
corresponding Lagrangian multiplier. Unfeasibility functions
reduces the finding of a feasible solution to a continuos
arc defined in [15] and the problem of finding a feasible
problem. If the Taylor series expansion of function W is
solution is transformed into a least squares type problem.
performed near the value obtained in iteration k then the
The variable metric method need significantly less value of function W in the next iteration can be expressed as:
iterations than the subgradient method to converge to the
dual maximum. It is clearly shown in both [11] and [15].
However, it is not quite clear how the convergence of this Au1l.k (15)
method depends on the initial set of Lagrangian multipliers •ti
and how matrix operations effect the CPU time and memory
If A^lk and An'k arc directly proportional to corresponding
requirement. Further investigations should give answers to
descent directions of function W and if the value of this
these questions. Also, it should be noticed that a serious
function in iteration (k+1) should be equal to zero then the
problem regarding the feasibility of the primal problem
solution still remains in the optimization algorithm. multipliers correction step (the factor of proportionality), s,
can be obtained from the following relation:
4. DISTANCE OF OPTIMALITY METHOD

The new idea for the Lagrangian multipliers updating \Vk+1=\Vk-sk

aw* =0 (16)
which will be presented bellow is based on Khun-Tuckcr dX' t=i
optimality conditions. These conditions may be expressed as
In other words, if VWk and VWj; are gradient vectors of
follows: if ).' and n* are gi%en sets of Lagrangian
function W in iteration k with respect to Lagrangian
multipliers and if p* and p* are vectors of primal variables multipliers X and u, respectively, then new values of
which solve (5) then these vectors of primal variables multipliers (which in the first approximation nullify function
represent the optimal solution of primal problem (1) if W) should be calculated as:
constraints (2) and (3) are met, if u'*20 and if
l ls: wk fvwk (17)
H *AR 0 for all t. Taking into account above conditions
vwk
.k+1
function W which represents the distance of the dual
problem solution from the optimal solution of the primal
problem may be formed as: The first derivatives of (14) with respect to multipliers /. and
H in hour r can be expressed by (18) and (19), respectively:

54
 generation with respect to Lagrangian multipliers are
calculated according to following relations:

N 5r[SPJ
5r[SPJ + ^ ^ ^ -rfr=Tzr ^ r ; t=i,...,T (22)
J^ICP 1 ^?.' ,=ia»;5/.r
(18)
...,T (23)
N dP\ M gpM
ZPFj—f+ZPFi—H-
2 t=i
A
t=r ; t=L...,T (24)
-Xi t=m
(19)
The fast spinning reserve of hydroplant i is the difference (25)
between the maximal and the planned generation on the L " J
current head. Consequently the partial derivative of the
hydroplant spinning reserve with respect to its generation is
equal to -1. However, due to significant ramp limitations in M = __L^I . l=u,T (26)
case of thermal units the spinning reserve is modeled as a 5/ PF.SA.'
piece-wise linear function (sec (8) and (9) in [19]). That is Parameters a) and b| are coefficients of the quadratic
why the partial derivative of the thermal unit spinning
reserve with respect to its generation is either -1 or 0 generation-discharge function on the current head in hour t.
depending on the generation level. Obviously, only partial Value Qj* represents the optimal discharge and k[+I* is the
derivatives of unit generations with respect to Lagrangian optimal slope of the piece-wise linear dual function. Both of
multipliers should be additionally calculated in order to these values are calculated in the dual subproblem solution
apply correction procedure defined by (17), (18) and (19). procedure which is in detail explained in [20]. It should be
These partial derivatives can be obtained using the fact that noticed that limited amount of available water in hydroplant
thermal units and hydroplants generations needed above are i is taken into account in relation (24). This relation assumes
obtained as the solution of (5) i.e. as solutions of dual that changes in multipliers in hour r will cause the discharge
subproblems. The dual problem solution procedure gives changing in that hour and the opposite changing in hour m.
expressions that define the optimal thermal unit output If the discharge in hour r should be increased then hour m is
(relations (12) and (13) in [20]) and the optimal discharge of detected as the hour in which multiplier k has the minimal
a hydroplant (relation (24) in [20]). The known relationship value and the optimal discharge is greater than the minimal.
between optimal values of control variables and values of But if the discharge should be decreased then hour m is
Lagrangian multipliers can be used in the multipliers detected as the hour in which multiplier k has '.he maximal
correction procedure. In other words, partial derivatives of value and the optimal discharge is less than the maximal.
the thermal unit generation with respect to Lagrangian
multipliers should be obtained as follows:
5. NUMERICAL RESULTS

0 The efficiency of the proposed methodology is tested on

t=L...,T (20)
dk' [PFj/2aj ; r=t the system of Electric Power Utility of Serbia consisting of
34 thermal units and 18 hydro plants. Necessary technical
data have been presented in [19]. The fast spinning reserve
SP\ requirement is set to 10% of the maximal hourly demand in
; t=L...,T (21)
r =t A each day of the testing period. The maximal value of the
duality gap and the maximal number of iterations are set to
where a; is the quadratic coefficient in the fuel cost function 0.5% and 20. Comparing results between the distance of
and r; m a x is the maximal contribution of unit j to the system optimally method (DOM) and the subgradient method
spinning reserve. Above expressions are obtained assuming (SGM) are given in Table 1. The number of iteration, IT,
that ifk and/or u arc changed in hour t, it will not caused optimal value of the objective function, F, and obtained
changes of thermal units generations in any other hour duality gap are presented for both methods. The optimal set
(except hour t). Partial derivatives of the hydroplant of multipliers obtained in the previous day is used for the
initialization in both cases. However, daily system demands

65
in the testing period decrease from 109.6 to 75.1 GWh 12] L.S.Lasdon; OPTIMIZATION THEORY FOR LARGE SYSTEMS,
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Method] Dav 1.4.95. 2.4.95. 3.4.95. 4.4 9! ? 4 05 6 4 "5 7 4 95 ll
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7. REFERENCES
B.T.Po]jak; MINIMIZATION OF UNSMOOTH FUNCTIONALS.
USSR Computational Math, and Math Physics. Vol. 9, pp 14-29. 1969.
Slobodan Ruzié was born in Yugoslavia in 1960. He graduated and received
his M.Sc. degree from the University of Belgrade both in electrical engineering.
He has published over 15 technical papers and has worked in several projects.
His present research interests include all aspects of operations planning, load
forecasting and neural network applications.