Multi-Period Robust Optimization for Energy and

Reserve Scheduling under a N-K Security Criteria

Raffael Russo
PUC-Rio

2022

Abstract

In a N-K security constrained model we extend Street et al. (2014) by proposing

a multi-period robust optimization approach embedded with a Benders algorithm.
In a general sense our model allows for both generator and transmission line failure
and features the standard non-convexities in the literature. To solve the problem
we use the fact that contingencies are time-separable, i.e., the set of constraints
that define a contingency are related to one period at a time. This separability
allows us to easily calculate and interpret duals for the robust optimization. We
solve a simple case-study and show convergence. Further testing with a bigger grid
is intended as a second step.

1 Introduction
The Unit Commitment Problem is well documented among the literature of energy and
reserve scheduling.1 Models with many generators and transmission lines started be-
ing analysed and optimized via linear programming techniques. When the deterministic
equivalent approach is computationally attainable it is the main tool to solve these prob-
lems. For a convex setting with continuous variables, prices are fully determined by the
lagrangian multiplier of generation constraints and interpreted as the locational marginal
1
See Kerr et al. (1966) for a first approach and Padhy (2004) for a bibliographical survey.

1
cost; the fundamental theorem of linear programming holds and these lagrange multi-
pliers are the solution to the dual problem that delivers the same objective value of the
primal.

With the development of understanding of real-world problems, two types of restrictions

were added to the model: non-convex constraints such as minimum up-time, ramps and
start-up costs and the binary variables that correspond to these constraints; security
criteria constraints that pertain to cases where some generators or transmission lines are
not available.

The first type of restrictions culminated in approaches such as integer relaxation, analysis
of lagrangian dual and convex hull pricing to attain the prices of equilibium.2

The second type is more related to the dimensionality of the problem and called for itera-
tive approaches such as Benders decomposition or Column Constraint Generation, as well
as worst-case approaches such as robust optimization techniques. In a one-period model
without transmission lines security constraints, under a N-K security criteria, Street et al.
(2011a) use the notion of umbrella contingencies to define the robust counterpart of the
original problem and find the optimal solution. For a multi-period setting, again consid-
ering only generation security constraints, Street et al. (2011b) redefine a multi-period
model with non-convex constraints to a robust bi-level formulation and solves its equiva-
lent single-level mixed-integer programming problem.3 Finally, Street et al. (2014) embed
in a one-period model both generation and transmission line security constraints and solve
a tri-level robust problem with Benders decomposition.

Our work aims to fill a gap in the literature by proposing a multi-period robust optimiza-
tion approach embedded with a Benders algorithm for a model that features standard
non-convexities of the literature and attains a N-K security criteria of both generators and
transmission lines.4 Additionally, as explained further, our definition of contingency al-
lows us to make use of time-separability, making room for us to interpret our multi-period
2
See for example Guan et al. (2003) and Andrianesis et al. (2020).
3
Constraints such as minimum power output, Ramp-down(up) limits and shut-down (start-up) ramp
limits.
4
Constraints such as minimum time-on (off), Ramp-down(up) limits and shut-down (start-up) ramp
limits that make the problem non-convex and are widely used in the literature.

2
energy and reserve scheduling sub-problems from interesting perspectives.

We define the security criteria as contingency states that are valid across all periods of the
optimization. That is, if a generator or a transmission line is set off in a given state, it will
be so for all periods in that state. The time-independent states, then, makes our second-
level problem time-inseparable because of binary variables that are valid cross-period.
Despite that we argue that: in the third-level problem the binary variables are fixed
because they were chosen in the second-level; the set of constraints of each contingency
relates only to one-period at a time. This makes the third-level problem time-separable
and very similar to the third-level of Street et al. (2014). The duals become, then, easy
to calculate and interpret. Finally, for the second-level we define our objective function
as the addition of the objectives of each dual, and unite the set of constraints of each
dual, returning to our multi-period setting. A further discussion about our approach is
then developed.

The paper is organized as follows: section 2 introduces the variables and the deterministic
equivalent model; section 3 defines the tri-level problem, discusses the time-separability
of the third-level, derives the merged second-level problem - with the third-level duals -
and instantiate the benders decomposition approach. Section 4 solves a basic example
that attains N-2 security criteria without deficit. Section 5 concludes.

