Abstract. For the problem of solving maximal monotone inclusions, we present a rather general class of algorithms, which contains hybrid inexact proximal point methods as a special case and allows for the use of a variable metric in subproblems. The global convergence and local linear rate of convergence are established under standard assumptions. We demonstrate the advantage of variable metric implementation in the case of solving systems of smooth monotone equations by the proximal Newton method.
Solving the Short Term Hydrothermal Coordination (STHTC) Problem considers the resolution of both the Unit Commitment (UC) and the Economic Dispatch (ED) for thermal and hydraulic units. In order to avoid post-dispatch corrections, the transmission network is modeled with a high level of detail considering an AC power flow. These facts lead to a very complex optimization problem which is solved by using a novel decomposition approach which combines Generalized Benders Decomposition (GBD) with Bundle methods. This proposed method resembles a stabilized version of the cutting planes method, which drastically reduces the well-known tailing-off effect that Benders methods have. The approach presented in this work allows the decomposition of the whole problem in a quadratic mixed integer master problem, and in a non-linear subproblem which should be separable. The former defines the state and the active power dispatched by each unit whereas the latter determines the reactive power to meet the electrical constraints through a modified AC optimal power flow (OPF). These approaches were applied to a 9-bus test case, and to the IEEE 24-bus test case. The problem is solved for a time horizon of a day with a one-hour step.
Abstract. In this article we consider the Hamilton-Jacobi-Bellman (HJB) equation associated to the optimization problem with monotone controls. The problem deals with the infinite horizon case and costs with update coefficients. We study the numerical solution through the discretization in time by finite differences. Without the classical semiconcavity-like assumptions, we prove that the convergence in this problem is of order h γ in contrast with the order h γ 2 valid for general control problems. This difference arises from the simple and precise way the monotone controls can be approximated. We illustrate the result on a simple example.
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