3rd International Conference on Engineering Optimization

July 1-5, 2012, Rio de Janeiro, Brazil

Direct determination of maximum loadability power flow solutions through a

trust region based optimization method
Roberto S. Salgado Guido R. Moraes

Federal University of Santa Catarina, Department of Electrical Engineering

Power Systems Laboratory, Florianópolis, SC, Brasil
salgado@labspot.ufsc.br guido-moraes@labspot.ufsc.br

Abstract

Because of the considerable degree of difficulty of convergence of the numerical methods used in the
power system analysis, new methodologies have been proposed to increase the robustness of the iterative
process. Previous application of Trust-Region (TR) based algorithms in Power System State Estimation
and Optimal Power Flow present a number of advantages. This paper proposes the determination of
the power flow solution at the critical loadability point as a solution of a constrained static optimization
problem, which is solved by a trust-region based method. It is shown how relations of sensitivity at the
point of critical load can be obtained as a by-product of the iterative process and used to determine
preventive or corrective measures. Numerical results obtained for power systems with sizes ranging from
6 to 750 buses and thousands of variables are used to illustrate the features of the proposed methodology.

Keywords: Maximum loadability, quadratic programming, trust region methods, saddle-node bifur-
cation.

1. Introduction

From a recent past, the optimization of the operation of the power network became essential, which
emphasized the importance of the computational programs used for this purpose. However, the electrical
networks have been operating closer their limits of capacity, which adds a considerable degree of diffi-
culty to the convergence of the numerical methods used in these computational programs, particularly
the Power Flow, Optimal Power Flow and State Estimation. For this reason, new methodologies have
been proposed, whose aim is to increase the numerical robustness of the iterative process. The main
objective of the TR based strategies is to ensure as much as possible the convergence of the algorithm
from any initial estimate. The preliminary application of TR based algorithms in power system analysis
[1, 2] presents a number of advantages. The application of these techniques, as shown in [3], imparts
robustness to the iterative process. Recently, these techniques have been used to solve constrained op-
timization problems in power systems analysis, particularly the OPF problem, as presented in [1], with
very promising results.
In a previous paper [4], the solution of the equations representing the optimality conditions of the
problem of the determination of the maximum loadability is obtained through Newton’s method. The lack
of a good initial estimate adds difficulties to the convergence of the iterative process, which is the main
drawback of this approach. The present work proposes a methodology to solve a modified version of this
constrained static optimization problem by using a trust-region based optimization method. The main
idea is to combine the solutions belonging to two orthogonal subspaces, one related to the constraints and
the other corresponding to the improvement of the objective function. This new optimization problem
has the following features: 1) the square of the load parameter is used as both the performance index to
be optimized and to parameterize the equality and inequality constraints; 2) the Jacobean matrix of the
equality constraints is singular at the optimal solution, which adds a considerable degree of difficulty to
the convergence of the iterative process; and 3) the left eigenvector corresponding to the zero eigenvalue
of the singular Jacobian matrix is computed as a by-product of the optimization process. It is shown how
relations of sensitivity at the point of critical load can be obtained as a by-product of the optimization
method and used to determine preventive or corrective measures. Numerical results obtained for power
systems with sizes ranging from 6 to 750 buses and thousands of variables are used to illustrate the
features of the proposed methodology.
The remaining of this paper is organized as follows: Section 2 shows the basic formulation of the
parameterized maximization problem, its solution through Newton’s method and the concept of Trust
Region; in Section 3, the proposed optimization algorithm is described. In section 4, the determination of
the maximum loadability example is presented; section 5 presents the numerical results which illustrates
the main features of the proposed methodology whereas the main conclusions are presented in section 6.