2 The Model
Here we introduce the nomenclature and present the equations of the deterministic-
equivalent model.

3
2.1 Nomenclature
Table 1: Constants

Constants Definition
T Total time of the model (h)
t time (h)
gn generator
l transmission line
b bus
x(l) Transmission line Reactance (Oms)
Su(l) Transmission line Susceptance (S)
F max (l) Transmission line Maximum Capacity (MW)
Gmax (gn) Generator Maximum Capacity (MW)
Gmin (gn) Generator Minimum Capacity (MW)
cdef Deficit Unitary Cost ($/MWh)
d(b,t) demand (MW)
c(gn) Generator Unitary Cost ($/MWh)
crU p (gn) Generator Ramp up cost ($/MWh)
crDn (gn) Generator Ramp down cost ($/MWh)
cSup (gn) Generator Start-up cost ($/MWh)
cSdn (gn) Generator Shut-down cost ($/MWh)
maxrU p (gn) Maximum Reserve Up (MW)
maxrDn (gn) Maximum Reserve Down (MW)
maxRampU p (gn) Maximum Ramp Up (MW)
maxRampDn (gn) Maximum Ramp Down (MW)
S Rup (gn) Start-up maximum Ramp Up (MW)
S Rdn (gn) Shut-down maximum Ramp Down (MW)
v(gn,0) Generator status at time 0 (Binary, 1 if on)
g(gn,0) Generator generation at time 0 (MW)
initup (gn) Time Generator is initially on
initdn (gn) Time Generator is initially off
T minU p Generator Minimum up-time (h)
T minDn Generator Minimum down-time (h)
nG Number of Generators
nL Number of transmission lines
nB Number of buses
K Number of maximum unavailable components at any time
aL(l,k,t) Availability of transmission line l in contingency k (Bin, 1 if available)
aG(gn,k,t) Availability of Generator g in contingency k (Bin, 1 if available)
nK Total number of contingencies
to(l) Destination bus of line l
fr(l) Origin bus of line l

4
 Table 2: Sets

Sets Definition
G Set of Generators indexes
G(b) Set of Generators indexes of bus b
B Set of buses indexes
L Set of transmission lines indexes
K Set of states indexes

Table 3: Decision variables of the model

Decision Variables Definition

g(gn,t) Generation at the pre-contingency state (MW)
rup (gn,t) Generator Reserve up at the pre-contingency state
rdn (gn,t) Generator Reserve down at the pre-contingency state
f(l,t) Power flow of line at the pre-contingency state
θ(b,t) Phase angle at bus at the pre-contingency state
y(gn,t) Bin, 1 if Generator is started-up at time t
z(gn,t) Bin, 1 if Generator is shut-down at time t
v(gn,t) Bin, 1 if Generator is on at time t
g k (gn,k,t) Generation at contingency state k (MW)
f k (l,k,t) Power flow of line at contingency state k
θk (b,k,t) Phase angle at the contingency state k
α Approximation of the system power imbalance in the master problem
∆N wc (b,t) Power imbalance at the worst-case contingency state
∆P wc (b,t) Power imbalance at the worst-case contingency state
θwc (b,t) Phase angle at the worst-case contingency state
f wc (l,t) Power flow of line at worst-case contingency state
g wc (gn,t) Generation at worst-case contingency state

All Variables dependence on time, generator, transmission line or bus will be underwritten
in the model for simplicity of notation.

2.2 Deterministic-equivalent Problem

The deterministic Equivalent problem is a minimization where the pre-contingency and

all contingency states are accounted for. Notice that if we have N components (generators
plus transmission lines), for a N-K criteria we have a total of K N
P

k=1 k contingency states

plus one pre-contingency state. As the problem might be computationally infeasible due
to solving-time or memory allocation issues, we will recur to decomposition approaches.

5
Deterministic-Equivalent Problem
X X
p up
cgn ggn,t + (crU rDn dn Sup Sdn

Min gn )rgn,t + cgn rgn,t + cgn ygn,t + cgn zgn,t
Ω
t∈[T ] gn∈G

s.t
X X X
ggn,t + fl,t − fl,t = db,t ∀ b ∈ B, t ∈ [T ]
gn∈Gb l∈L|to(l)=b l∈L|f r(l)=b
1

fl,t = θf r(l),t − θto(l),t ∀ l ∈ L, t ∈ [T ]
xl
θf r(1),t = 0 ∀ t ∈ [T ]

− vgn,t + vgn,t−1 + ygn,t − zgn,t = 0 ∀ gn ∈ G, t ∈ [T ]

up dn
(ggn,t + rgn,t ) − (ggn,t−1 − rgn,t−1 ) ≤ maxRampU
gn
p Rup
vgn,t−1 + Sgn ygn,t ∀gn ∈ G, t ∈ [T ]
up dn
(ggn,t−1 + rgn,t−1 ) − (ggn,t − rgn,t ) ≤ maxRampDn
gn
Rdn
vgn,t + Sgn zgn,t ∀ gn ∈ G, t ∈ [T ]
t
X t
X
ygn,j ≤ vgn,t ≤ 1 − zgn,j
minU p minDn +1, j>1
j=t−Tgn
j=t−Tgn +1, j>1

vgn,t = 1 ∀ gn ∈ G, t ∈ [initup (gn)], if initup (gn) > 0

vgn,t = 0 ∀ gn ∈ G, t ∈ [initdn (gn)], if initdn (gn) > 0

up
ggn,t + rgn,t ≤ Gmax
gn vgn,t ∀ gn ∈ G, t ∈ [T ]
dn
ggn,t + rgn,t ≥ Gmin
gn vgn,t ∀ gn ∈ G, t ∈ [T ]

