arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1902.08699math.OC
收藏

两阶段对偶动态规划及其在非线性水电调度中的应用

Two-Stage Dual Dynamic Programming with Application to Nonlinear Hydro Scheduling

Benjamin Flamm, Annika Eichler, Joseph Warrington, John Lygeros

摘要:

我们提出了一个近似的方法来解决非线性控制问题,在长时间的视野,其中完整的非线性模型是保留在地平线的初始部分,而地平线的其余部分使用线性松弛建模。由于这个近似问题可能仍然太大,无法直接求解,我们提出了一个基于Benders分解的求解算法,该算法在求解地平线的非线性和线性部分之间进行迭代。这扩展了通常用于线性化水电系统优化的对偶动态规划方法。我们证明了所提出的算法收敛有限次迭代后,即使非线性初始阶段的问题得到不精确的解决。我们还绑定的次优的水平分裂方法相对于原始的非线性问题,在线性和非线性状态输入轨迹之间的映射的属性。然后,我们将此方法应用到一个多水库水电系统的案例研究,近似的非线性水头效应,在第二阶段使用麦考密克信封。我们证明了,近最优解可以得到在一个收缩的水平设置时,全非线性模型是用于只有一个短的初始部分的水平。对于这个例子,该方法被证明是更实际的比传统的动态规划和多细胞麦考密克包络近似文献。

英文摘要:

We present an approximate method for solving nonlinear control problems over long time horizons, in which the full nonlinear model is preserved over an initial part of the horizon, while the remainder of the horizon is modeled using a linear relaxation. As this approximate problem may still be too large to solve directly, we present a Benders decomposition-based solution algorithm that iterates between solving the nonlinear and linear parts of the horizon. This extends the Dual Dynamic Programming approach commonly employed for optimization of linearized hydro power systems. We prove that the proposed algorithm converges after a finite number of iterations, even when the nonlinear initial stage problems are solved inexactly. We also bound the suboptimality of the split-horizon method with respect to the original nonlinear problem, in terms of the properties of a map between the linear and nonlinear state-input trajectories. We then apply this method to a case study concerning a multiple reservoir hydro system, approximating the nonlinear head effects in the second stage using McCormick envelopes. We demonstrate that near-optimal solutions can be obtained in a shrinking horizon setting when the full nonlinear model is used for only a short initial section of the horizon. For this example, the approach is shown to be more practical than both conventional dynamic programming and a multi-cell McCormick envelope approximation from literature.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