IEEE Transactions on Power Sy?tems,,Vol. 13, No.
3, August 1998
Dual Programming Methods for
Large-scale Thermal Generation Scheduling
G. Demartini T.R. De Simone G.P. Granelli M. Montagna
ENEL S.p.A., DSNCRA Member, IEEE
Cologno Monzese, Italy University of Pavia, Italy
Abstract - The problem of thermal generation scheduling: is
considered in the framework of the short-term hydro-thermal
coordination problem. Dual programming methods are applied
to the large-scale problem deriving from a fine subdivision of the
daily optimization horizon for networks with hundreds of tber-
mal units. The starting point for the dual approach is obtained
from the solution of a thermal scheduling problem with dis-
carded generation ramp-rate constraints. The relaxed daily
scheduling decouples into as many smaller dispatch problemi as
the number of subintervals. Two dual programming methods are
implemented: the former is the dual active set algorithm by
Goldfarb and Idnani while the latter is based on the application
of continuation method techniques. These approaches are exten-
sively tested with reference to both a small sample system and to
the daily thermal generation scheduling of the Italian (ENISL)
system (over 100 thermal units and 96 quarter hour subinter-
vals). Incorporating the dual programming approach within the
ENEL hydro-thermalcoordination procedure is also considered.
I. INTRODUCTION
The problem of hydro-thermal generation scheduling is lone
of the most challenging large-scale optimization probhem
arising in power system analysis. Most of the proposed ap-
proaches are based on some form of decomposition between
the hydro and thermal scheduling phases. The current practice
at the Italian Electricity Board (ENEL) is described in [I].
The thermal scheduling subproblem consists in minimizing
the cost of thermal generation corresponding to a given hydro
scheduling. Constraints include power balance equations and
operating limits on the transmission and thermal generation
subsystems. The hydro scheduling subproblem minimizes the
thermal generation cost subject to a set of hydraulic con-
straints by employing the Frank-Wolfe algorithm [2].Coordi-
nation between the two subproblems is achieved by exploiting
the Lagrange multipliers of the thermal scheduling phase. A
similar approach can be found in [3].
The short-term hydro-thermal scheduling implemented at
ENEL typically considers a daily optimization horizon dis-
cretized on an hourly basis. A finer subdivision of the optimi-
zation interval (e.g. every 15 minutes) requires to take into
PE-068-PWRS-I 6-09-1997 A paper recommended and approved by
the lEEE Power System Engineering Committee of the IEEE Power
Engineering Society for publication in the IEEE Transactions on Power
Systems. Manuscript submitted May 27, 1997: made available! for
printing September 30, 1997.
088.5-8950/98/$10.00 0 1997 IEEE
857
K. Rob0
Member, IEEE CESI S.p.A., Milan, Italy
account thermal generation ramp-rate limits neglected in the
model of [ 11.
In the present paper dual programming methods are used in
the solution of the thermal scheduling subproblem incorporat-
ing ramp-rate constraints. Large-scale problems are consid-
ered deriving from a fine subdivision of the optimization hori-
zon for networks with hundreds of thermal units. In the past
primal methods were proposed to solve the thermal generation
dispatch problem. Optimization techniques included, among
others, penalty function methods, dynamic programming, re-
cursive nonlinear programming and gradient projection algo-
rithms [4]-[ 81.
The choice of using dual programming is suggested by the
fact that it is easy to find an optimal solution for the thermal
scheduling subproblem after relaxing the ramp-rate con-
straints. Indeed, the relaxed problem can be solved as a se-
quence of independent thermal dispatch problems each corre-
sponding to one subinterval of the optimization time horizon.
Then dual programming is employed to enforce violated con-
straints while maintaining optimality.
A further reason in favour of the dual programming ap-
proach is that the code implementing the relaxed problem so-
lution was already available being coincident with the thermal
scheduling procedure of [l]. Moreover, the number of vio-
lated ramp-rate constraints is expected to be limited in normal
operating conditions, considering also that hydro scheduling
has the effect of flattening the residual thermal load.
