Expert Systems with Applications 38 (2011) 6556–6564

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Expert Systems with Applications

journal homepage: www.elsevier.com/locate/eswa

Combined heat and power economic dispatch by mesh adaptive direct

search algorithm
Seyyed Soheil Sadat Hosseini a,⇑, Ali Jafarnejad b, Amir Hossein Behrooz c, Amir Hossein Gandomi d,e
a
College of Electrical Engineering, Tafresh University, Tafresh, Iran
b
Department of Construction Management & Engineering, Islamic Azad University, Science and Research Branch, Tehran, Iran
c
Faculty of Management and Accounting, Allameh Tabatabai University, Tehran, Iran
d
College of Civil Engineering, Tafresh University, Tafresh, Iran
e
The Highest Prestige Scientific and Professional National Foundation, National Elites Foundation, Tehran, Iran

a r t i c l e i n f o a b s t r a c t

Keywords: The optimal utilization of multiple combined heat and power (CHP) systems is a complex problem.
Economic dispatch Therefore, efficient methods are required to solve it. In this paper, a recent optimization technique,
Combined heat and power namely mesh adaptive direct search (MADS) is implemented to solve the combined heat and power eco-
Mesh adaptive direct search algorithm nomic dispatch (CHPED) problem with bounded feasible operating region. Three test cases taken from the
Optimization
literature are used to evaluate the exploring ability of MADS. Latin hypercube sampling (LHS), particle
swarm optimization (PSO) and design and analysis of computer experiments (DACE) surrogate algo-
rithms are used as powerful SEARCH strategies in the MADS algorithm to improve its effectiveness.
The numerical results demonstrate that the utilized MADS–LHS, MADS–PSO, MADS–DACE algorithms
have acceptable performance when applied to the CHPED problems. The results obtained using the
MADS–DACE algorithm are considerably better than or as well as the best known solutions reported pre-
viously in the literature. In addition to the superior performance, MADS–DACE provides significant sav-
ings of computational effort.
Ó 2010 Elsevier Ltd. All rights reserved.

1. Introduction
The conversion of primary fossil fuels to electricity is a rela-
tively inefficient process. Even the most modern combined cycle
plants can only obtain efficiencies of between 50% and 60% (Vasebi,
Fesanghary, & Bathaee, 2007). Most of the energy wasted in this
conversion process is released to the environment as waste heat.
Cogeneration or CHP generation is a mature and established tech-
nology which has energy efficiency and environmental advantages
over other forms of energy supply. Economic dispatch (ED) must be
applied to obtain the optimal use of CHP units. The main objective
of economic dispatch problem in a conventional power plant is to
find the optimal solution for the power production such that the
total demand matches the generation with minimum fuel cost.
The mutual dependencies of heat and power generation propose
a complication in the integration of cogeneration units into the
power system economic dispatch. The best CHP schemes can ob-
tain fuel conversion efficiencies of the order of 90% (Vasebi et al.,
2007). Cogeneration systems have extensively been used by the
industry, recently. Some industrial processes have large heat
requirements, either as process steam or piped hot fluid, and large
⇑ Corresponding author. Tel.: +98 912 419 9906.
E-mail addresses: s.sadathosseini@gmail.com (S.S. Sadat Hosseini), a.h.gandomi@
gmail.com (A.H. Gandomi).
power demands. They can be built in urban areas and utilized as
distributed electrical energy sources.
Several researches worked in the field of the CHPED problem.
Non-linear optimization algorithms, such as dual and quadratic
programming (Rooijers & van Amerongen, 1994), and gradient des-
cent approaches, such as Lagrangian relaxation (Guo, Henwood, &
van Ooijen, 1996), have been applied to it. However, these algo-
rithms cannot deal with discontinuous and/or non-monotonic
input–output models for generator fuel characteristics. Alterna-
tives to the conventional mathematical approach: evolutionary
computation techniques such as genetic algorithm (GA) (Song &
Xuan, 1998; Su & Chiang, 2004), evolutionary programming (EP)
(Wong & Algie, 2002), multi-objective particle swarm optimization
(MPSO) (Wang & Singh, 2008), a hybrid of genetic algorithm with
tabu search (GT) (Sudhakaran & Slochanal, 2003), harmony search
(HS) (Vasebi et al., 2007), fuzzy decision making (FDM) (Chang &
Fu, 1998), improved ant colony search algorithm (ACSA) (Song,
Chou, & Stonham, 1999) and self adaptive real-coded genetic algo-
rithm (SARGA) (Subbaraj, Rengaraj, & Salivahanan, 2009) have suc-
cessfully been applied to the CHPED problem. In the optimization
area, many interesting results come from the utilization of pattern
search (PS) methods (Torczon, 1997). At this stage, mesh adaptive
direct search (MADS) (Audet & Dennis, 2006) is one of the most
powerful optimization algorithms that has recently emerged. The
MADS method lends itself to optimization problems with discrete

