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Bundle Relaxation and Primal Recovery in Unit Commitment Problems. The Brazilian Case

Author

Listed:
  • A. Belloni
  • A.L. Lima
  • M.E. Maceira
  • C.A. Sagastizábal

Abstract

We consider the inclusion of commitment of thermal generation units in the optimal management of the Brazilian power system. By means of Lagrangian relaxation we decompose the problem and obtain a nondifferentiable dual function that is separable. We solve the dual problem with a bundle method. Our purpose is twofold: first, bundle methods are the methods of choice in nonsmooth optimization when it comes to solve large-scale problems with high precision. Second, they give good starting points for recovering primal solutions. We use an inexact augmented Lagrangian technique to find a near-optimal primal feasible solution. We assess our approach with numerical results. Copyright Kluwer Academic Publishers 2003

Suggested Citation

  • A. Belloni & A.L. Lima & M.E. Maceira & C.A. Sagastizábal, 2003. "Bundle Relaxation and Primal Recovery in Unit Commitment Problems. The Brazilian Case," Annals of Operations Research, Springer, vol. 120(1), pages 21-44, April.
    • Handle: RePEc:spr:annopr:v:120:y:2003:i:1:p:21-44:10.1023/a:1023314026477
    DOI: 10.1023/A:1023314026477
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    Cited by:

    1. Antonio Frangioni & Claudio Gentile, 2006. "Solving Nonlinear Single-Unit Commitment Problems with Ramping Constraints," Operations Research, INFORMS, vol. 54(4), pages 767-775, August.
    2. Steeger, Gregory & Rebennack, Steffen, 2017. "Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: An application to the strategic bidding problem," European Journal of Operational Research, Elsevier, vol. 257(2), pages 669-686.

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