Lagrangian Relaxation in Power Flow Problem applied to

Large Electrical Systems

Luiz Antonio Alves de Oliveira1

Javier Ruben Ojeta Soto2

1
CEPEL, Electric Energy Research Center, Rio de Janeiro, Brazil, email: laao@cepel.br
2
CEPEL, Electric Energy Research Center, Rio de Janeiro, Brazil, email: javier@cepel.br

1. Abstract

The main objective of this paper is to present the application of the Lagrangian Relaxation technique in resolution of Optimal Power
Flow Problems (OPF). Since formulated in the 1960s, various methods have been proposed for their resolutions: based on successive
linear programming, based on sequential quadratic programming, or presenting new complexity algorithms, and a variety of Interior
Point Methods. Today, linear and nonlinear method implementations have obtained a growing interest in network analysis and
applications to OPF. The computational implementation studied was done to solve the Optimal Power Flow using the Primal-Dual
Interior Point Method, considering various types of objective functions, controls and operating restrictions. The FLUPOT Program is
a software tool developed by CEPEL to solve the OPF problems of a large size system as the Brazilian Electric System. The
algorithm implemented has performed very robust numerically. In most cases the solution provides few interactions. However, in
cases when the electrical system has stress conditions, the program may not provide a satisfactory solution. This is the case of non-
convergent. When occurs FLUPOT will exceeded the maximum number of interactions. Generally, when not convergent the dual
variables of the OPF, also called Lagrange Multipliers, the critical variables of the problem are placarded by FLUPOT. These
multipliers have high values and a strategy for solution can affect a relaxation of these critical variables. This techniques is known as
Lagrangian Relaxation and has been implemented in FLUPOT program. Computational tests with large electrical systems are
presented and discussed, showing the new limits of the relaxed variables.

2.Keywords: Optimal Power Flow, Lagrangian Relaxation, Power System

3.Introduction

The Optimal Power Flow (OPF) is a large nonlinear programming problem with hundreds to thousands of varibles and nonlinear
constraints. It was defined in the 1960s by Carpentier [1] and proved to be a difficult problem to solve. Since then various solution
methods have been proposed for their resolution: the Dommel-Tinney method based on Reduced Gradient; the method of Abadie-
Carpentier based on Gradient Reduced Generalized (GRG); the Differencial Injections method proposed by Carpentier; and the
method of Augmented Lagrangian proposed by Burchett based on Quadratic Programming. Successive Linear Programming
techniques were also applied to the OPF problem. Finally, due to the good performance of the Interior Point Method in large linear
programming and in Quadratic and Convex programming, has motivated its application to the OPF.

The OPF is the maximization or minimization of one or more linear or nonlinear objective functions, subject to a set of equality and
inequality constraints. The equality constraints represent the active and reactive power balance equations in the buses AC network
and/or functional restrictions. The inequality constraints represent the physical and operational constraints of the equipment. The
OPF problem solution is the operation point of the AC network on a permanent regime, satisfying the full set of restrictions and also
optimizes the objective function.

Mathematically the OPF problem is characterized as a non-linear programming problem (NLP) and can formulate it as follows:

OPF problem

Find x : optimal operating point of the AC network

 For Min f(x) (1)

Subject to g(x)=0 (2)

h(x)<0 (3)

l<x<u (4)

The Eq.(1) is the objective function. The Eq.(2) represent the active and reactive power balance equations and/or functional
restrictions. The Eq.(3) represent the physical and operational constraints. The Eq.(4) represent the upper and lower limits of the
control variables.

In Session 4 will be shown the optimal power flow problem. To introduce the concept of OPF is made a basic description of the
power flow problem then will be given a brief history of the OPF and its basic modeling.

In Section 5 refers to the Lagrangian Relaxation Methodology. The NLP associated with the OPF are presented. It is also presented
the mathematical development of Lagrangian Relaxation Methodology.

In session 6 will be presents the implementation of Lagrangian Relaxation technique applied to solving the OPF problem.

In session 7 we will present numerical results of applying Lagrangian Relaxation technique in the case of the Brazilian Electric
System.

