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Mathematical Programming for Power Systems Operation
Mathematical Programming for Power
Systems Operation

From Theory to Applications in Python

Alejandro Garcés
Technological University of Pereira
Pereira, Colombia
This edition first published 2022
© 2022 by The Institute of Electrical and Electronics Engineers, Inc. All rights reserved.

Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

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 v

Contents

Acknowledgment ix
Introduction xi

1 Power systems operation 1

1.1 Mathematical programming for power systems
operation 1
1.2 Continuous models 3
1.2.1 Economic and environmental dispatch 3
1.2.2 Hydrothermal dispatch 3
1.2.3 Effect of the grid constraints 5
1.2.4 Optimal power flow 5
1.2.5 Hosting capacity 7
1.2.6 Demand-side management 7
1.2.7 Energy storage management 9
1.2.8 State estimation and grid identification 9
1.3 Binary problems in power systems operation 11
1.3.1 Unit commitment 12
1.3.2 Optimal placement of distributed generation and capacitors 12
1.3.3 Primary feeder reconfiguration and topology identification 13
1.3.4 Phase balancing 13
1.4 Real-time implementation 14
1.5 Using Python 15

Part I Mathematical programming 17

2 A brief introduction to mathematical optimization 19

2.1 About sets and functions 19
2.2 Norms 22
2.3 Global and local optimum 24
vi Contents

2.4 Maximum and minimum values of continuous

functions 25
2.5 The gradient method 26
2.6 Lagrange multipliers 32
2.7 The Newton’s method 33
2.8 Further readings 35
2.9 Exercises 35

3 Convex optimization 39
3.1 Convex sets 39
3.2 Convex functions 45
3.3 Convex optimization problems 47
3.4 Global optimum and uniqueness of the solution 50
3.5 Duality 52
3.6 Further readings 56
3.7 Exercises 58

4 Convex Programming in Python 61

4.1 Python for convex optimization 61
4.2 Linear programming 62
4.3 Quadratic forms 67
4.4 Semidefinite matrices 69
4.5 Solving quadratic programming problems 71
4.6 Complex variables 74
4.7 What is inside the box? 75
4.8 Mixed-integer programming problems 76
4.9 Transforming MINLP into MILP 79
4.10 Further readings 80
4.11 Exercises 81

5 Conic optimization 85
5.1 Convex cones 85
5.2 Second-order cone optimization 85
5.2.1 Duality in SOC problems 90
5.3 Semidefinite programming 92
5.3.1 Trace, determinant, and the Shur complement 92
5.3.2 Cone of semidefinite matrices 95
5.3.3 Duality in SDP 97
5.4 Semidefinite approximations 98
5.5 Polynomial optimization 102
5.6 Further readings 105
5.7 Exercises 106
 Contents vii

6 Robust optimization 109

6.1 Stochastic vs robust optimization 109
6.1.1 Stochastic approach 110
6.1.2 Robust approach 110
6.2 Polyhedral uncertainty 111
6.3 Linear problems with norm uncertainty 113
6.4 Defining the uncertainty set 115
6.5 Further readings 121
6.6 Exercises 121

Part II Power systems operation 125

7 Economic dispatch of thermal units 127

7.1 Economic dispatch 127
7.2 Environmental dispatch 133
7.3 Effect of the grid 136
7.4 Loss equation 140
7.5 Further readings 143
7.6 Exercises 143

8 Unit commitment 145

8.1 Problem definition 145
8.2 Basic unit commitment model 146
8.3 Additional constraints 150
8.4 Effect of the grid 151
8.5 Further readings 153
8.6 Exercises 153

9 Hydrothermal scheduling 155

9.1 Short-term hydrothermal coordination 155
9.2 Basic hydrothermal coordination 156
9.3 Non-linear models 159
9.4 Hydraulic chains 162
9.5 Pumped hydroelectric storage 165
9.6 Further readings 168
9.7 Exercises 169

10 Optimal power flow 171

10.1 OPF in power distribution grids 171
10.1.1 A brief review of power flow analysis 173
10.2 Complex linearization 177
10.2.1 Sequential linearization 181
viii Contents

10.2.2 Exponential models of the load 182

10.3 Second-order cone approximation 184
10.4 Semidefinite approximation 188
10.5 Further readings 190
10.6 Exercises 190

11 Active distribution networks 195

11.1 Modern distribution networks 195
11.2 Primary feeder reconfiguration 196
11.3 Optimal placement of capacitors 200
11.4 Optimal placement of distributed generation 203
11.5 Hosting capacity of solar energy 205
11.6 Harmonics and reactive power compensation 208
11.7 Further readings 212
11.8 Exercises 212

12 State estimation and grid identification 215

12.1 Measurement units 215
12.2 State estimation 216
12.3 Topology identification 221
12.4 Y bus estimation 224
12.5 Load model estimation 228
12.6 Further readings 231
12.7 Exercises 232

13 Demand-side management 235

13.1 Shifting loads 235
13.2 Phase balancing 240
13.3 Energy storage management 246
13.4 Further readings 249
13.5 Exercises 249

