Optimization with Constraints

Example – Economic Dispatch

𝐶1 = 𝑎1 + 𝑏1 𝑥12 → Cost of running unit 1

𝐶2 = 𝑎2 + 𝑏2 𝑥22 → Cost of running unit 2

𝐶 = 𝐶1 +𝐶2 = 𝑎1 + 𝑎2 + 𝑏1 𝑥12 +𝑏2 𝑥22 → Total Cost

Optimization Problem -

Minimization 𝐶 = 𝑎1 + 𝑎2 + 𝑏1 𝑥12 +𝑏2 𝑥22

Solution by Substitution
Minimization 𝐶 = 𝑎1 + 𝑎2 + 𝑏1 𝑥12 +𝑏2 𝑥22
• Subject to 𝑥1 +𝑥2 = 𝐿
⇒ 𝑥2 = L − 𝑥1
Unconstraint
⇒ 𝐶 = 𝑎1 + 𝑎2 + 𝑏1 𝑥12 +𝑏2 (L − 𝑥1 )2 Optimization
Lagrange Multiplier
𝜕𝑓
𝜕𝑥1
• Minimize 𝛻𝑓 =
𝜕𝑓
𝑓 𝑥1 , 𝑥2 = 0.25𝑥12 + 𝑥22 𝜕𝑥2

Subject to constraint 𝜔 𝑥1 , 𝑥2 = 5 − 𝑥1 − 𝑥2 = 0
𝛻𝑓

𝑓 𝑥1 , 𝑥2 = 6 𝛻𝑓

𝑓 𝑥1 , 𝑥2 = 5

𝛻𝑓
Lagrange Multiplier
• Solution must be on the constraints

• To reduce the value of 𝑓 , we must move in

the direction opposite to the gradient.
𝛻𝑓
𝜔 𝑥1 , 𝑥2 • We stop when the gradient of the function
is perpendicular to the constraint because moving
𝑓 𝑥1 , 𝑥2 = 6 further would increase the value of the function.
𝐴 𝛻𝑓
𝑓 𝑥1 , 𝑥2 = 5 • At the optimum the gradient of the function is
parallel to the gradient of the constraint
𝛻𝜔
𝐶

𝐵
𝛻𝜔

𝛻𝜔