4.Optimal Power Flow

The Optimal Power Flow was initially formulated by Carpentier [1] in 1962. The OPF can be defined as a non-linear programming
problem that search itself an operation optimum point in a power system, minimizing an objective function and satisfying one set of
equality and inequality equations. Mathematically, the problem can be formulated as:

Min f(x,u) (5)

Subject to g(x,u)=0 (6)

h(x,u)<0 (7)

xl<x<xu (8)

ul<u<uu (9)

f(x,u) is a function of several variables called the objective function; x is a state variable with dimension n; u is a control variable
with dimension m; g(x,u) are the constraints of equations of load flow; h(x,u) are the constraints of functional restrictions.

Based on the treatment of u and x variables in Eq.(8-9), the OPF formulation can be classified in sparse (non-compact) and compact
(non-sparse). The first formulation is characterized by an explicit solution way to u and x in Eq.(5-9). In the second formulation, the
control variables (u) are treated differently from the state variables (x). In this case, from Eq.(6), x is defined as explicit function of u
(x=(u)) and thus the problem is exclusively expressed in terms of control variables u. On this formulation, the solving strategies use
a linear approximation of (u) and a small subset of inequalities Eq.(7), basically those who are at or nearby.

The traditional power flow in a power grid consists mainly in determining the state of the network and the distribution of flows. The
model is static, i.e. the system is represented by a set of algebraic equations and inequalities. This approach is justified when the
variations of the controls are sufficiently slow in time and that we can neglect the dynamic aspects of the problem.

The general problem of power flow may be established through a set of algebraic equations and inequalities as follows:

g(x)=0 (10)

h(x)<0 (11)

The basic equality constraints Eq.(10) are formed by two equations for each bus, due to the imposition of conservation of active and
reactive power. This conservation corresponds to the first law of Kirchoff establishing that the net power injected in each network
node is equal to the sum of the powers of the internal components that have the specified node as one of its extremes. These
equations are also called balance equations. The inequality constraints Eq.(11) are formed by operational constraints and plumbing;
generally, are the limits of flow in the lines, active power and voltage of the machine, the tension load buses, security restrictions, etc.

Efficient methods for solving the equations system Eq.(10-11) are based on Newton's method [2] and variants, such as the decoupled
method and fast decoupled method. In the decoupled method [3] some terms of the Jacobian matrix associated with the coupling of
active and reactive power balance equations in bus are despised. In the fast decoupled method [4] is considered an approximation of
the Jacobian matrix that remains constant during the iterative process.

Following the initial formation of OPF [1] a number of methods have been proposed. One of the first methods of efficient solution
OPF problem was the Reduced Gradient Method of Dommel and Tinney [5] in 1968. This method corresponds to a sparse penalty
formulation, where the variables are divided into dependent variables Eq. (8) and independent variables Eq. (9). The independent
variables are the controls: active power generation, voltage generation bus, taps, etc. The dependent variables or state variables are
the angle voltage module in bus and the load bus voltage. Functional restrictions and plumbing constraints on the state variables are
included in the objective function through external penalty. The descent direction is given by the reduced gradient of independent
variables corresponding to the partial derivative of the Lagrangian. The limits on the controls are handled through a projected
gradient.

Once we found the independent variables then the dependent variables are obtained from the resolution of a conventional power flow
by Newton's method. The treatment of restrictions Eq. (8) and Eq. (9) is made by a quadratic penalty on violated constraints. These
are added to the objective function Eq.(5). Examples of disadvantages of this method are the numerical instability due to inadequacy
of the penalty factor and also the choice of the step size of the decrease direction. Moreover, its convergence is slow near the optimal
solution.

The method GRG (Generalized Reduced Gradient) was first proposed by Abadie-Carpentier [6]. The variables are divided into
dependent and independent, and a linearization of active constraints is considered like an approximation of the feasible set. Each
iteration is calculated considering the reduced gradient in the independent variables and solve a system to find the increase in the
dependent variables. Since the new point is only viable in the linearized constraints, a correction in the descent direction in the linear
search is considered in such a way to enable the solution and ensure a decrease of objective function. In the case of OPF, the
inequality constraints must be treated.

Carpentier proposed a specialization of the GRG, called Differencial Injections Method [7] and [8]. This method considers a partition
of the active set similarly to the reduced gradient Dommel-Tinney. The algorithm is divided into two stages, alternately resolved. In
the first stage, it is formulated as a reduced subproblem of the original problem where yourself get the descent direction from the
control variables via the GRG method. In the next step, the state variables are calculated by solving a conventional power flow.