1
2. Basic Formulation

Consider the equality constrained optimization problem represented as

M inimize f (x)
(1)
subject to g(x) = 0
where f (x) is the objective function; g(x) represents the equality constraints and x is the vector of the
optimization variables.
The Lagrangean function corresponding to the problem expressed by Eq. (1) is given by,
£(x, λ) = f (x) − λt g(x)
and the first order optimality conditions are expressed as,
∇x £(x, λ) = 0 = ∇x f (x) − J(x)t λ
(2)
∇λ £(x, λ) = 0 = −g(x)
where ∇x f (x) is the gradient of the objective function and J(x) = ∇x g(x) represents the Jacobian matrix
of the equality constraints. The solution of the Eq. (2) through Newthon’s method requires to solve the
following linear system at each iteration:
[ ][ ] [ ]
H(x(k) , λ(k) ) −J(x(k) )t ∆x ∇x f (x(k) ) − J(x(k) )t λ
= − (3)
−J(x(k) ) 0 ∆λ −g(x(k) )
∑ (k)
where H(x(k) , λ(k) ) = ∇2x £(x(k) , λ(k) ) = ∇2x f (x(k) )− i λi ∇2x gi (x(k) ) is the Hessian of the Lagrangean
function calculated at the k-th iteration; and the optimization variables are updated by
x(k+1) = x(k) + αx ∆x
λ(k+1) = λ(k) + αλ ∆λ
where αx and αλ are non-negative step factors.
Replacing ∆λ = λ − λ(k) (where λ(k) is the available value at the k-th iteration and λ is the new
value to be calculated) in the Eq. (3) yields
[ ][ ] [ ]
H(x(k) , λ(k) ) −J(x(k) )t ∆x ∇x f (x(k) )
=− (4)
−J(x(k) ) 0 λ(k+1) −g(x(k) )
such that the solution of this linear system can be interpreted as a critical point of the quadratic pro-
gramming problem given by,
1
M inimize ∇x f (x(k) )t ∆x + ∆xt H(x(k) , λ(k) )∆x
2 (5)
subject to J(x(k) )∆x + g(x(k) ) = 0
and therefore the solution of the problem represented by the Eq. (1) can be obtained solving a sequence
of quadratic problems modelled by Eq. (5).
From Eqs. (2) and (5), the Lagrange multipliers and the minimal Euclidean norm solution of the
linearized equality constraints are respectively given by,
[ ]−1
λ(k) = J(x(k) )J(x(k) )t J(x(k) )∇x f (x(k) )
[ ]−1 (6)
(k) (k) t (k) (k) t (k)
v = J(x ) J(x )J(x ) g(x )

The concept of trust region in the sequence of quadratic problems that solves the Eq. (1) consists of
including in the Eq. (5) an extra inequality constraint representing the ratio of that region, such that
the quadratic subproblem to be solved at each iteration becomes,
1
M inimize ∇x f (x(k) )t ∆x + dt H(x(k) , λ(k) )∆x
2
(k) (k) (7)
subject to J(x )∆x + g(x ) = 0
∥∆x∥ ≤ ∆

2
where ∆ is the trust region radius, whose role is to impose a limit in the magnitude of the step toward
the optimal solution, and ∥ · ∥ is a norm whose type shall be defined.
The trajectory to the optimal solution defined by the trust region methods is based on the deter-
mination of a sequence of steps, obtained from a quadratic approximation of the objective function.
Initially, the trust region is defined around the current point, where the quadratic model is supposed to
be a suitable representation of the original optimization problem. Thus, the step that minimizes this
approximated model in the trust region is calculated. Both the search direction and the step magnitude
are calculated simultaneously. If the step is not acceptable, the size of the region is reduced and a new
step is determined. In general, the search direction is modified whenever the trust region size is changed
[5]. For this purpose, a merit function is defined in terms of the optimization variables, which indicates
if a new point results in a significant improvement, regarding the progress in the path to the optimal
solution direction, with respect to the point currently available. The general idea of including the trust
region constraint in the search of the optimal solution is to solve the quadratic subproblem represented by
(k)
Eq. (7) to obtain a new point xr , and compare the actual and predict (by the quadratic model) values
of the the objective function. In practice, the size of the trust region is determined accordingly to the
evolution of the iterative process. If the model is sufficiently accurate, the trust region size is constantly
increased to allow steps of higher magnitudes. If the quadratic model is not accurate enough, the size of
the trust region must be reduced.