0957-4174/$ - see front matter Ó 2010 Elsevier Ltd. All rights reserved.
doi:10.1016/j.eswa.2010.11.083
 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564 6557

and continuous variables, such as the generator loads of the CHP The CHPED problem of a system is to determine the unit heat
problem. MADS does not depend on derivatives of the objective and power production so that system production cost is minimized
function of the problem to be solved, non-monotonic functions while the heat-power demands and other constraints are met. It
and accommodating discontinuous. Despite significant advantages can be mathematically stated as follows:
of MADS over other optimization approaches, there have been
Np
X Nb
X Nh
X
some little scientific efforts directed at applying it to academic
Min C i ðPi Þ þ C j ðPj ; Hj Þ þ C k ðHk Þ ð1Þ
and practical problems (Audet, Bechard, & Chaouki, 2008; Nicosia
i¼1 j¼1 k¼1
& Stracquadanio, 2007).
The main objective of this study is to introduce the MADS algo-
Subject to the equilibrium constraints of heat and electricity pro-
rithm to solve the CHPED problem. Three four-unit systems previ-
duction, and the capacity limits of each unit
ously presented in the literature have been used as case studies.
The Latin hypercube sampling (LHS), particle swarm optimization Np
X Nb
X
(PSO) and design and analysis of computer experiments (DACE) Pi þ Pj ¼ Pd ð2Þ
surrogate algorithms are used as search strategies in MADS to solve i¼1 j¼1
each of the CHPED problems. The results obtained by the MADS– Nh
X
Nc X
LHS, MADS–PSO, MADS–DACE methods are further compared with Hj þ Hk ¼ Hd ð3Þ
those generated with other (evolutionary and mathematical pro- j¼1 k¼1
gramming) techniques reported in the literature. This paper is or-
ganized as follows: Section 2 describes the characteristics of a Pmin
i 6 P i 6 Pmax
i ; i ¼ 1; . . . ; Np ð4Þ
cogeneration unit and formulation of the CHPED problem, Section Pmin ðHj Þ 6 Pj 6 Pmax ðHj Þ; j ¼ 1; . . . ; Nb ð5Þ
j j
3 deals with mesh adaptive direct search, Section 4 describes
implementation of MADS to the CHPED problem, and Section 5 dis- Hmin
j ðPj Þ 6 Hj 6 Hmax
j ðPj Þ; j ¼ 1; . . . ; Nb ð6Þ
cusses the MADS performance on this specific problem.
Hmin
k 6 Hk 6 Hmax
k ; k ¼ 1; . . . ; Nh ð7Þ

2. Formulation of the CHPED problem
Combined heat and power generation is a mature and estab-
lished technology. It has higher energy efficiency and less green
house gas emission compared with the other forms of energy sup-
ply (Vasebi et al., 2007). The essential difference between com-
bined heat and power units and conventional condensing plant is
in the type of the power obtained and the overall efficiency of each
plant. In conventional condensing plants, the energy from the fuel
is utilized to produce electrical power only, while in CHP systems,
the energy from the fuel is utilized to produce both electrical and
thermal power thus increasing its efficiency. The heat production
depends on power generation and inversely. This introduces com-
plexity due to the non-separable heat in the CHP units and nature
of electrical power.
The heat-power feasible operation region (FOR) of a combined
cycle cogeneration unit is shown in Fig. 1. The boundary curve
MNOPQR enclosed the feasible operation region. The upper and
lower bounds of heat and power units are restricted by their
own generation limits. Along the boundary curve BC, the heat
capacity increases as the power generation declines.
where f is the total heat and power production cost, C is the unit
production cost; P the unit power generation; H the unit heat
production; Hd and Pd the system heat and power demands, respec-
tively; i, j and k the indices of conventional power units, cogenera-
tion units and heat-only units; Np, Nb and Nh the numbers of the
kinds of units mentioned above; Pmin and Pmax the unit power
capacity limits; Hmin and Hmax the unit heat capacity limits.
The mutual dependencies of heat and power generations from
Eqs. (5) and (6) introduce a complication in the integration of
cogeneration units. Hence, the optimization problem of the CHPED
is non-linear and highly constrained in nature.
3. Mesh adaptive direct search algorithm
The PS optimization algorithm is a class of direct search meth-
ods. This algorithm is suitable to solve different optimization prob-
lems that lie outside the scope of the standard optimization
methods. In general, PS has the advantage of being very simple
in concept, easy to implement and computationally efficient. A
useful review of direct search methods for unconstrained optimi-
zation is introduced in Conn, Scheinberg, and Vicente, (2009), in
which the authors give a modern perspective on the classical fam-
ily of derivative-free algorithms, focusing on the development of
direct search methods.
The MADS algorithm for non-linear optimization extends the
generalized pattern search (GPS) (Kolda, Lewis, & Torczon, 2004;
Lewis & Torczon, 2000) algorithms. A main advantage of MADS
over the GPS method for both unconstrained and linearly con-
strained optimization is that local exploration of the space of vari-
ables is not restricted to a finite number of directions, called poll
directions. This is the primary drawback of the GPS algorithms,
and the essential motivation in defining MADS was to overcome
this restriction (Audet & Dennis, 2006). The MADS algorithm is a
frame-based method. The MADS frames are specifically aimed at
ensuring an asymptotically dense set of polling directions.