− Flmax ≤ fl,t ≤ Flmax ∀ l ∈ L, t ∈ [T ]

up
rgn,t ≤ maxrU p
gn vgn,t ∀ gn ∈ G, t ∈ [T ]
dn
rgn,t ≤ maxrDngn vgn,t ∀ gn ∈ G, t ∈ [T ]
X X X
k k k
ggn,k,t + fl,k,t − fl,k,t = db,t ∀ b ∈ B, t ∈ [T ], k ∈ K
gn∈Gb l∈L|to(l)=b l∈L|f r(l)=b

k 1 k


fl,k,t = θf r(l),t − θto(l),k,t ∀ l ∈ L, t ∈ [T ], k ∈ K
xl
θfkr(1),k,t = 0 ∀ t ∈ [T ], k ∈ K

− Flmax aLl,k ≤ fl,k,t

k
≤ Flmax aLl,k ∀ l ∈ L, ∀k ∈ K, t ∈ [T ]
dn k up
(ggn,t − rgn,t )aGgn,k ≤ ggn,k,t ≤ (ggn,t + rgn,t )aGgn,k ∀ gn ∈ G, ∀k ∈ K, t ∈ [T ]

6
 up dn k k k
where Ω := {ggn,t , rgn,t , rgn,t , fl,t , θb,t , ygn,t , zgn,t , vgn,t , ggn,k,t , θb,k,t , fl,k,t } ∀t ∈ [T ], gn ∈ G,
l ∈ L ,k ∈ K, and vgn,0 = v(gn, 0), ggn,0 = g(gn, 0)

3 Tri-level Model
For the tri-level model we first define a master problem, in which we embed the benders
cuts and two sub-level problems. Next we define the three levels and explain their inter-
pretation, respectively. For the remainder of the paper bold variables represent vectors
of the variable over all subscript sets; superscript ∗ represents the optimal value of a
variable, from a previous subproblem.

The first-level problem, also denoted as the master problem, is compromised by the pre-
contingency constraints, and its objective function pertains the pre-contingency costs
plus a deficit cost, that is, the value of the subproblems that compromise the contingency
states. With the Benders decomposition method, constraints for α will be iteratively
added. Its important to notice that as our deterministic-equivalent model has a solution
without deficit for a N-K security constrained grid, α should zero in the robust solution.

The second-level problem selects the contingency state that is mostly violated given
the pre-contingency schedule of the master problem. By mostly violated we mean the
contingency state that has the greatest sum of generation mismatch (generation produced
versus generation demanded) considering all buses.

Finally, the third-level problem selects the contingency-plan that minimizes the total
mismatch in generation for the given contingency state selected in the second-level.

7
 First-level Problem, F L :=
T X
X
p up
cgn ggn + (crU rDn dn Sup Sdn def

Min gn )rgn,t + cgn rgn,t + cgn ygn,t + cgn zgn,t + c α
Ωf l
t=1 gn∈I

s.t.
X X X
ggn,t + fl,t − fl,t = db,t ∀ b ∈ B, t ∈ [T ]
gn∈Gb l∈L|to(l)=b l∈L|f r(l)=b
1

fl,t = θf r(l),t − θto(l),t ∀ l ∈ L, t ∈ [T ]
xl
θf r(1),t = 0 ∀ t ∈ [T ]

− vgn,t + vgn,t−1 + ygn,t − zgn,t = 0 ∀ gn ∈ G, t ∈ [T ]

up dn
(ggn,t + rgn,t ) − (ggn,t−1 − rgn,t−1 )maxRampU
gn
p Rup
vgn,t−1 + Sgn ygn,t ∀gn ∈ G, t ∈ [T ]
up dn
(ggn,t−1 + rgn,t−1 ) − (ggn,t − rgn,t )maxRampDn
gn
Rdn
vgn,t + Sgn zgn,t ∀ gn ∈ G, t ∈ [T ]
t
X
vgn,t ≥ ygn,j
minU p
j=t−Tgn +1, j>1
t
X
vgn,t ≤ 1 − zgn,j
minDn +1, j>1
j=t−Tgn

vgn,t = 1 ∀ gn ∈ G, t ∈ [initup (gn)], if initup (gn) > 0

vgn,t = 0 ∀ gn ∈ G, t ∈ [initdn (gn)], if initdn (gn) > 0

up
ggn,t + rgn,t ≤ Gmax
gn vgn,t ∀ gn ∈ G, t ∈ [T ]
dn
ggn,t + rgn,t ≥ Gmin
gn vgn,t ∀ gn ∈ G, t ∈ [T ]