Two dual programming approaches are considered. The
former implements the method of Goldfarb and Idnani [9]
which consists in taking gradient projection steps which re-
duce the amount of violation while retaining the optimality of
the current solution point. The latter approach makes use of
continuation method techniques; a whole family of optimal
solution points is generated as a function of a continuation pa-
rameter whose value is progressively increased from zero
(corresponding to the optimal relaxed solution) to one
(corresponding to the optimal solution considering all con-
straints).
Both algorithms were applied to power system analysis
problems. The Golfarb-Idnani method was recently employed
in the framework of probabilistic adequacy assessment of
large interconnected systems [lo]. Continuation methods were
applied to the optimal power flow [ 111 and hydro-thermal co-
ordination [ 121 problems.
The characteristics of the two approaches are compared
with reference to a small sample system. More significant re-
sults are presented for the ‘ENEL production system with more
than 100 thermal and 200 hydro units.
858
11. THE HYDRO-THERMAL SCHEDULING PROBLEM
Hydro-thermal scheduling requires to minimize the genera-
tion cost of thermal units while satisfying the operating con-
straints of the hydro, thermal and transmission subsystems.
For the short-term scheduling problem considered, it is as-
sumed that the results of thermal unit commitment are avail-
able.
The problem is decomposed into the two phases of hydro
and thermal scheduling. The hydro scheduling objective func-
tion FH is defined as the minimum cost of the thermal gen-
eration corresponding to the residual load.
For a given hydro scheduling fii , the value of FH is ob-
tained by solving the following thermal generation scheduling
(TGS) subproblem:
F,(k;)=
j=1 k=l
--I < p'-I 2 p ;
pi. - J = 1,2,...,N, (3)
j = 1,2,...,N,
(4)
In the TGS model, the optimization horizon is subdivided
into N subintervals of equal length At ; constraints (1)-(4) are
relative to all subintervals i = 1,2,. ..,N . $ ( ki) is the real
power generation of thermal (hydro) unit J ( k ) and D; is the
load at bus 1 during the i-th subinterval. N, (NH ) and NL are
the number of thermal (hydro) units and load buses.
Equations (1) express the balance between real hydro-ther-
N .
mal generation and the total load demand Di =
/=I 0,' .
Constraints ( 2 ) refer to a subdivision of the network into
tree-connected areas. A limit 31is set on the real power in-
terchange between any two contiguous areas, with h belong-
ing to the set of interconnections s,. Coefficients a,p and y
may be 1, -1 or 0 according to the location of individual gen-
erations and loads and to which power interchange is evalu-
ated.
Constraints (3) set the technical limits on power generation
for the thermal units.
Constraints (4) set lowerlupper bounds y j and 5 on the
thermal generation ramp-rate.
The hydro scheduling subproblem is defined as:
SJY
[
min FH HL ( q i )]
subject to a set of linear hydraulic continuity equations and to
upperllower bounds on water releases and storage volumes.
The problem variables are hydro unit discharge rates q ,
spillage discharge rates s and water storage volumes V .
According to the Frank-Wolfe algorithm, each iteration of
the hydro scheduling subproblem consists in minimizing a lin-
earization of FH (with respect to hydro unit discharge rates)
subject to the hydraulic constraints. The resulting linear pro-
gram decouples into smaller problems each corresponding to
a system of hydraulically coupled plants. Efficient network
flow programming techniques are used in each linear pro-
gramming solution.
A solution of TGS is necessary to evaluate the derivatives
of FH which are obtained as a linear combination of the La-
grange multipliers corresponding to the power balance equa-
tions (1) and to the active constraints of (2). Other TGS solu-
tions are needed to evaluate FH in the linear search process
required by each iteration of the Frank-Wolfe algorithm.
TGS is a very large quadratic programming problem; it is
solved here by employing dual active set methods.
Dual programming approaches require a (dual feasible)
starting point which is the optimal solution of a relaxed prob-
lem TGS-R obtained by discarding some constraints of TGS.
The current solution is iteratively modified so as to enforce
those of the relaxed constraints that result violated while
keeping the optimality conditions satisfied. When no more
violated constraints are left, the solution of TGS is obtained.
The choice of dual programming methods was suggested
mainly by the following considerations:
0 If the thermal generation ramp-rate constraints (4) are se-
lected as the ones to be relaxed, TGS-R decouples into N
separate scheduling subproblems of smaller dimensions.