Carpentier also extended the OPF to the case with security restrictions [7]. It uses a decomposition method which, associated with
each contingency, we define a reduced subproblem. The model is presented in explicit compact format. The control variables (Eq.
(9), main variables) are explicitly addressed in the sub-problem. The equality constraints Eq.(6) are defined as the active power
balance equations approximation by second order by Taylor's formula. The functional constraints Eq. (7) are linearly approximated.
In each step of the algorithm is selected a reduced set of functional constraints to be explicitly handled in the optimization, basically
those who are violated or who are close to their limits. With this, itself reduce significantly the problem. This small sub-problem is
solved by the Newton method alternately, first with the balance ratio, and after a few iterations, together with all restrictions selected,
to find an optimal solution. Following, solves itself a conventional power flow to solve the state variables.

There is also the method proposed by Burchett [9], the Augmented Lagrangian Method. The algorithm solves every iteration on
approximate problem where the objective function is increased Lagrangian and restrictions are linearized. The variables are divided
into basic variables (dependent), super-basic (independent) and non-basic (active constraints). This partition set of variables can be
changed during the iterative process as some variables are fixed and other relaxed its limits. The descent direction in the independent
variables is obtained by Quasi-Newton method in the small space. The values of dependent variables are calculated by solving a
corresponding linearized system of equations to equality constraints. Due to excessive processing time, because the density of the
Hessian matrix, has been proposed by Burchett [10] using Sequential Quadratic Programming (SQP). Thus, the original problem is
transformed into a sequence of quadratic problems. At each iteration, these problems are solved using an active set strategy based on
SQP formulation and descent direction is chosen using a Quasi-Newton algorithm.

The formulation based on linear programming has been widely used in OPF due to its simplicity and robustness. However, the
nonlinear nature of OPF can cause difficulties to these methods in some applications, such as to minimize losses. The gradient
algorithm developed by Rosen [11] in 1960, has been successfully applied to linear problems and is a good alternative to the
Simplex [12] in solving the OPF. To solve the problem, the algorithm uses a device that is to introduce the objective function as an
inequality constraint. The system also includes linearization of balance equations Eq.(5) and functional restrictions Eq.(6). The
strategy is to consider three sets of indices that correspond to violated restrictions, active restrictions and viable restrictions however
not active. The goal is to reach the feasible region by minimizing the sum of violated constraints. Through a gradient projected onto
the region determined by the active constraints and a linear search is changing the index and ensures the descent of the objective
function. This process continues until to find a feasible solution. Several proposals of successive linear programming [13] were used
due to its strength and flexibility in consideration of various kinds of restrictions. The disadvantage of these methods is that they may
have slow convergence near the optimal point.

Methods for solving the OPF based on sequential quadratic programming were equally successful. The sparse formulation of OPF
simultaneously solves the problem for all variables Eq. (8), Eq. (9) and constraints. In each iteration, a quadratic approximation of the
Lagrangian is minimized. An important point is the treatment of violations in inequality constraints Eq. (6) and Eq. (7), which is done
efficiently. The restrictions are classified into three categories: active and reactive power, channeling the state variables and
functional restrictions. The second and third cases are treated through quadratic penalty functions, which are added to the objective
function. Another important aspect in the method is the identification strategies the active set. This method has been shown to be
robust and efficient for good class of problems.

In the context of linear programming, Dantzig [12] presented the Simplex method in 1947. Since then it has been widely used in
solving practical linear programming problems, even with exponential complexity in the worst case [14]. In 1984, Karmarkar [15]
presented a new polynomial complexity algorithm in the worst case for solving linear programming problems. The main difference
between the Simplex algorithm and the Karmarkar algorithm is how the feasible region is covered. In Simplex, the feasible region is
traversed by the vertices while in Karmarkar algorithm is covered by the interior of the feasible region. For this reason, the
Karmarkar algorithm is called the Interior Point Method.

The Karmarkar [15] article presented strong theoretical arguments predicting the performance of the Interior Point Method. It
justified the study of these algorithms, resulting in a wide variety of interior point methods. These methods are detailed by Gonzaga
[16]. Its main advantages are the practical aspect of the reduced number of iterations to achieve optimal and its polynomial
complexity in the theoretical aspect.