fl,t ≤ Flmax ∀ l ∈ L, t ∈ [T ]

fl,t ≥ −Flmax ∀ l ∈ L, t ∈ [T ]
up
rgn,t ≤ maxrU p
gn vgn,t ∀ gn ∈ G, t ∈ [T ]
dn
rgn,t ≤ maxrDn
gn vgn,t ∀ gn ∈ G, t ∈ [T ]

up dn
where Ωf l := {ggn,t , rgn,t , rgn,t , fl,t , θb,t , ygn,t , zgn,t , vgn,t ∀ t ∈ [T ], gn ∈ G, l ∈ L}, and
vgn,0 = v(gn, 0), ggn,0 = g(gn, 0)

8
Second-level Problem := D(g∗gn,t , rup,∗ dn,∗
gn,t , rgn,t )

Max δ(g∗gn,t , rup,∗ dn,∗

gn,t , rgn,t , aGgn , aLl )
aGgn , aLl

s.t.

aGgn ∈ {0, 1}, ∀gn ∈ G

aLl ∈ {0, 1}, ∀l ∈ L

X X
aGgn + aLl ≥ nG + nL − K
gn∈G l∈L

Third-level Problem := δ(g∗gn,t , rup,∗ dn,∗ wc wc

gn,t , rgn,t , aGgn , aLl )
XX
wc wc
Min ∆Nb,t + ∆Pb,t
Ωtl
t∈[T ] b∈B

s.t
X X X
wc wc wc wc wc
ggn,t + fl,t − fl,t = db,t − ∆Nb,t + ∆Pb,t : (βb,t ) ; ∀b ∈ N, t ∈ [T ]
i∈Ib l∈L|to(l)=b l∈L|f r(l)=b
wc
wc aLl
θfwcr(l),t − wc


fl,t = θto(l),t , ∀l ∈ L, t ∈ [T ] : (ωl,t )
xl
wc
− F̄l ≤ fl,t ≤ F̄l ∀l ∈ L, t ∈ [T ] : (πl,t , σl,t )
 
∗ dn,∗ ∗ up,∗
aGwc wc
≤ aGwc


gn g gn,t − rgn,t ≤ ggn,t gn ggn,t + rgn,t ∀gn ∈ G, t ∈ [T ] : (γgn,t , χgn,t )
wc wc
∆Nb,t ≥ 0, ∆Pb,t ≥ 0; ∀b ∈ B, t ∈ [T ]

wc wc wc wc wc
where Ωtl := {∆Nb,t , ∆Pb,t , θb,t , fl,t , ggn,t , ∀b ∈ B, gn ∈ G, l ∈ L, t ∈ [T ]}.

3.1 Time-separability and Duals

Notice that the third-level is time-separable, that is, it can be written as the sum of
problems for each time t.

9
 P ∗ up,∗ dn,∗ ∗ ∗ 5
Mathematically, third-level problem := t∈[T ] δt (ggn,t , rgn,t , rgn,t , aGgn , aLl ) where:

δt (g∗gn,t , rup,∗ dn,∗ wc wc

gn,t , rgn,t , aGgn , aLl ) =
X
wc wc
Min ∆Nb,t + ∆Pb,t
Ωtl
b∈B

s.t
X X X
wc wc wc wc wc
ggn,t + fl,t − fl,t = db,t − ∆Nb,t + ∆Pb,t : (βb,t ) ; ∀b ∈ N
i∈Ib l∈L|to(l)=b l∈L|f r(l)=b
wc
wc aLl
θfwcr(l),t − wc


fl,t = θto(l),t , ∀l ∈ L : (ωl,t )
xl
wc
− F̄l ≤ fl,t ≤ F̄l ∀l ∈ L : (πl,t , σl,t )
 
∗ dn,∗ ∗ up,∗
aGwc wc
≤ aGwc


gn ggn,t − rgn,t ≤ ggn,t gn ggn,t + rgn,t ∀gn ∈ G : (γgn,t , χgn,t )
wc wc
∆Nb,t ≥ 0, ∆Pb,t ≥ 0; ∀b ∈ B

where Ωtl,t is the subset of Ωtl with t fixed. This third-level problem, for a given t is
identical to the one in Street et al. (2014). The dual, for each t, is:

δtdual (g∗gn,t , rup,∗ dn,∗ wc wc

gn,t , rgn,t , aGgn , aLl ) =
X X Xh 
dn,∗

i
∗ ∗
max βb,t db,t − (πl,t − σl,t )F̄l + γgn,t aGwc
gn g gn,t − rgn,t − χ gn aGwc
gn ggn + r up,∗
gn
Ωdual
tl,t b∈B l∈L gn∈G

s.t

βb,t + γgn,t − χgn,t ≤ 0; ∀ (b ∈ B, gn ∈ Gb )