Notation. R, Z, and N, respectively, denote the sets of real

numbers, integers, and non-negative integers.
For a matrix D, the notation d e D indicates that d is a column of
Fig. 1. Feasible operation region for a cogeneration unit. D. The iteration numbers are denoted by the index i.
6558 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564

3.1. Features of the MADS algorithm

MADS is an iterative algorithm. The MADS class of algorithms

starts with an initial point with finite function value. This algo-
rithm does not need any derivative information for f. This is impor-
tant when rf is unavailable, either because it does not exist, or it
cannot be accurately evaluated due to noise in f or other reasons.
Each iteration is divided into two steps. The first one is called the
SEARCH step. In this step, any finite set of mesh points can be eval-
uated. This allows great flexibility to choose strategies. The SEARCH
is expressed to be empty when no trial points are considered. The
SEARCH step adds nothing to the convergence theory, except to
provide counterexamples as in Audet (2004). It is notable that
well-chosen search strategies can greatly improve algorithm perfor-
mance (see Abramson, Audet, & Dennis, 2004; Audet & Orban, 2006;
Booker et al., 1999; McKay, Conover, & Beckman, 1979).
The SEARCH step is essential in concentrated on. Lewis and
Torczon (1996) identified practice because it is so flexible, but it
is a difficulty for the theory for the same reason (Abramson, Audet,
& Dennis, 2006). SEARCH can return any point on the underlying
mesh. Of course, it is trying to identify an unfiltered point. Since
the POLL step is the basis of the convergence analysis, it is the part
of the algorithm where most research has been that POLL should
consider points on the mesh neighboring the incumbent solution
in a set of directions whose non-negative linear combinations span
Fig. 2. Basic MADS algorithm.
the space. This may seem simple, but it is an essential observation.
Coope and Price (2002) extended this concept to the idea of frames,
which can be thought of as doing away with the requirement that the present study are briefly described in the following
the POLL points be mesh neighbors. Audet and Dennis (2006) pro- subsections.
posed MADS as a way to implement frames so that the directions
normalized used in infinitely many POLL steps generate a dense 3.2.2.1. Latin hypercube sampling. An easy and a popular experi-
set on the unit sphere at a MADS limit point. This allows strong mental design technique to provide a good global search of the fea-
convergence (Abramson & Audet, 2006; Audet & Dennis, 2006) sible region is Latin hypercube sampling (LHS). The statistical
and excellent computational results for the MADS algorithms method of LHS was made to produce a distribution of plausible col-
(Audet & Orban, 2006; Marsden, 2004). lections of parameter values from a multi-dimensional distribu-
tion. For the first time, the technique was described by McKay
3.2. Description of MADS algorithm et al. (1979). In the area of statistical sampling, a square grid
including sample positions is a Latin square if (and only if) there
The steps in the MADS algorithm are summarized in Fig. 2. is only one sample in each row and each column. A Latin hyper-
These steps are described in the next five subsections. cube is the generalization of this concept to an arbitrary number
of dimensions, whereby each sample is the only one in each axis-
3.2.1. Initialization aligned hyperplane including it.
In the MADS algorithm, a starting point x0 must be specified When a function of n variables is sampled, the range of each
with finite function value, and an initial mesh size parameter variable is divided into M equally probable intervals. Therefore,
Dm0 2 Rþ . The superscripts m and p stand for mesh and poll, M sample points are placed to satisfy the Latin hypercube require-
respectively. ments; it should be noted that this forces the number of divisions,
The algorithm then defines: M, to be equal for each variable. Also note that this sampling
scheme does not need more samples for more dimensions (vari-
p
 Dm
0 6 D0 : the poll parameter size. ables); this independence is one of the most important advantages
 D ¼ fek ; k ¼ 1; 2; . . . ; ng: the positive basis needed to generate of this sampling scheme. One of the other advantages is that ran-
polling directions, where ek is the kth coordinate direction, and dom samples can be taken one at a time, remembering which sam-
n is the number of variables. ples were taken so far.
 M0 ¼ fx 2 S0 g [ fx0 þ Dm 2n
0 Dz : z 2 N g; the mesh, where S0 is the The maximum number of combinations for a Latin hypercube of
set of points where the objective function f had been evaluated M divisions and n variables (i.e., dimensions) can be calculated
Q
by the initialization. Then, MADS proceeds to the quest for an with the following formula: nk¼0 ðM  kÞn1 .
improved mesh point. For instance, a Latin hypercube of M = 4 divisions with n = 2
variables (i.e., a square) has 24 possible combinations. A Latin
3.2.2. SEARCH step hypercube of M = 4 divisions with n = 3 variables (i.e., a cube) has
The SEARCH step can be empty. This means that the algorithm 576 possible combinations. This is convenient for the MADS algo-
can only be implemented as a sequence of POLL steps. This is an rithms, since the feasible region is already equally divided by the
acceptable choice when a local minimizer in the same basin as mesh, and thus the design points must simply be distributed
the initial guess is adequate. Another reasonable strategy is to try properly.
a step in the same direction as a previously successful POLL step. On the region [0; 1] £ [0; 1], Fig. 3 illustrates an example of 4
It should be noted that although this seems reasonable, some random points selected on a two-dimensional Latin hypercube