0 The program performing the solution of TGS-R was al-
ready available and working [ l].
* The number of violations of constraints (4) corresponding
to the solution of TGS-R is not expected to be high in nor-
mal operating conditions.
To reduce the number of ramp-rate violations and ease the
computation burden of the whole hydro-thermal coordination
problem, it is convenient to employ a two-stage procedure. In
the first stage the problem is solved by discarding ramp-rate
constraints. The complete TGS model is introduced only in
the second stage hydro-thermal dispatch that is when a re-
markable flattening of the residual thermal load has already
been achieved.
111. SOLUTION OF THE TGS PROBLEM
A . Duality Based Quadratic Programming
A quadratic programming problem can be expressed in ma-
trix form as follows:

subject to
CTxI d (5)
where equality constraints are omitted for simplicity.
For the TGS problem, D = d i a g { 2 ~ , ~ }is a positive definite
diagonal matrix of dimension n = N x NT .
According to the dual programming perspective, problem
TGS is approached by first solving the relaxed problem TCiS-
R. The solution of TGS-R satisfies the following optimality
conditions:
Dx, + Ah, = -b
ATxo= a
in which x, is the generation scheduling vector and h, (with
elements 10)is the vector of the Lagrange multipliers corre-
sponding to the active constraints of (5). MatrixAT (vector
a ) is a partition of C (d ) corresponding to those constraints
of TGS-R which are active at the solution. AT is a full rank
mX n matrix with m 5 n .
If no ramp-rate constraints are violated, then x, is the op-
timal solution of the TGS problem as well. In general, how-
ever, some ramp-rate constraint violations will be present.
The dual programming approach consists in modifying the
current solution from the dual feasible starting point xo (with
the associated multiplier vector 1,) until all violated con-
straints are enforced while retaining optimality.
Two dual programming algorithms are considered: the for-
mer implements the approach of Goldfarb and Idnani while
the latter belongs to the continuation methods.
B. The Goldfarb-IdnaniApproach
A brief outline of the Goldfarb-Idnani (G-I) method is
given here; a complete description can be found in [9].
Corresponding to the dual feasible starting point x, , three
mutually exclusive constraint sets are defined:
0 set V, contains all the active constraints;
set VI contains all the strictly satisfied constraints;
0 set Vv contains all the violated constraints.
Starting from xo, the search direction ( h , A h ) is obtained
by solving the following linear system:
DAX + AAL = -ci
(7)
=Q
A~AX
where ci is the column vector corresponding to the most vio-
lated constraint i E V,.
Pre-multiplying the first equation of (7) by hTand ex-
ploiting the fact that matrix D is positive definite, it results
that a step along the direction Ax causes the violation of Icon-
859
straint i to decrease since c r h < 0. Because of linearity, the
constraints in V, will remain satisfied.
A linear search along the direction ( Ax, ) is required.
Three different step sizes so, s1 and s2 are evaluated:
di - crxo
so = -
CTAX
d k - CEXo
s - min{tk}, tk =--
- kcV,
0 so is the step size to be taken in the direction Ax to enforce
the feasibility of the most violated constraint i .
0 s1 is the largest step size that can be taken in the Ax direc-
tion without violating any strictly satisfied constraint.
Computation of tk is required only if c c h > 0 .
0 s, is the largest step size that can be taken in the A?L di-
rection before a Lagrange multiplier changes from positive
to zero. Only active constraints with < 0 must be con-
sidered. In (9), A,, is the multiplier corresponding to con-
straint h .
The step size to be taken is defined as s = min{so,sl , s 2 } .
The varied point is obtained as: x1 = x, + SAX.The constraint
sets V, ,VI ,Vv and the multiplier vector are updated according
to which of the step sizes so ,s,,s2 is the minimum.
If s = so, the varied point is the solution of the following
problem:
min{ bTx+ sxTDx}
1
subject to
If s = sl or s = s,, set V, is changed by the addition or
elimination of a constraint. In this case the varied point is the
solution of the problem:
mini (bT+ S C ~ ) X1+ ~ X ' D X } subject to
i T X = i
where iT and % are relative to the modified V, .