βto(l),t − βf r(l),t + ωl,t + πl.t − σl,t = 0; ∀l ∈ L

− 1 ≤ βb,t ≤ 1; ∀b ∈ B
X ωl,t aLwc X ωl,t aLwc
l l
− = 0; ∀b ∈ B
xl xl
l∈L|f r(l)=b l∈L|to(l)=b

πl,t ≥ 0, σl,t ≥ 0; ∀l ∈ L, γgn,t ≥ 0, χgn,t ≥ 0; ∀gn ∈ G

where Ωdual
tl,t := {βb,t , γl,t , πl,t , σl,t , χgn,t , wl,t , ∀b ∈ B, l ∈ L, gn ∈ G} for t given. The dual

of δ(·) is a maximization with objective function defined by the sum of the objectives of
δtdual (·) for all t and constraints the union of the constraints of δtdual (·) for all t. That is:
5
In the definition of δt (·) the vectors do not vary on t, only in their first argument. Notice that time
t is not bold as it is not a vector in this case.

10
δ dual (g∗gn,t , rup,∗ dn,∗ wc wc
gn,t , rgn,t , aGgn , aLl ) =
XX X Xh 
dn,∗

i
∗ ∗
max βb,t db,t − (πl,t − σl,t )F̄l + γgn,t aGwc
gn g gn,t − rgn,t − χ gn aGwc
gn ggn + r up,∗
gn
Ωdual
tl t∈[T ] b∈B l∈L gn∈G

s.t

βb,t + γgn,t − χgn,t ≤ 0; ∀b ∈ B, gn ∈ Gb , t ∈ [T ]

βto(l),t − βf r(l),t + ωl,t + πl.t − σl,t = 0; ∀l ∈ L, t ∈ [T ]

− 1 ≤ βb,t ≤ 1; ∀b ∈ B, t ∈ [T ]
X ωl,t aLwc X ωl,t aLwc
l l
− = 0; ∀b ∈ B, t ∈ [T ]
xl xl
l∈L|f r(l)=b l∈L|to(l)=b

πl,t ≥ 0, σl,t ≥ 0; ∀l ∈ L, t ∈ [T ], γgn,t ≥ 0, χgn,t ≥ 0; ∀gn ∈ G, t ∈ [T ]

where Ωdual Ωdual

S
tl := tl,t . We can now write the merged second-level problem, also known
t∈[T ]
as the oracle problem, which is:

Dm (g∗gn,t , rup,∗ dn,∗

gn,t , rgn,t ) =
XX X Xh 
dn,∗

i
∗ ∗ up,∗
max
m
β d
b,t b,t − (π l,t − σ l,t )F̄ l + γgn,t aGgn ggn,t − rgn,t − χ gn aGgn ggn + rgn
Ωsl
t∈[T ] b∈B l∈L gn∈G

s.t

aGgn ∈ {0, 1}, ∀gn ∈ G

aLl ∈ {0, 1}, ∀l ∈ L

X X
aGgn + aLl ≥ nG + nL − K
gn∈G l∈L

βb,t + γgn,t − χgn,t ≤ 0; ∀b ∈ B, gn ∈ Gb , t ∈ [T ]

βto(l),t − βf r(l),t + ωl,t + πl.t − σl,t = 0; ∀l ∈ L, t ∈ [T ]

− 1 ≤ βb,t ≤ 1; ∀b ∈ B, t ∈ [T ]
X ωl,t aLl X ωl,t aLl
− = 0; ∀b ∈ B, t ∈ [T ]
xl xl
l∈L|f r(l)=b l∈L|to(l)=b

πl,t ≥ 0, σl,t ≥ 0; ∀l ∈ L, t ∈ [T ], γgn,t ≥ 0, χgn,t ≥ 0; ∀gn ∈ G, t ∈ [T ]

11
where Ωm
sl := {βb,t , γl,t , πl,t , σl,t , χgn,t , wl,t , aGgn , aLl , ∀b ∈ B, l ∈ L, gn ∈ G, t ∈ [T ]}.

