Inexact Convex Relaxations for AC Optimal Power Flow: Towards AC Feasibility

Convex relaxations of AC optimal power flow (AC-OPF) problems have attracted significant interest as in several instances they provably yield the global optimum to the original non-convex problem. If, however, the relaxation is inexact, the obtained solution is not AC-feasible. The quality of the obtained solution is essential for several practical applications of AC-OPF, but detailed analyses are lacking in existing literature. This paper aims to cover this gap. We provide an in-depth investigation of the solution characteristics when convex relaxations are inexact, we assess the most promising AC feasibility recovery methods for large-scale systems, and we propose two new metrics that lead to a better understanding of the quality of the identified solutions. We perform a comprehensive assessment on 96 different test cases, ranging from 14 to 3120 buses, and we show the following: (i) Despite an optimality gap of less than 1%, several test cases still exhibit substantial distances to both AC feasibility and local optimality and the newly proposed metrics characterize these deviations. (ii) Penalization methods fail to recover an AC-feasible solution in 15 out of 45 cases, and using the proposed metrics, we show that most failed test instances exhibit substantial distances to both AC-feasibility and local optimality. For failed test instances with small distances, we show how our proposed metrics inform a fine-tuning of penalty weights to obtain AC-feasible solutions. (iii) The computational benefits of warm-starting non-convex solvers have significant variation, but a computational speedup exists in over 75% of the cases

MM Algorithms for Geometric and Signomial Programming

This paper derives new algorithms for signomial programming, a generalization of geometric programming. The algorithms are based on a generic principle for optimization called the MM algorithm. In this setting, one can apply the geometric-arithmetic mean inequality and a supporting hyperplane inequality to create a surrogate function with parameters separated. Thus, unconstrained signomial programming reduces to a sequence of one-dimensional minimization problems. Simple examples demonstrate that the MM algorithm derived can converge to a boundary point or to one point of a continuum of minimum points. Conditions under which the minimum point is unique or occurs in the interior of parameter space are proved for geometric programming. Convergence to an interior point occurs at a linear rate. Finally, the MM framework easily accommodates equality and inequality constraints of signomial type. For the most important special case, constrained quadratic programming, the MM algorithm involves very simple updates.Comment: 16 pages, 1 figur

A second derivative SQP method: local convergence

In [19], we gave global convergence results for a second-derivative SQP method for minimizing the exact ℓ1-merit function for a fixed value of the penalty parameter. To establish this result, we used the properties of the so-called Cauchy step, which was itself computed from the so-called predictor step. In addition, we allowed for the computation of a variety of (optional) SQP steps that were intended to improve the efficiency of the algorithm. \ud \ud Although we established global convergence of the algorithm, we did not discuss certain aspects that are critical when developing software capable of solving general optimization problems. In particular, we must have strategies for updating the penalty parameter and better techniques for defining the positive-definite matrix Bk used in computing the predictor step. In this paper we address both of these issues. We consider two techniques for defining the positive-definite matrix Bk—a simple diagonal approximation and a more sophisticated limited-memory BFGS update. We also analyze a strategy for updating the penalty paramter based on approximately minimizing the ℓ1-penalty function over a sequence of increasing values of the penalty parameter.\ud \ud Algorithms based on exact penalty functions have certain desirable properties. To be practical, however, these algorithms must be guaranteed to avoid the so-called Maratos effect. We show that a nonmonotone varient of our algorithm avoids this phenomenon and, therefore, results in asymptotically superlinear local convergence; this is verified by preliminary numerical results on the Hock and Shittkowski test set

Efficient First Order Methods for Linear Composite Regularizers

A wide class of regularization problems in machine learning and statistics employ a regularization term which is obtained by composing a simple convex function \omega with a linear transformation. This setting includes Group Lasso methods, the Fused Lasso and other total variation methods, multi-task learning methods and many more. In this paper, we present a general approach for computing the proximity operator of this class of regularizers, under the assumption that the proximity operator of the function \omega is known in advance. Our approach builds on a recent line of research on optimal first order optimization methods and uses fixed point iterations for numerically computing the proximity operator. It is more general than current approaches and, as we show with numerical simulations, computationally more efficient than available first order methods which do not achieve the optimal rate. In particular, our method outperforms state of the art O(1/T) methods for overlapping Group Lasso and matches optimal O(1/T^2) methods for the Fused Lasso and tree structured Group Lasso.Comment: 19 pages, 8 figure

AC OPF in Radial Distribution Networks - Parts I,II

The optimal power-flow problem (OPF) has played a key role in the planning and operation of power systems. Due to the non-linear nature of the AC power-flow equations, the OPF problem is known to be non-convex, therefore hard to solve. Most proposed methods for solving the OPF rely on approximations that render the problem convex, but that may yield inexact solutions. Recently, Farivar and Low proposed a method that is claimed to be exact for radial distribution systems, despite no apparent approximations. In our work, we show that it is, in fact, not exact. On one hand, there is a misinterpretation of the physical network model related to the ampacity constraint of the lines' current flows. On the other hand, the proof of the exactness of the proposed relaxation requires unrealistic assumptions related to the unboundedness of specific control variables. We also show that the extension of this approach to account for exact line models might provide physically infeasible solutions. Recently, several contributions have proposed OPF algorithms that rely on the use of the alternating-direction method of multipliers (ADMM). However, as we show in this work, there are cases for which the ADMM-based solution of the non-relaxed OPF problem fails to converge. To overcome the aforementioned limitations, we propose an algorithm for the solution of a non-approximated, non-convex OPF problem in radial distribution systems that is based on the method of multipliers, and on a primal decomposition of the OPF. This work is divided in two parts. In Part I, we specifically discuss the limitations of BFM and ADMM to solve the OPF problem. In Part II, we provide a centralized version and a distributed asynchronous version of the proposed OPF algorithm and we evaluate its performances using both small-scale electrical networks, as well as a modified IEEE 13-node test feeder

Shape Parameter Estimation

Performance of machine learning approaches depends strongly on the choice of misfit penalty, and correct choice of penalty parameters, such as the threshold of the Huber function. These parameters are typically chosen using expert knowledge, cross-validation, or black-box optimization, which are time consuming for large-scale applications. We present a principled, data-driven approach to simultaneously learn the model pa- rameters and the misfit penalty parameters. We discuss theoretical properties of these joint inference problems, and develop algorithms for their solution. We show synthetic examples of automatic parameter tuning for piecewise linear-quadratic (PLQ) penalties, and use the approach to develop a self-tuning robust PCA formulation for background separation.Comment: 20 pages, 10 figure