Megiddo [17] and Kojima [18] developed a new method of primal-dual interior point. Later Monteiro and others [19] demonstrated
its superiority compared to other interior point methods in linear programming context. Illes and Terlaky [20] showed that the interior
point methods are better than the Simplex for large and sparse problems.

The Interior Point Methods are also applicable in the context of Quadratic Programming and also in convex programming. For the
general case of non-linear programming, highlights the interior point method proposed by Lasdon et.al. [21].

The Interior Point Methods are applied in solving OPF problems. Today linear and non linear method implementations have obtained
a growing interest in network analysis and applications to OPF [22], [23] and [24]. The algorithm afim dual Karmarkar has been
successfully applied for planning reactive [25]. The most attractive version for nonlinear problems is the primal-dual method [26] has
been applied to dispatch great reactive power [27], reactive compensation planning [28], and also to a number of other objective
functions [29].

Latorre [29] and Granville [30] developed a new Primal-Dual Interior Point Method tha itself points to solve the OPF problem. In
this context, the characteristics of the electrical problem are explored to facilitate the resolution of the system of equations. The
purpose of this paper is to present the Lagrangian relaxation technique aimed at better performance of the algorithm in [29].

The computational implementation [31] studied here was done to solve the Optimal Power Flow using the Primal-Dual Interior
Points Method considering various types of objective functions, controls, operating restrictions and plumbing that make up the
general problem of OPF.

In the next sessions are presented the Relaxation Lagrangian Technique and also its implementation in the computer program
FLUPOT [31].

5. The Lagrangian Relaxation Method

Consider the following nonlinear programming primal problem (NLP):

Min f(z) (12)

Subject to h(z)=0 (13)

z-s1=l (z>l) (14)

z+s2=u (z<u) (15)

s1>0 (16)

s2>0 (17)

f(z) is a nonlinear function of several variables and also the objective function. The h(z) are linear and/or nonlinear constraints, l, u
are the lower and upper limits of the variable z, respectively, and z is the primal variable.

The problem Eq.(12-17) can be solved using the primal-dual interior point method. Thus, we have the following wording:

Min f ( z ) i =1,n log(s1i ) i =1,n log(s2 i ) (18)

Subject to h(z)=0 (19)

 z-s1-l=0 (20)

z+s2-u=0 (21)

Where , is the barrier parameter and s1i and s2i are the components of vectors s1 and s2. The basic idea of this formulation is to solve
a series of problems without inequality constraints and parameterized by parameter. When we 0 then we have the solution of
the problem.

In the optimality conditions of First Order of Karush-Kuhn-Tucker [33] there are Lagrange multipliers (dual variables) , 1 > 0 and
2 <0 such that the Lagrangian function associated with the problem Eq.(18-21). It can be expressed as follows:

L(z, ,1,2,s1, s2)=f(z)- i=1,n log s1i - i=1,n log s2i- h(z)- 1t(z- s1-l) - 2t(z+ s2-u) (22)

and has stationary point (z, ,1,2,s1, s2) satisfying:

Lz =f(z)- th(z)- 1 - 2=0 (23)

L =h(z)=0 (24)

L1 = z- s1-l =0 (25)

L 2 = z+ s2-u =0 (26)

L s1 = e=S1 1 (27)

L s2 = e=-S2 2 (28)

f(z) is the gradient of objective function, h(z) is the gradient of equality constraints, S1 is a diagonal matrix with values the vector
components s1, S2 is a diagonal matrix with values the vector components s2 and is the barrier parameter.

The resolution of the equations Eq.(23-28) is made by the method of Newton-Raphson. This primal-dual solution approach to the
problem Eq.(12-17) and is also fundamental and strategic. This is why the restrictions Eq.(13-15) are difficult solution to the classical
methods. Thus the problem Eq.(12-17) is transformed into the problem without constraint minimization of Eq.(22). The Lagrangian
function Eq. (22) has an optimal solution which generally coincides with the original problem Eq.(12-17).

There are situations, where the stationary point (z,,1,2,s1,s2) is hard to find. This may occur when the Lagrangian grows to infinity
(unlimited great). Consequently, the dual problem and the primal problem Eq.(12-15) does not have solution [33]. When the
algorithm cannot find a solution then the primal and the dual variable values grows. May be said that there was a non-convergence.