A new iteration of the G-I algorithm is performed starting
from the varied point.
The resulting G-I procedure can be stated as follows:
0. Corresponding to the dual feasible starting point x,, de-
termine the constraint sets V, ,VI ,Vv; let m be the number
of active constraints.
860
1. If V, = 0, the current iterate is optimal and the procedure
is over; otherwise, find the most violated constraint i E V,
and set r = 0.
2. Determine the search direction (Ax,Ah) by solving system
(7) relative to the current V, .
3. Perform the linear search to find s = min{ so, sl,s 2 }
Update the current iterate: xo t x, + SAX
Compute: h, = h, + sAh
Ifs=so: h o t [ ~ ~ , r + s ~ ; m t m + l
Update the constraint sets:
V, t V, u {i}; V, t V, - {i}; return to Step I
After solving (11), a linear search is performed to deter-
mine step sizes s, and s2 according to (8) and (9). The actual
step size is taken as s = min{l,s, , s 2 } and the varied point is:
x1 = xo + SAX.The relaxation vector is modified in the form:
zt(1-s)z.
If s = 1, all the violated constraints are satisfied in the var-
ied point.
If s = s, , a new constraint enters the active set V, .
If s = s2, the active constraint corresponding to the vanish-
ing Lagrange multiplier is eliminated from the active set V,
and added to V I .
A new iteration of the CM algorithm is then performed

Ifs=s,:hot [h:,~
IT ; r t r + s ; m t m + ~
starting from the varied point.
At the first CM iteration the continuation parameter 0 is
equal to the step size s . For subsequent iterations the follow-
Let k be the index of the constraint met in the linear
search process; update the constraint sets: ing assignment is to be used: 0 t 0 + s( 1- . The algorithm
e)
V, t V , U{k};V, t V , - { k } ; r e t u r n t o S t e p 2 . terminates when 0 = 1 , that is when the right-hand-sides of the
violated constraints have been moved back to their original
Ifs=s2:rtr+s;mtm-l
values.
Let k be the index of the constraint associated with the The CM procedure can be stated as follows:
vanishing multiplier A,, ; set:
0. Corresponding to the dual feasible starting point xo, de-
h, = bel'..., hem]'
,h,,l+,,...> termine constraint sets V, ,VI ,Vv ; let m be the number of
Update the constraint sets: active constraints.
V, t V , -{k};V, t V I u { k } ; r e t u r n t o S t e p 2 . 1 . Compute vector z and modify the right-hand-sides of vio-
lated constraints; add the most violated constraint to V,
C. The Continuation Method Approach and all other violated constraints to VI ; set 0 = 0.
The idea behind the continuation method (CM) approach is 2. Determine the search direction (Ax,Ah) by solving system
that of modifying the right-hand-side of the violated con- (1 1) relative to the current V, .
straints as follows: 3. Perform the linear search to find s = min{ l,s, ,s2}
Update the current iterate:
c;x I (d, + zj,) - zj,8 (10) xo t x, + S A X ;8 t 8 + s(1- 8) ; z t (1- s)z
where c l is the row of CT corresponding to constraint k ; 0 Compute: h, = ho+ sAh
is a continuation parameter ranging between 0 and 1 ; z, is the If s = 1 (8 = 1) the current iterate is optimal and the CM
element of a positive valued relaxation vector z chosen so as procedure is over.
to satisfy all the violated inequalities for x = xo and 0 = 0. 0 Ifs=s,: h , t [ ~ ; , o r ;m t m + l
Assuming that i is the most violated constraint, the right- Let k be the index of the constraint met in the linear
hand-side modification of (10) is carried out by choosing:
search process; update the constraint sets:
zk=6 VkcV, V, t V , u { k } ; V , t V , - { k } ; r e t u r n t o S t e p 2 .
0 Ifs=s,:mtm-l
being 6 = C ~ X ,- d, the violation of constraint i .