researchers have found this approach of limited value at best design. From the 16 sectors, 4 random points are selected so that
(Abramson et al., 2006). Three of the SEARCH strategies used in no row or column is repeated.
 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564
Fig. 3. Latin hypercube design (2-D, 4-points).
3.2.2.2. Particle swarm optimization. Particle swarm optimization
(PSO) is a population-based, self-adaptive, stochastic optimization
method Kennedy and Eberhart (1995). The fundamental idea of the
PSO is the mathematical modeling and simulation of the food
searching activities of a swarm of birds (particles). In the multi-
dimensional space where the optimal solution is sought, each
particle in the swarm is moved toward the optimal point by the
addition of a velocity with its position. The velocity of a particle
is influenced by three elements, namely, inertial, cognitive, and so-
cial. The inertial element simulates the inertial behavior of the bird
to fly in the previous direction. The cognitive element models the
memory of the bird about its previous best position, and the social
element models the memory of the bird about the best position
among the particles (interaction inside the swarm). The particles
move toward the multi-dimensional search space until they find
the food (optimal solution).
3.2.2.3. Surrogate-based methods. In problems with expensive func-
tion evaluations, it is usually beneficial to substitute a model, or
computationally cheaper approximation to stand in for the true
function. This substitution can give an insight into the behavior
of the function without performing excessive costly function eval-
uations. The term surrogate is used rather than approximation be-
cause there is no tendency for implying that anything is required
with respect to how well the surrogates approximate the problem
functions (Booker et al., 1999). In engineering applications, surro-
gates can often be differentiated into two basic types: numerical
solutions of simpler physical models, and interpolation based mod-
els of the solutions that are constructed using knowledge of the
true function values. The former utilizes a simplified model of
the physics that hopes to capture some aspect of the function
behavior. The latter utilizes no knowledge of the physics, and is
based only on knowledge of the function values at a set of known
data points.
A disadvantage may be that some simplified physics models are
costly to evaluate compared to interpolation-based models. In
addition, a simplified physics model that is not well understood
could result in a misleading surrogate that slows down the optimi-
zation. In the current study, an interpolation-based surrogate is
used. It is notable that surrogates are not required to accurately
represent the function. A surrogate may efficiently capture the glo-
bal behavior of the function, but be inaccurate for local prediction,
6559
and yet it will serve as a valuable tool for steering the optimizer to-
wards a function minimum.
Surrogates are a specifically good match for combining with
MADS. One reason for this is the inherent flexibility of MADS, be-
cause it can be separated into a SEARCH step, which offers the user
flexibility, and a POLL step which provides the basis for proof of
convergence. Due to this, a surrogate can be incorporated to search
the design space in a matter well-suited to the problem, and the
choice of surrogate is flexible.
The first step in the optimization process is to choose a set of
initial data. The main reason of using LHS method is to find a well
distributed set of initial data in the parameter space, thus ensuring
that each input variable has all portions of its range represented in
the chosen data set. Once the initial data set, x1, ... , xm, is chosen,
the cost function is evaluated at these points, and an initial surro-
gate model is constructed (Marsden, Wang, Dennis, & Moin, 2004).
A Kriging surrogate model is utilized to interpolate the data, and to
predict the value of the function at a particular location in the
parameter space (Marsden, 2004). Kriging is a statistical method
based on the usage of spatial correlation functions. The Kriging
algorithm is implemented in DACE software package. It is easily
extended to multiple dimensions, making it attractive for optimi-
zation problems with several variables. A detailed derivation of
the Kriging approximation can be found in Marsden et al. (2004),
following Lophaven et al. (2002). If the surrogate optimization fails
to find an improved mesh point, then the surrogate is updated and
made more accurate with the new point. The use of surrogates usu-
ally yields significant improvement in the objective function value
early on in the iteration process (Abramson, 2007).
Boeing utilizes DACE surrogates (Santner, Williams, & Notz,
2003) in their Design Explorer filter implementation (Audet,
Booker, Dennis, Frank, & Moore, 2000). They generate data sites
by an orthogonal array, and thereafter fit a DACE model to the data.
The SEARCH includes a global Newton SQP method applied to the
surrogate problem to try to generate several good local optimizers
for that problem. Afterwards, they use the expensive ‘‘true’’ prob-
lem functions at those points to decide whether the SEARCH has
been successful. Whenever new values of the true problem func-
tions have been computed, they are utilized to recalibrate the sur-
rogates. This surrogate management framework results in very
successful methods. Details are given in Audet et al. (2000). Alison
Marsden has solved trailing edge shape design problems utilizing
both types of surrogates in an insightful way. She generates trial
points using the MATLAB DACE surrogate package (Lophaven,
Nielsen, & Sondergaard, 2002) and thereafter uses a less expensive