One technique for dealing with this situation is to identify the critical variables of the problem. These critical variables are related to
the limits that were imposed on the primal variables. In the minimization problem of Eq.(22) the dual variables or multipliers 1 and
2 are associated with restrictions Eq.(14-15) of the primal problem.

From these restrictions two important observations can be made:

(i) If z > l and by equation Eq.(25), Eq.(27) and ( 0) THEN 1 =0

(ii) If z < u and by equation Eq.(26), Eq.(28) and ( 0) THEN 2 =0

From (i) and (ii) may be said that for each variable z that has impose minimum or maximum of only one multiplier is not null. So
we'll have to:

(iii) If z=l, 2 =0 then 1 =f(z)- th(z)

(iv) If z=u, 1 =0 then 2 =f(z)- th(z)

This means that when, the primal variables, are near their limits, one solution of the dual variables must be found. It is possible that
when the dual variable solution is not found their primal variable could be relaxed. This is the Lagrangian Relaxation Methodology,
to obtain a solution in the primal variable.

6. Implementation of the Lagrangian Relaxation Method

This section presents the implementation of the Lagrangian methodology in FLUPOT program [31]. The FLUPOT program is a
software tool developed by CEPEL to solve the OPF problem.

As described in section 4. The OPF problem resolution aims to find an optimal operating point in AC network minimizing
(maximizing) an objective function and satisfying a set of equality and inequality equations. So, the problem can be defined as in Eq.
(12-17). Also the solution method implemented in FLUPOT program is based on the formulation Eq.(18-21) and Eq.(22) [29].

For this particular formulation of Interior Points Methodology implemented in FLUPOT program, the equality constraints are not
necessarily satisfied in the intermediate iterations of the algorithm. These are only met in the optimal solution. For the OPF is an
important feature because, for certain controls values of the load flow equations cannot be solved [28].

In the case of the Brazilian Electric System, characterized by its large size, the FLUPOT can provide an optimal solution in a few
iterations. Thus it is characterized for its sturdiness.

However, due to the complexity of the Brazilian Electric System, there are some operational situations where FLUPOT does not
provide a satisfactory solution.

The Lagrangian relaxation techniques can be used to reverse these situations. Usually occurs when some control difficult the
convergence. This difficulty increases when the controls are restricted or do not have sufficient resources to achieve convergence. In
such cases convergence can be facilitated through the relaxation of some problem of control variables.

6.1. Detail of Implementation

The implementation of FLUPOT is based on Lagrangian relaxation technique as discussed in section 5, and performed in automatic
way through the Lagrangian multipliers of OPF problem [18]. At the end of execution, if there is a solution, a report with variables
that were relaxed is provided.

In this case the relaxation will be done automatically by the program through the multiplier associated with the controls, according to
the approach in section 5. The controls that will be relaxed and related to Reactive Power Control are: (i) Voltage limits of PV Buses;
(ii) Voltage limits of PQ Buses; (iii) Voltage limits of CER buses; (iv) Power Generation Limits Reactive; (v) the CER Reactive
Generation limits; (vi) Shunt limits Switched Capacitive and (vii) Shunt Inductive limits Switched. They are not included in this
implementation of the Power Factor and Secondary Control.

Similarly there is the Active Power Controls: (i) Flow Limits circuits; (ii) Series Capacitance limits; (iii) exchange limits between
areas; (iv) Active Power Generation Limits and (v) limits of phase shifters

Then, above, the following algorithm used in this implementation.

i)To enable the relaxation of the limits of the variables in FLUPOT program should be used the RLGR option (Lagrangian)

ii)When the actived part of the balance equations in Eq.(13) reaches an error tolerance then it will be automatically activated
Variables Relaxation Performance in Active Part Limit (TRLP), the default is 100.00 MW. Then the program checks the
multipliers of the problem of controls that are active and to every number of iterations chose a number of variables with
multipliers in descending value. This number of variables (MILP) has a number whose default value is 1 (more details see the
next section).

iii)Also the above procedure is adopted for the balance equations in Eq.(13) Part Reactive, when it is within an error
tolerance then it will be automatically activated Variable of Relaxation Performance in Limit Part Reactive (TRLQ), the
default is 100.00 Mvar. Then the program should check the multiplier of reactive controls of the problem are assets and every
certain number of iterations is chosen to a number of variables with multipliers in descending value. This number of variables
(MILQ) has a default number whose value is 1 (more details see the next section).