Let k be the index of the constraint associated with the
After the modification, all the originally violated con- vanishing multiplier A,, ; set:
straints become strictly satisfied and enter set VI with the ex-
ception of the most violated constraint i which enters the ac- A, = [h,,>...>hc,,-l>&,,+l 2...> heJ
tive set V, . Update the constraint sets:
The optimality conditions for the modified problem, ex- V, t V, - { k } ; VI t VI u { k } ; return to Step 2.
pressed in incremental form, are:
D h + AAh + ciALm+,= 0 D. Comparative Considerations
ATAX = 0 The G-I and CM algorithms present substantial analogies.
CTAx = -6 The evaluation of step sizes s, and s2 is identical for both
methods. Updating the constraint sets required at each itera-
in which: x = xo + 0Ax ; h = ho+ 8Ah ; Am+, = OAh,,,. tion is quite similar. The same approach is also employed in
 861

solving the linear systems (7) and (1 1). The Ax variables are TABLE I
CHARACTERISTICS OF THERMAL
UNITS
eliminated so that a reduced coefficient matrix i T D - ' i re- -
sults (being AT the matrix of the current active constraints). Units P P CO Cl 103c,
Actually only functional constraints are considered since ac-
tive upper/lower bounds are handled implicitly. The reduced
coefficient matrix is factorized by the Cholesky method rind 2 A 140 310 1135.4 28.63 7.39
all modifications required by active set changes are carried 3 A 240 640 21 18.4 33.61 5.33
out by efficient rank-one updating of the triangular factors. 4 B 120 300 860.1 41.23 2.12
There is, however, an important difference in the way the 5 B 125 300 860.1 41.23 2.12
two methods are exposed to the risk of failure due to the sin- 6 C 200 600 2885.1 32.89 4.12
7 C 65 140 913.8 32.28 88.75
gularity of the reduced coefficient matrix. Matrix L T D - ' i 8 D 150 210 1562.1 31.11 25.10
corresponding to system (6) is non-singular because D I S a 9 E 190 300 649.7 40.34 0.02
10 E 150 300 649.7 40.41 0.02
positive definite matrix (of order n ) and LT = A T is a full
,

W is a fictional monetary unit

rank m x n matrix (with m I n).
According to the G-I and CM algorithms, the reduced co-
efficient matrix changes by effect of the elimination or addi-
tion of a constraint at a time.
Elimination of a constraint from the current active set V,
leaves the reduced coefficient matrix non-singular.
Matrix ATD-'L becomes singular if a new constraint with
a coefficient row linearly dependent on the rows of iT
is
added to the current active set V, .
Let cfx < d, be the expression of a constraint of VI with a
coefficient row c l = TiT
linearly dependent on the rows of
iT( q being a coefficient vector). According to the G-I
method, the search direction must satisfy the equation
X T A x = 0 whereby for a linearly dependent constraint
c& = 0 results. Therefore, a step in the Ax direction of the
G-I method cannot bring any linearly dependent constraint
into the active set.
When using the CM approach, the possibility that c i h re-
sults greater than zero cannot be avoided for a linearly de-
pendent constraint of VI . Assuming cf = q T i T +qIci', it
follows, by the last two equations of (Il), that C ~ A=X-q,6.
Therefore, c ; h may be positive according to the sign of qI.
In the CM approach, the problem of conflicting constraints
is handled by allowing linearly dependent constraints, met
during the continuation method procedure, to violate their
limits. Once the continuation parameter reaches 1, still vio-
lated conflicting constraints are enforced either by successive
applications of the continuation method or by the G-I algo-
rithm.
IV. TESTS AND RESULTS
The dual programming procedures considered were imple-
TL =30%
HG = 80% $11
0 4T
0
4

mented in FORTRAN using double precision arithmetic and

were tested on the Digital VAX 9000-210 computer at the
Automatica Research Center of ENEL.
The test cases refer to a small sample system with 10 ther-
mal units and to the ENEL production system with over 100
thermal units. All data required to solve the TGS problem are
given for the sample system.