A The nodal admittance matrix 253

B Complex linearization 257

C Some Python examples 263

C.1 Basic Python 263
C.2 NumPy 266
C.3 MatplotLib 268
C.4 Pandas 268

Bibliography 271
Index 281
 ix

Acknowledgment

Throughout the writing of this book, I have received a great deal of support and
assistance from many people. I would first like to thank my friends Lucas Paul
Perez at Welltec, Adrian Correa at Universidad Javeriana in Bogotá-Colombia,
Ricardo Andres Bolaños at XM (the transmission system operator in Colom-
bia), Raymundo Torres at Sintef-Norway, and Juan Carlos Bedoya at the Pacific
Northwest National Laboratory (USA), who, in 2020 (during the COVID-19
pandemic), agreed to discuss some practical aspects associated to power sys-
tem operation problems. The discussions during these video conferences were
invaluable to improve the content of the book. I am also very grateful to my
students, who are the primary motivation for writing this book. Special thanks
to my former Ph.D. students, Danilo Montoya and Walter Julian Gil. Finally, I
want to thank the Department of Electric Power Engineering at the Universi-
dad Tecnológica de Pereira in Colombia and the Von Humbolt Foundation in
Germany for the financial support required to continue my research about the
operation and control of power systems.
Alejandro Garcés
 xi

Introduction

Electrification is the most outstanding engineering achievement in the 20tℎ

century, a well-deserved award if we consider the high complexity of genera-
tion, transmission, and distribution systems. An electric power system includes
hundreds or even thousands of generation units, transformers, and transmis-
sion lines, located throughout an entire country and operated continuously 24
hours per day. Running such a complex system is a great challenge that requires
using advanced mathematical techniques.
All industrial systems seek to increase their competitiveness by improv-
ing their efficiency. Electric power systems are not the exception. We can
improve efficiency by introducing new technologies but also by implementing
mathematical optimization models into daily operation. In every mathemati-
cal programming model, we require to perform four critical stages depicted in
Figure . The first stage is an informed review of reality, identifying opportu-
nities for improvement. This stage may include conversations with experts in
order to establish the available data and the variables that are subject to be opti-
mized. The second stage is the formulation of an optimization model as given
below:

min 𝑓(𝑥)
subject to 𝑥 ∈ Ω (0.1)

Where 𝑥 is the vector of decision variables, 𝑓 is the objective function and, Ω is

the set of feasible solutions. Going from stage one (reality) to stage two (model)
is more of an art than a science. One problem may have different models and
different degrees of complexity. Practice and experience are required to master
this stage, as some models are easier to solve than others. Subsequently, the
third stage consists of the implementation of the mathematical model into a
software. After that, the fourth stage is the analysis of results in the context of
the real problem.
xii Introduction

Figure 0.1 Stages of solving an optimization problem.

This book will focus on stages two and three, associated with power system
operations models. In particular, we are interested in models with a geometric
characteristic called convexity, that present several advantages, namely:

● We can guarantee the global optimum and unique solution under well-
defined conditions. This aspect is interesting from both theoretical and prac-
tical points of view. In general, a global optimum advisable in real operation
problems.
● There are efficient algorithms for solving convex problems. In addition, we
can guarantee convergence of these algorithms. This is a critical aspect for
operation problems where the algorithm requires to be solved in real-time.
● There are commercial and open-source packages for solving convex opti-
mization models. In particular, we are going to use CvxPy, a free Python-
embedded modeling language for convex problems.
● Many power system operations problems are already convex; for example,
the economic and environmental dispatches, the hydrothermal coordination,
and the load estimation problem. Besides, it is possible to find efficient convex
approximations to non-convex problems such as the optimal power flow.

In summary, convex problems have both theoretical and practical advantages

for power systems operation. This book studies both aspects. The book is
oriented to bachelor and graduated students of power systems engineering.
Concepts related to power systems analysis such as per-unit representation,
the nodal admittance matrix, and the power flow problem are taken for granted.
A previous course of linear programming is desirable but not mandatory. We do
not pretend to encompass all the theory behind convex optimization; instead,
we try to present particular aspects of convex optimization which are useful in
power systems operation. The book is divided into two parts: In the first part,
 Introduction xiii

the main concepts of convex optimization are presented, including a distinct

chapter about conic optimization. After that, selected applications for power
systems operation are presented. Most of the solvers for convex optimization
allow mixed-integer convex problems. Therefore, we include models that can
be solved in this framework too. The student is recommended to do numerical
experiments in order to acquire practical intuition of the problems.
All applications are presented in Python, which is a language that is becom-
ing more important in power systems applications. Students are not expected
to have previous knowledge in Python, although basic concepts about pro-
gramming (in any language) are helpful. Our methodology is based on many
examples and toy-models. We made a great effort in showing the most simple
model with a clean code. Of course, these toy-models are an oversimplifica-
tion of the real problem; however, they allow us to understand the model and
its coding. In practice, we may have complex models that combine different
aspects such as the economic dispatch, the unit commitment and/or the opti-
mal power flow. A real operation model may require a sophisticated platform
that integrates the model with the supervisory control and data acquisition sys-
tem (SCADA) operating in real-time. The development of such a real industrial
model is beyond the objectives of this book.
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