turbulence model to check whether a trial point is in X. If it is, then
she runs the more precise simulation. Her SEARCH includes apply-
ing an evolutionary algorithm to the DACE surrogates (Marsden,
2004). Another interesting application of surrogates is in Marsden
et al. (2004), where a framework to identify good algorithmic
parameter values is provided. To demonstrate this framework,
MADS was applied to an objective function that measured the
CPU time required by a trust-region algorithm (Gould, Orban, &
Toint, 2003) to solve a set of difficult problems.
3.2.3. The POLL step
The POLL step is more rigidly defined than the SEARCH step.
Whenever the SEARCH step fails to generate an improved mesh
point, then the POLL step is invoked before terminating the itera-
tion. The POLL step includes a local exploration of the space of opti-
mization variables near the current incumbent solution xi (called
the frame center). The set of trial points considered during the
POLL step is called a frame. If the POLL step fails to produce an im-
proved mesh point, Pi is expressed as a minimal frame with mini-
mal frame center xi. If both the SEARCH and POLL step is successful
in finding an improved mesh point, the improved mesh point
6560 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564
becomes the new current iterate xi+1 and the mesh is either re-
tained or coarsened. If none of the steps is successful, then the min-
imal frame center is retained as the current iterate (i.e., xi+1 = xi)
and the algorithm continues to the parameters update step.
For MADS, the poll size parameter Dpi 2 Rþ for iteration i is pre-
sented. This new parameter determines the magnitude of the dis-
tance from the trial points generated by the POLL step to the
current incumbent solution xi.
The MADS frame is constructed by the usage of a current
incumbent solution xi and the poll and mesh size parameters Dpi
and Dmi to obtain a positive spanning set of directions Di. In general,
the MADS set of directions Di is not a subset of D.
At iteration i, the MADS frame is defined to be the set
Pi ¼ fxi þ Dm
i d : d 2 Di g  M i ð8Þ
where Di is a positive spanning set such that 0 R Di and for each
d e Di,
 d can be written as a non-negative integer combination of the
directions in D: d = Du for some vector u 2 N nDi that may depend
on the iteration number i,
 the distance from the frame center xi to a frame point
xi þ Dm
i d 2 P i is bounded above by a constant times the poll size
p 0 0
parameter: Dm i kdk 6 Di maxfkd k : d 2n Dg, o 3.2.4. Parameters update
 limits of the normalized sets Di ¼ kdk d
: d 2 Di are positive
spanning sets.
The set of all poll directions D ¼ [1 i¼1 Di is said to be asymptoti-
cally dense if the closure of D equals Rn.
Graphically, the definition of a hypothetical sequence of three
POLL sets is given by Fig. 4. We can easily check if the above four
properties are satisfied. It is demonstrated in Audet and Dennis
(2006) that the set of normalized directions formed by [1 i¼1 Di is
dense in the unit circle with probability 1.
There are two strategies to evaluate f at the trial POLL points Pi.
The first one is to terminate iteration i whenever there is a decline
in f. The exhaustive one consists of evaluating the entire POLL set Pi
and thereafter choosing the feasible point leading to the largest de-
crease of the objective function value f. In the present paper, the
first strategy was used since it was practically observed that it usu-
ally reduces the overall number of function evaluation. In some
cases, incomplete derivative information might be available. For
instance, in some multi-disciplinary design optimization (MDO)
problems, derivatives for some disciplines might be available, but
not for others, and derivatives across multiple disciplines are not
available. If the full gradient is available, directions can be selected
so that all but one are ascent directions, which can be ignored, thus
reducing the required number of function evaluations to one per
iteration (Abramson et al., 2004). In this case, the MADS algorithm
reduces to an approximation of steepest descent. Even if only some
Fig. 4. Examples of POLL sets Pi.
partial derivatives are known, MADS can exploit this information
to decrease the number of function evaluations in each POLL step
(Abramson et al., 2004) without sacrificing theoretical convergence
properties. In related work, Custodio and Vicente (2007) compute a
simplex gradient from a subset of formerly evaluated points having
certain geometrical properties, and they have studied its use as a
potential direction of descent in an effort to speed convergence.
Because MADS is opportunistic, in that it moves immediately to a
new improved mesh point as soon as it is found, the order in which
POLL points are evaluated can impact performance. One approach
in such improvement can be witnessed is what is called dynamic
polling, in which the most recent successful direction is moved
to the front of the queue after each successful POLL step. Dynamic
polling was presented useful in Audet and Dennis (2006) on a
chemical engineering parameter fit problem (Hayes, Bertrand,
Audet, & Kolaczkowski, 2003). Custodio and Vicente (2007) have
also seen a reduction in function evaluations by computing a sim-
plex gradient and ordering POLL points in accord with how small
an angle the corresponding poll directions make with the negative
of the simplex gradient. However, these strategies (dynamic poll-
ing, surrogate and simplex gradient ordering) do not necessarily
lead to improved computational times in all cases.
Rules for refining and coarsening the mesh are as follows.
Given a fixed rational number s > 1 and two integers w 6 1
and w+ P 0, the mesh size parameter Dm i is updated according to
the rule
Dm wi m
iþ1 ¼ r Di for some wi
 