862
TABLE I1 TABLE IV
DUALALGORITHM (SAMPLESYSTEM)
CHARACTERISTICS DUALALGORITHM
CHARACTERISTICS (ENELSYSTEM)
Methods Methods
G-I CM G-I CM
(3 No.of CPUtime No,of CPUtime n, (3 No.of CPUtime No.of CPUtime n,
(%) iterations (s) iterations (SI % iterations (s) iterations 6)
0.5 218 0.85 53+118 0.41+0.46 18 1 498 109.4 321+324 104.2+75.2 49
1 64 0.22 22+32 0.17+0.10 5 1.5 198 42.2 124+69 34.6+15.5 15
1.5 20 0.09 12+9 0.12+0.04 5 2 80 17.6 60+27 16.8+6.3 7
1.8 3 0.04 3 0.04 0
22176 functional constraints (96 balance equations, 768
The solution of the TGS-R problem provides the dual fea- power interchange constraints, 213 12 ramp-rate con-
sible starting point. A number of 18 functional constraints and straints).
21 1 upperllower bounds (including 120 lower bounds on arti- A number of 177 functional constraints and 10454 up-
ficial unit generations) are active at the TGS-R solution. The perllower bounds (including 960 lower bounds on artificial
number of violated ramp-rate constraints is 24, 1 1, 7 and 2 for unit generations) are active at the solution of TGS-R. The
(3= 0.5, 1, 1.5 and 1.8% respectively. number of violated ramp-rate constraints is 139, 60 and 34 for
Table I1 shows the number of iterations and CPU times re- O = 1, 1.5 and 2% respectively.
quired to perform the dual programming procedures. In the Table IV shows the number of iterations and CPU times re-
test cases with O = 0.5, 1, 1.5%the CM procedure incurred in quired to perform the dual programming procedures. In all
the conflicting constraint problem: n, linearly dependent con- test cases the CM procedure incurred in the conflicting con-
straints met during the continuation procedure are checked at straint problem. A successive G-I computation allows the en-
the end of a first application of the continuation algorithm. A forcement of all constraints.
successive G-I computation is adopted to enforce all con- The composition of the active constraint set relative to the
straints. The number of iterations and the CPU times of the TGS solution is shown in Table V. For all test cases, no arti-
two phases are shown separately in Table 11. In the test case ficial unit is loaded at the end of the computation.
with 0=0.5% it was possible to reduce the number of con- The test results prove that both the G-I and CM procedures
flicting constraints up to 11 by successive applications of the are well suited to the problem of large-scale thermal genera-
continuation algorithm. Enforcement of these last constraints, tion scheduling. G-I appears more efficient than CM regard-
however, required application of the G-I algorithm. ing CPU times. This is an outcome of the conflicting con-
The composition of the active constraint set relative to the straint phenomenon. Indeed, according to the present CM
TGS solutions is shown in Table 111. For all test cases, no ar- implementation, matrix XTDp'X is refactorized when singu-
tificial unit is loaded at the end of the computation. larity occurs. Improved efficiency is expected by replacing re-
factorization by direct modification of the current triangular
B. Tests on the Italian System factors.
The schematization of the ENEL hydro-thermal production The task of introducing the dual programming techniques
system considered for testing purposes comprises over 100 into the short-term hydro-thermal coordination procedure is
thermal and 200 hydro units. The system consists of five areas presently in progress. The two-stage computation mentioned
arranged in a tree-connected network as in Fig. 1 (with in Section I1 is being implemented. The enforcement of ramp-
A,B,C,D and E corresponding to Northern, Central, Southern rate constraints is performed only after the first stage hydro-
Italy, Sardinia and Sicily). thermal dispatch has achieved a remarkable flattening of the
The largest thermal dispatch problem tested so far is rela- residual thermal load. In this way a reduced number of ramp-
tive to a case with 111 thermal units and 96 quarter hour sub- rate violations is expected at the end of the first stage. As a re-
intervals. sult, the second stage computation should take only a few
The dimensions of the problem are: Frank-Wolfe iterations, thus reducing the CPU time overhead
needed by the dual programming procedure. The solution of
e 1 1616 variables (including artificial unit generations) with the TGS-R, required in both stages, is performed by an effi-
upperllower bounds; cient primal quadratic programming algorithm based on the
active set strategy.
