A Mixed-Integer and Asynchronous Level Decomposition with Application to the Stochastic Hydrothermal Unit-Commitment Problem

Abstract

Independent System Operators (ISOs) worldwide face the ever-increasing challenge of coping with uncertainties, which requires sophisticated algorithms for solving unit-commitment (UC) problems of increasing complexity in less-and-less time. Hence, decomposition methods are appealing options to produce easier-to-handle problems that can hopefully return good solutions at reasonable times. When applied to two-stage stochastic models, decomposition often yields subproblems that are embarrassingly parallel. Synchronous parallel-computing techniques are applied to the decomposable subproblem and frequently result in considerable time savings. However, due to the inherent run-time differences amongst the subproblem’s optimization models, unequal equipment, and communication overheads, synchronous approaches may underuse the computing resources. Consequently, asynchronous computing constitutes a natural enhancement to existing methods. In this work, we propose a novel extension of the asynchronous level decomposition to solve stochastic hydrothermal UC problems with mixed-integer variables in the first stage. In addition, we combine this novel method with an efficient task allocation to yield an innovative algorithm that far outperforms the current state-of-the-art. We provide convergence analysis of our proposal and assess its computational performance on a testbed consisting of 54 problems from a 46-bus system. Results show that our asynchronous algorithm outperforms its synchronous counterpart in terms of wall-clock computing time in 40% of the problems, providing time savings averaging about 45%, while also reducing the standard deviation of running times over the testbed in the order of 25%.