f0; 1; . . . ; wþ g if an improv ed mesh po int is found
2
fw ; w þ 1; . . . ; 1g otherwise
ð9Þ
In MADS, the strategy for updating Dpi must be such that Dm
i 6 Dpi for
all i, and more, it must satisfy
lim Dm p
i ¼ 0 if and only if lim Di
i2K i2K
¼ 0 for any infinite subset of indices K ð10Þ
3.2.5. Termination
Some termination criterion must be specified, such as a mini-
mal value on the mesh size parameter Dm i , a maximal number of
objective function evaluations, or a maximal number of consecu-
tive unsuccessful function evaluations. It is shown in Dolan, Lewis,
and Torczon (2003) that the mesh size parameter is a measure of
first-order stationarity for GPS in the unconstrained case. As soon
as one termination criterion is achieved, the algorithm terminates.
Otherwise, it returns to step 2.
 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564 6561

3.3. Constraints handling Table 1

Parameter settings for the MADS algorithm.

For bound and linearly constrained problems, the only addi- Parameters Setting
tional requirement over those of unconstrained problems is that Termination parameters
the set of poll directions must be selected so as to conform to Mesh size tolerance 106
the geometry of the constraints. In this study, non-linear con- Maximum number of function evaluations 1000
straints are treated using a filter. Filter-based methods attempt Maximum number of consecutive POLL failures 50
Maximum CPU time (s) 120
Mesh parameters
Initial mesh size ðDm
0 Þ
1
Mesh refinement factor 0.5
Mesh coarsening factor 1

to minimize both the objective function f and a non-negative

aggregate constraint violation function h, where h satisfies the con-
dition that h(x) P 0 with h(x) = 0 if and only if x is feasible.
In the context of MADS, a filter is a collection of points, none of
which dominates any other in the set with respect to their objec-
tive and constraint violation function values. That is to say, for
any two points x; y in the filter, the condition f(x) < f(y) and
h(x) < h(y), cannot hold. Polling is performed around either the best
feasible point found thus far, or the least infeasible point in an at-
tempt to add new points to the filter-preferentially new poll cen-
ters. A more detailed explanation can be found in Audet and
Dennis (2004).
Equality constraints are difficult to handle because of basic
properties of the MADS algorithm, and also due to numerical con-
siderations. Equality constraints are difficult to handle because of
Fig. 5. Feasible operation region for the cogeneration unit 2.
basic properties of the MADS algorithm, and also due to numerical
considerations. In order to avoid the problems that equality con-
straints present, one variable should be eliminated and these con-
straints should be reformulated as inequalities.