Dm is a mixed-integer bilinear problem. We transform it into a mixed-integer linear

problem by defining the variables hgn,t = χgn,t aGgn , ∀gn ∈ G, t ∈ [T ], yl,t = ωl,t aLl ,
zl,t = γl,t aGl , ∀l ∈ L, t ∈ [T ] and constants χ̄ = γ̄ = 1, ω̄ = 2. Re-writing the problem:

Dml (g∗gn,t , rup,∗ dn,∗

gn,t , rgn,t ) =
XX X Xh 
dn,∗

i
∗ ∗ up,∗
max βb,t db,t − (πl,t − σl,t )F̄l + γgn,t aGgn ggn,t − rgn,t − χgn aGgn ggn + rgn
Ωml
sl t∈[T ] b∈B l∈L gn∈G

s.t

aGgn ∈ {0, 1}, ∀gn ∈ G

aLl ∈ {0, 1}, ∀l ∈ L

X X
aGgn + aLl ≥ nG + nL − K
gn∈G l∈L

βb,t + γgn,t − χgn,t ≤ 0; ∀b ∈ B, gn ∈ Gb , t ∈ [T ]

βto(l),t − βf r(l),t + ωl,t + πl.t − σl,t = 0; ∀l ∈ L, t ∈ [T ]

− 1 ≤ βb,t ≤ 1; ∀b ∈ B, t ∈ [T ]
X yl,t X yl,t
− = 0; ∀b ∈ B, t ∈ [T ]
xl xl
l∈L|f r(l)=b l∈L|to(l)=b

πl,t ≥ 0, σl,t ≥ 0; ∀l ∈ L, t ∈ [T ]

− aLl ω̄ ≤ yl,t ≤ aLl ω̄; ∀l ∈ L, t ∈ [T ]

0 ≤ γgn,t − zgn,t ≤ (1 − aGgn ) γ̄; ∀gn ∈ G t ∈ [T ]

0 ≤ zgn,t ≤ γ̄aGgn ; ∀gn ∈ G, t ∈ [T ]

0 ≤ χgn,t − hgn,t ≤ (1 − aGgn ) χ̄; ∀gn ∈ G, t ∈ [T ]

0 ≤ hgn,t ≤ χ̄aGgn ; ∀gn ∈ G, t ∈ [T ]

where Ωml
sl := {βb,t , γl,t , πl,t , σl,t , χgn,t , wl,t , aGgn , aLl , hgn,t , yl,t , zl,t ∀b ∈ B, l ∈ L, gn ∈

G, t ∈ [T ]}.

Notice that the oracle problem Dml (·) is a convex function of its parameters {g∗gn,t , rup,∗ dn,∗
gn,t , rgn,t }

since it is a maximization of linear functions. It is out of the scope of the paper to prove
this, but an intuition for that is shown with a simple example. Suppose we have a

12
problem:

f (x) :=

max ax + b
{a,b}∈A

where A = {{a1 , b1 }, {a2 , b2 }, {a3 , b3 }, {a4 , b4 }, {a5 , b5 }}. We, then, have a function of the
form:

Figure 1: Convexity on x is guaranteed for this problem since it is a maximization of

linear functions.

such that f (x) is denoted by the blue line.

3.2 Benders Algorithm

To get rid of the space-dimensionality issue presented in the deterministic formulation,

the benders algorithm is applied to the problem. For that we use the first-level and the
merged-linear second-level. Briefly, in an iterative approach we solve a relaxed problem
which is the first-level, use the solution in the second-level and get the values for a cut
that will be added to the new FL. The variable α represents the approximation of Dml (·).

13
Below we elucidate the step-by-step for each iteration i:

1. Define LB = −M , U B = +M where M is a large value.

2. Solve F Li . Save solution {gign,t , rup,i dn,i i

gn,t , rgn,t , α } and update LB = F L
i6

3. Solve the problem Dml ({gign,t , fil,t , rup,i dn,i i

gn,t , rgn,t }), compute the objective value Dml

and save {zgn,t , hgn,t }. Update U B = min{U B, F L − cdef αi + cdef Dml

i
} and add
constraint
X X
i i i
− hign,t +



α ≥Dml + ggn,t − ggn,t zgn,t
t∈[T ] gn∈G
 
i
dn dn,i i up up,i
−hign,t



+ rgn,t − rgn,t −zgn,t + rgn,t − rgn,t

to F Li . This defines F Li+1 .

4. If (U B − LB) ≤ ϵ stop the algorithm. Else, return to step 27

3.3 Level Method

The Benders algorithm becomes faster if we use regularization techniques. Here we

expose the level method. The basic difference from the standard Benders approach is
at the second step of the algorithm presented in the last subsection. The solution saved
{gign,t , rup,i dn,i i i
gn,t , rgn,t , α } will not come from F L but instead from a projection problem

defined by:

X X
φggn,t + φup dn

Min gn,t + φgn,t
φ
x,φ
t∈[T ] gn∈G

s.t.