iv)The controls associated with the highest multipliers are identified and their respective limits relaxed. This procedure will
be performed for the control variables of the active and reactive part if necessary. Note that this selection is independent to
the active part and to the reactive part.

v) If the next three iterations of the case converges FOR otherwise, the program returns to step (i)

vi) When the program reaches its convergence produces a report with the quantities and limits relaxed

7.Numerical Results
In this section will be presented the numerical results to this improvement, noteworthy using the Lagrangian methodology in
FLUPOT program [31], and also the interface of ANAREDE program [34].

It's used a case of the Expansion Plan and Reinforcements (PAR) of the Brazilian Electric System in the 2012-2014
2012 period.
Specifically the case of heavy load corresponds to the months of April to September 2013. It was used the objective function Least
Cost Shunt Reactive installation (ASHN).

Figure (1) shows the opening of the base case by ANAREDE program [34]. [3 ]. Figures (2) and (3) show the convergence report by
FLUPOT. In Figure (3), it appears the not convergence of the base case. This occurs when it was exceeded the maximum number of
iterations.

Figure 1. Base Case opening

Figure 2. Top of convergence report of the base case Figure 3. Bottom of convergence report of the base case

The following controls were used: (i)) GEN (Power Generation Reactive); (ii) VGEB (PV Voltage bus)
b (iii) SHNC (Shunt
Switchable); (iv)) CCER (Reactive Static Compensator) and (v)
( LTCP (CTL's wheels in parallel).

The same base case was submitted to the methodology of Lagrangian relaxation. Figures (4) and (5) present the convergence report
of base case subject
ct to Lagrangian relaxation. In figure (5) checks that the convergence of the base case. Convergence was achieved
in 75 iterations.
Figure 4. Top of convergence report of the base case with Figure 5. Bottom of convergence report of the base case with
Lagrangian Relaxation Lagrangian Relaxation

In the figure (6) is shown the report of the modified limits due to Lagrangian technique. The
he limits of 6 load buses and only one PV
bus were modified.

To verify that these new limits enable the convergence of the base case, this his new limits were included in the initial configuration file.
In the figure(7)
(7) are shown the input data corresponding to DVLB set (voltage limits by bus)) where are specified the 6 buses with its
new limits suggested by relaxation technique. ique. The FLUPOT runs again without the relaxation technique. The new convergence
report is presented in figures
igures (8) and (9). In figure (9), there is the convergence of the base case,
case that was achieved in 45 iterations.

Figure 6. Limits Report modified by Lagrangian Relaxation

 Figure 7. New DVLB

Figure 8. Top of convergence report of the base case with new Figure 9. Bottom of convergence report of the base case with
limits new limits

8.Conclusions

The FLUPOT program is based on Primal rimal-Dual Interior Point Method, that is, the of using the primal and dual variables NLP
problem associated with the Optimal Power Flow problem. This methodology allows that the dual variables (Lagrange multipliers)
be harnessed to cases whose solution is only achieved with a relaxation of its primal variable of active control (variables in the limit).
The controls associated with the reactive power that can be relaxed and that have been implemented are: (i) ( Voltage Limits of PV
buses; (ii) Voltage limits of PQ Buses; (iiiiii) Voltage limits of CER buses; (iv) Powerr Generation limits Reactive; (v) ( the CER
Reactive Generation limits; (vi)) Shunt limits Switched Capacitive and (vii)
( ) Shunt Inductive limits Switched. They are not included in
this implementation the Power Factor and Secondary Control.

Those associated with the active power is: (ii) Flow Limits circuits; (ii) Series Capacitance limits; (iii)) exchange limits between areas;
(iv) Active Power Generation Limits and (v)) limits
l of phase shifters

Generally when the execution of OPF resolution algorithm reaches the maximum number of iterations,iterations the critical issue of the
variables present Lagrange multipliers associated with high values. So the Lagrangian
Lagrang is a strategy solution.
solutio In this case, it relaxes to
one or more variables which have elevated their multiplier values.

The purpose of this implementation was set in FLUPOT program a heuristic for cases of non-convergence
non convergence that allows relax limits of
active variables (variables in the limit).

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