4. Case studies

Three examples taken from the optimization literature are used

Fig. 6. Feasible operation region for the third unit.
to show the validity and effectiveness of the MADS algorithm. The
MADS algorithm can handle the cases of multiple heat areas and
power areas. For the demonstration, a single heat area and power
area system is first considered (case study I). This case study was
originally proposed by Guo, Henwood, and van Ooijen (1996).
The system tested is comprised of a conventional power unit,
two cogeneration units and a heat-only unit. The objective is to ob-
tain the minimum overall cost of units subject to constraints on
heat and power production and demands. The power capacity lim-
its for the conventional power unit are 0.0 and 150 MW. The heat
capacity limits for the heat only unit are 0.0 and 2695.2 MWth. The
feasible operating regions of the two cogeneration units are shown
in Figs. 5 and 6. The system power demand Pd and the heat demand
Hd are respectively 200 MW and 115 MWth.

Table 2
Optimal results for case study I.

Methods Optimal results Cost ($)

P1 P2 P3 H2 H3 H4
GA [5] 0 159.23 40.77 39.94 75.06 0 9267.2
LR [3] 0 160 40 40 75 0 9257.07
ACSA [10] 0.08 150.93 49 48.84 65.79 0.37 9452.2
GT [8] 0 157.92 42.08a 26 89a 0 9207.64
HS [1] 0 160 40 40 75 0 9257.07
SARGA [11] 0 159.99 40.01 39.99 75 0 9257.07
MADS–LHS 0.0017 159.80 40.2014 42.4042 72.3904 0.2054 9277.131
MADS–PSO 0.0092 157.9392 42.0516 42.4459 72.5522 0.0019 9301.357
MADS–DACE 0 160 40 40 75 0 9257.07
a
Outside the feasible operating region of cogeneration unit 3.
6562 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564

The objective function of the CHPED problem is: 2007). In order to further test the MADS approach and compare it
with conventional methods, two other tests (case study II and III)
C 1 ¼ 50P1 ð11Þ
are conducted with various power and heat demands. These cases
C 2 ¼ 2650 þ 14:5P 2 þ 0:0345P22 þ 4:2H2 þ 0:03H22 þ 0:031P2 H2 were presented by Song and Xuan (1998). To verify the performance
ð12Þ of the MADS, the program is ran a 50 times on the examples. The
parameters settings for the MADS algorithm are shown in Table 1.
C 3 ¼ 1250 þ 36P3 þ 0:0435P23 þ 0:6H3 þ 0:027H23 þ 0:011P3 H3
The poll directions can be set to MADS Positive basis N + 1 and
ð13Þ 2N, where N is the number of independent variables for the objec-
C 4 ¼ 23:4H4 ð14Þ tive function. The MADS Positive basis 2N directions explore more
X
4 points around the current point at each iteration. Therefore, the Po-
Min f ¼ Ci ð15Þ sitive basis 2N directions are considered as the POLL method in the
i¼1 present study to avoid finding a local minimum rather than the
X
3
global minimum. Both of the dynamic polling and the simplex gra-
Pd ¼ Pi ð16Þ dient strategies are considered to solve the problem. In addition to
i¼1
better performance, the simplex gradient strategy led to improved
X
4
Hd ¼ Hi ð17Þ computational times in all cases compared to the dynamic polling.
i¼2 Each of the CHPED problems was solved using the LHS, PSO and
s:t: 0 6 P1 6 150MW ð18Þ DACE SEARCH strategies.
These examples have been previously solved using a variety of
0 6 H4 6 2695:2MWth ð19Þ
techniques (both evolutionary and traditional mathematical pro-
The CHPED problem formulation of all test cases has been solved gramming methods). The resulting minimum cost are used to com-
using MADS incorporated in the NOMADm software (Abramson, pare the performance of MADS with those of other methods. No
constraints are active for this solution. Table 2 presents the best
solution of this problem obtained using the MADS algorithm and
those reported by other researchers. It can be seen from Table 2
that the result obtained using the MADS–DACE algorithm is the
same as the best known solution reported previously in the litera-
ture (Guo et al., 1996; Subbaraj et al., 2009; Vasebi et al., 2007).
Although Sudhakaran and Slochanal (2003) reported better solu-
tion, this solution is not feasible due to violation of constraints.
Also, the results reported by Subbaraj et al. (2009) have some
problem about their considered feasible operating region (Sadat
Hosseini & Gandomi, 2010). For brevity, only the convergence nat-
ure of the MADS–DACE algorithm is shown in Fig. 7. It is evident
from this figure that MADS–DACE has a considerably fast conver-
gence. Moreover, the best, worst and mean solutions, the standard
deviation and the average CPU times obtained the MADS–LHS,
MADS–PSO, MADS–DACE algorithms are shown in Table 3. It can
Fig. 7. The convergence nature of the MADS–DACE algorithm for case study I.
be seen from this table that MADS–DACE provides significant sav-
ings of computational effort in addition to its superior performance
compared to the other SEARCH methods. These short computing
Table 3
Performance of MADS based on different SEARCH methods for case study I. times allow for more cases to be studied with the goal of increasing
the confidence in the final solution.
Performance SEARCH method
Optimal results obtained by different methods for case studies II
LHS PSO DACE and III are shown in Table 4. It can be seen from this table that the
Best solution 9277.1311 9301.3567 9257.0754 best performance is obtained by the MADS–DACE algorithm for
Worst solution 10005.3805 9997.6576 9260.4317 both case studies. For case study III, the MADS–LHS and MADS–
Mean solution 9547.9151 9551.277 9257.5148
PSO algorithms also provide superior performance compared to
Standard deviation 213.3516 251.1569 1.0743
CPU time (s) 7.0422 7.5594 2.3078 the available methods in the literature. The convergence nature
of the MADS–DACE algorithm is shown in Fig. 8(a) and (b).