φ ≥ x − xi−1

φ ≥ xi−1 − x

objective_function_of_FLi ≤ LB + ϕ(U B − LB)

constraints of FLi
6
We indistinctly use F Li for the minimization problem and the objective value of the first-level at
iteration i.
7
We set ϵ = 10−4

14
where ϕ ∈ [0, 1] and:

x = {gign,t , rup,i dn,i

gn,t , rgn,t }

φg gn,t , φup gn,t , φdn gn,t }

φ = {φ

objective_value_of_FLi =
X X
p up
cgn ggn + (crU rDn dn Sup Sdn def

= gn )rgn,t + cgn rgn,t + cgn ygn,t + cgn zgn,t + c α
t∈[T ] gn∈G

So in fact we are choosing the x that is closest to xi−1 , satisfying all constraints of the
master problem F Li and that the objective_value of the master is lower or equal to
a convex combination of the upperbound and the lowerbound. For a one-dimensional
problem the intuition graphically is as follows: the first x selected is x1. After calculation
of the upperbound 1, U B1, and lowerbound 1, LB1, all values of x below the intersection
of the First cut with the x-axis could be chosen by the standard benders approach. Within
the level method we change the objective function and add a constraint on the previous
objective function such that the x chosen is the closest to the previous, satisfying all
constraints of the previous iteration master problem.

15
Figure 2: First Cut. Now all values of x for the second cut must be such that the
approximate function applied to x is below the dashed line. The approximate function is
defined by the tangent line through UB1 and the x-axis in this first iteration.

Figure 3: Second Cut. The new x, x2, is the closest to x1 that satisfies approximate
function lower or equal then the convex combination of the lowebound LB1 and the
upperbound U B1

16
4 Interpretation of the Model
Interpretation of our approach is uphold in this section and we do it by parts. First we
address the robust-optimization, then we discuss the time-separability approach and the
interpretation of the third-level. We, then, talk about the benders cut as an extension
of the one-period problem and finally we make some comments on possible variations of
the problem.

In the tri-level formulation the second-level problem is a robust optimization. For a given
set of pre-contingency variables chosen in a first-stage the worst-case contingency state is
selected. With that, we choose the worst-case contingency schedule that minimizes the
generations mismatch.

The third-level might, then, be interpreted as the choice of a schedule that minimizes the
deficit in the worst-case at each period separately, since the ramp up (down) restrictions
that appear in the pre-contingency, and attain a cross-period nature for the first-level,
are substituted by pre-contingency generation plus (less) reserve up (down) bounds in
the third-level. This nested formulation implies time-separability in the last-level and
allows us to look at each problem individually. The case, then, becomes an intuitive
extension of a one-period schedule, but with non-convex constraints that are observed in
the first-stage and are valid only for a multi-period problem.8 The fact that the dual of
the multi-period third-level is the summation of all one-period duals is also evident in the
merged-second level, but here we have cross-period variables which are the binaries for
generators and transmission lines, so time-separability is no longer attained in this level.

Our benders cut linear function (the r.h.s. in our description) is the sum in time of the one-
period affine functions. Notice that Dml is in fact a summation in time. An understanting
of the cut might be that the time dimension represents indeed new variables, that is,
generator 1 at time 1 is different from generator 1 at time 2. Every variable is unique not
only in space (the first dimension, i.e., {gn, l}, but in time.

Finally our contingencies are valid for the entire spectrum of the solution, from time 1
8
By the term summation we mean that the objective function of the multi-period dual is the sum of
the objectives of each one-period dual and the constraints

17
to T. We argue that this simple specification is an acceptable representation of the real
world since if a component is not working at a specific time it will probably be so for some
hours ahead (in our case the last period of optimization); our approach considers that
we start our optimization at the right time a component is off, so contingencies are valid
in period 1. Other specifications could be time independent contingency states, where
contingencies are valid only through one period; s-time contingencies, same as previous
but for "s" periods; probability contingencies, where at each time a component that is
previously off has a probability of getting back functioning. Still, the main discussion of
our paper would not be altered by these specifications.

5 Case-Study
Our case-study is analysed here. The values of each variable are defined in the appendix.
Here we discuss the main characteristics of the model and show the convergence steps.

The example has 5 generators and 9 transmission lines. So for an N-2 security criteria we
have 105 contingency states and one pre-contingency state.9 There are 6 buses and total
period is 6. Within this small example, only pertaining contingency-states we have 12600
variables and 30827 constraints.10 . In the benders approach the merged second-level has
837 constraints and using GLPK.optimizer 62 cuts are added iteratively, for a total of 899
constraints.11 So the space-dimensionality issue is indeed treated. For problems with a
bigger grid the difference in size would be even larger because the number of contingency
states grows exponentially. For the case-study presented in this section time-complexity
is not an issue and the benders algorithm takes longer to solve than the deterministic-
equivalent. Below we show the space-dimension and time-dimension for the two solution
methods with different security constraints. Model was implemented in a computer with
8GB RAM, processor Intel(R) Core(TM) i5-8265U.
The number of contingency states is 14 14
9



1 + 2 = 105
10 k k k
For the variables we have {ggn,k,t , fgn,k,t , θgn,k,t } (5+9+6)*105*6 = 12600
11
Notice that the pre-contingency constraints are the same in the deterministic problem and the
first-level of benders except for α > 0.