TABLE I11
ACTIVES E T AT THE SOLUTION OF TGS (SAMPLE SYSTEM) TABLE V
ACTIVESET AT THE SOLUTION OF TGS (ENELSYSTEM)
Number of constraints
(3 Functional U/L bounds Number of constraints
(%) Balance Ramp-rate Interchange CJ Functional U/L bounds
0.5 12 53 1 169 (%I Balance Ramp-rate Interchange
1 12 14 6 199 1. 96 203 77 10311
1.5 12 8 6 205 1.5 96 74 79 10410
1.8 12 2 6 210 2 96 35 80 10428

The two-stage procedure has been tested on some daily hy-
dro-thermal scheduling problems. Reference is made here to
the situation occurred on July 25th, 1996 at the ENEL system
featuring 85 committed thermal units (with 0 = 2 % ) and 222
hydro units (arranged into 8 1 hydraulically coupled systems).
A complete hydro-thermal coordination study (with 96 quarter
hour subintervals) required a total CPU time of 150 s. The
first stage took 9 Frank-Wolfe iterations and a CPU time of
95 s, while the second stage required only 2 Frank-Wolfe it-
erations and a CPU time of 55 s. Execution of the G-I dual
programming procedure took about 80% of the second stage
CPU time.
V. CONCLUSIONS
In the present paper dual programming algorithms are ap-
plied to the problem of large-scale thermal generation
scheduling arising in the framework of short-term hydro-
thermal coordination. The choice of dual programming tech-
niques is suggested by the availability of an efficient code for
the solution of the thermal scheduling problem with relaxed
thermal generation ramp-rate constraints. Moreover, the num-
ber of ramp-rate constraint violations is not very large in nor-
mal operating conditions.
Two algorithms are compared: the former derives frorn a
work by Goldfarb and Idnani, while the latter is based on
continuation method techniques.
The two approaches present significant similarities and are
roughly equivalent from the point of view of computation ef-
ficiency. However, the G-I approach is immune to the prob-
lem of having conflicting constraints in the current active set.
With CM, the conflicting constraint problem is solved by suc-
cessive applications of dual programming. Conflicting con-
straints are allowed to violate their limits at a first stage; vio-
lated constraints are successively enforced either by the con-
tinuation approach or by the G-I algorithm.
The two methods are tested on a small sample system, as
well as on a large-scale problem corresponding to a quarter
hour discretization of the daily thermal scheduling for the
ENEL production system (about 12,000 variables and 22,000
functional constraints). Incorporating the dual programming
algorithms within a hydro-thermal coordination procedure is
also considered.
ACKNOWLEDGMENT
This work was performed with the financial support of the
Automatica Research Center (CRA) of ENEL. The autlhors
thank Dr. Mario Innorta of ENEL for helpful suggestions.
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Giovanni Demartini received his Dr. Ing. degree in Electrical Engi-
neering from the University of Pavia, Italy in 1974. Since 1975 he
has been with the Italian Electricity Board (ENEL). Presently he
leads the “Methodology and Tools for the Electric System Opera-
tion” group at the Automatica Research Center of ENEL, Cologno
Monzese, Italy.
Tomaso Roberto De Simonr! received his Dr. Ing. degree in Elec-
tronic Engineering from the Politecnico di Milano, Italy in 1992.
From 1992 to 1994 he was with Landis & Gyr, Milan, Italy. In 1994
he joined the “Methodology and Tools for the Electric System Op-
eration” group at the Automatica Research Center of ENEL, Colog-
no Monzese, Italy.
Gianpietro Granelli (M’86) received his Dr. Ing. degree in Electri-
cal Engineering from the Pcilitecnico di Milano, Italy in 1968. In
1970 he was appointed Researcher and successively Assistant Pro-
fessor at the Department of Ellectrical Engineering of the University
of Pavia, Italy where he is now a Professor of Electrical Engineering.
Mario Montagna (M’9.5)received his Dr. Ing. degree in Electrical
Engineering from the University of Pavia. Italy in 1982. Since 1983,
he has been a University Researcher of Electric Power Plants at the
Department of Electrical Engineering of the University of Pavia.
Kostandin Robo received his Degree in Electrical Engineering from
the University of Tirana, Albania in 1973. In 1973 he joined the Al-
banian Electricity Board (KESH). l n 1991 he received his Ph.D. in
Electrical Engineering from the Albanian Academy of Science.
Since 1992 he has been with CESI, Milan, Italy.