Table 4
Optimal results for case studies II and III.

Cases Demand Demand Optimal results Cost ($)

Pd Hd P1 P2 P3 H2 H3 H4
II 175 110 MADS–LHS 0.0066 134.3325 40.6609 44.371 65.6061 0.0229 8622.0748
MADS–PSO 0.1381 128.9305 45.9314 29.9893 80.0027 0.0080 8629.4156
MADS–DACE 0 135 40 35 75 0 8555.9625
GA1 [5] NA 8622.9
GA2 [5] NA 8769.6
III 175 110 MADS–LHS 0 181 44 47.3125 77.6875 0 10101.4753
MADS–PSO 0.0144 182.0725 42.9131 49.0611 75.9298 0.0091 10101.8942
MADS–DACE 0 185 40 50 75 0 10074.4875
GA1 [5] NA 10128
GA2 [5] NA 10132.4
 S.S. Sadat Hosseini et al. / Expert Systems with Applications 38 (2011) 6556–6564 6563

Fig. 8. The convergence nature of the MADS–DACE algorithm for (a) case study II, (b) case study III.

Table 5
Performance of MADS based on different SEARCH methods for case studies II and III.

Cases Demand Performance SEARCH method

Pd Hd LHS PSO DACE
II 175 110 Best solution 8622.0748 8629.4156 8555.9625
Worst solution 9442.1843 9046.6340 8555.9652
Mean solution 8921.7626 8799.8773 8555.9625
Standard deviation 252.3315 136.8504 0.0009
CPU time (s) 63.6000 56.5656 3.7094
III 225 125 Best solution 10101.4753 10101.8942 10074.4875
Worst solution 10833.7313 11393.4252 10074.4883
Mean solution 10295.4723 10455.1238 10074.4907
Standard deviation 236.1302 478.2026 0.0011
CPU time (s) 8.1516 7.0563 5.5281

Performance of MADS based on different SEARCH methods for
these case studies is illustrated in Table 5.
5. Conclusion
This paper has introduced a recent optimization method,
namely MADS to solve the CHP economic dispatch problem consid-
ering the feasible operating region. MADS is a recently developed
algorithm that is supported by a thorough convergence analysis.
The MADS method is illustrated using three test cases taken from
the literature. The LHS, PSO and DACE algorithms are employed
as effective search strategies in MADS to solve each of the CHPED
problems. The performance of the utilized MADS–LHS, MADS–
PSO, MADS–DACE methods are compared to that of other tech-
niques reported in the literature. The results clearly demonstrate
that the MADS-based methods are practical and valid for CHPED
applications. The MADS–DACE algorithm performs superior than
or as well as the other recent methods in terms of solution quality,
handling constraints and computation time.
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