18
 Table 4: Space-Dimension

Number of Constraints
K Objective Value
Deterministic-Equivalent Benders Decomposition
1 35755.0 4785 1525
2 236515.0 31539 1603

Table 5: Time-Dimension

Time (s)
K Objective Value
Deterministic-Equivalent Benders Decomposition
1 35755.0 0.683 0.727
2 236515.0 25.298 72.114

6 Conclusion
In the present paper we extend the model of Street et al. (2014) by allowing for a multi-
period setting that attains a N-K security constraint for both generators and transmission
lines. Our generalization features the possibility of the main standard non-convex restric-
tions of the literature such as ramp up (down) limits, minimum star-up (shut-down) times,
initial constraints for generators (i.e. mandatory start-up of a generator in the initial pe-
riod) and binary variables for the contingencies. To address the space-dimensionality issue
that appears in the deterministic formulation we define a trilevel problem. By noticing
that the third-level is a linear programming problem we calculate its dual. For that we
also highlight the time-separability property of the last-stage, attaining an interpretable
problem that is a generalization of the one in Street et al. (2014). We then solve it with
the benders decomposition for a simple case-study.

For further research we expect to test our approach for a bigger grid; analyse other
specifications for the contingency-plans; test faster decomposition approaches such as the
level method for benders and parallel programming.

References
Panagiotis Andrianesis, Dimitris Bertsimas, Michael C. Caramanis, and William W.
Hogan. Computation of convex hull prices in electricity markets with non-convexities

19
 using dantzig-wolfe decomposition. 12 2020.

Xiaohong Guan, Qiaozhu Zhai, and Alex Papalexopoulos. Optimization based methods
for unit commitment: Lagrangian relaxation versus general mixed integer program-
ming. 2:1095–1100, 2003.

R. H. Kerr, J. L. Scheidt, A. J. Fontanna, and J. K. Wiley. Unit commitment. IEEE

Transactions on Power Apparatus and Systems, PAS-85(5):417–421, 1966. doi: 10.
1109/TPAS.1966.291678.

N.P. Padhy. Unit commitment-a bibliographical survey. IEEE Transactions on Power

Systems, 19(2):1196–1205, 2004. doi: 10.1109/TPWRS.2003.821611.

Alexandre Street, J.M. Arroyo, and Fabricio Oliveira. Energy and reserve scheduling
under an n-k security criterion via robust optimization. 01 2011a.

Alexandre Street, Fabrício Oliveira, and José M. Arroyo. Contingency-constrained unit

commitment with n − k security criterion: A robust optimization approach. IEEE
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Appendix

A Case-study definition
Table 6 defines the constants of the problem. Demand was given by the below matrix.

20
  
0 0 0 0 0 0
 
0 0 0 0 0 0
 
 
 
0 0 0 0 0 0 12
d(t,b) = 



90 100 80 120 100 80
 
 
90 100 80 30 60 60
 
50 50 40 0 40 50
We define the bus address of each generator as [1,2,3,4,5]’.

Table 6: Constants of the Case-Study

T 6
x(l) [1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25]’
Su(l) [0.8,0.8,0.8,0.8,0.8,0.8,0.8,0.8,0.8]’
F max (l) [600,600,600,600,600,600,600,600,600]
Gmax (gn) [1000,1000,1000,120,70]
Gmin (gn) [80,50,30,30,30]
cdef 10000
c(gn) [5,15,30,1000,1100]’
crU p (gn) [10,25,45,45,45]’
crDn (gn) [10,25,45,45,45]’
cSup (gn) [800,500,250,250,250]’
cSdn (gn) [400,250,125,125,125]’
maxrU p (gn) [300,350,320,320,320]’
maxrDn (gn) [150,130,140,140,140]’
maxRampU p (gn) [450,460,470,470,470]’
maxRampDn (gn) [130,140,150,150,150]’
S Rup (gn) [400,470,440,440,440]’
S Rdn (gn) [180,150,130,130,130]’
v(gn,0) [1,0,0,0,0]’
g(gn,0) [180,0,0,0,0]’
initup (gn) [2,0,0,0,0]’
initdn (gn) [0,0,0,0,0]’
T minU p [3,2,1,1,1]’
T minDn [1,1,1,1,1]’
nG 5
nL 9
nB 6
K 2

14
+ 14


nK 1 2
= 105
to(l) [4,5,6,4,5,6,4,5,6]’
fr(l) [1,1,1,2,2,2,3,3,3]’
12
demand at time t, bus b.

21