3. Method based on orthogonal subspaces

If the Jacobian matrix J(x) has full rank, any feasible solution of the linear system J(x)d + g(x) = 0 is
given by,
∆x = v + Zu (8)
where, v is the minimal Euclidean norm solution, Z is the null space matrix of the rows of J(x(k) ), that
is J(x(k) )Z = 0, and u is an arbitrary vector.
Replacing the vector ∆x of the Eq. (8) in the Eq. (7), the resulting optimization problem becomes,
1
M inimize ∇x f t (v + Zu) + (v + Zu)t H(v + Zu)
2 (9)
subject to ∥(v + Zu)∥2 ≤ ∆2

where for the sake of simplification the arguments of f (·) and H(·, ·) were omitted. The re-arrangement
of Eq. (9) yields,
1 1
M inimize (∇x f t v + vt Hv) + (∇x f t + vt H)Zu + (Zu)t H(Zu)
2 2
subject to vt v + vt Zu + ut Zt v + ut Zt Zu ≤ ∆2

Considering that: 1) (∇x f t v + 12 vt Hv) is a constant term; 2) vt Z = Zt v = 0; and 3) Z may be

chosen as a orthogonal sub-matrix, that is, Zt Z = ZZt = I, then the problem expressed by Eq. (9) can
be rewritten as
1
M inimize (Zt ∇x f + Zt Ht v)t u + ut (Zt HZ)u
( ) 2 (10)
subject to ∥u∥2 ≤ ∆2 − ∥v∥2

The figure 1 shows geometrically the concept of the search of the optimal solution based on the
orthogonal spaces. The dashed lines and the dotted lines represent respectively the contours of the
objective function of the quadratic problem and the linearized equality constraint. The circle centered
in x(k) , with radius ∆, represents the trust region in the current iteration. The search direction ∆x is
composed by the minimal Euclidean norm solution v and the null space matrix Z. If only v is adopted
as the search direction, the equality constraint is satisfied but the optimal solution is not reached. On
the other hand, if only the component Zu, which is orthogonal to v is used as the search direction, the
equality constraint will not be satisfied. For this reason, it is necessary to combine these two components
to determine an efficient search direction.

3.1. The use of the merit function

3
 Figure 1: The trust region

To verify if the point x(k+1) = x(k) + ∆x results in a reasonable improvement in both the objective
function and the constraints, the following non-differential function [5] is used as figure of merit:
1
ϕ(x, µ) = f (x) + ∥g(x)∥ (11)
µ
where µ is a positive weighting factor, adjusted during the iterative process.
The actual and predict reductions of the merit function due to the change from x(k) to x(k+1) are
given respectively by
1 ( )
∆ϕv = f (x(k) ) − f (x(k) + ∆x) + g(x(k) ) − g(x(k) + ∆x)
µ(k)
and
1 1
∆ϕp = (∇x f + Ht v)t Zu + ut Zt H(Zu) + (k) gp
2 µ
where
gp = g(x(k) ) − g(x(k) ) + J(x(k) )v

represents the reduction ∥J(x(k) )∆x + g(x(k) )∥2 in the direction of the minimal Euclidean norm solution.
∆ϕv
If ≥ η, with η ∈ (0, 1), the predict value based in the approximated model is considered
∆ϕp
satisfactory and the point x(k+1) = x(k) + ∆x is selected as the search direction. Otherwise, the trust
region radius is reduced, a new increment d is computed and a new test in the merit function ϕ(x) is
performed.

3.2. Algorithm

The algorithm to solve the problem represented by the Eq. (1) based on the trust region concept can
summarized in the following steps:

4
 1. k = 0: specify x(0) , λ(0) , ζ ∈ (0, 1), ∆0 > 0, η, µ > 0 and τ1 , τ2 with τ1 < τ2 ;

2. calculate ∇x f (x(k) ), g(x(k) ) and J(x(k) );

3. convergence test: check the optimality conditions given by Eq. (2).
4. calculate the minimal norm solution and the vector of the Lagrange multipliers (Eq. (6));

5. determine the null space matrix Z of the rows of J(x(k) ) and the Hessian matrix H(x(k) , λ(k) );
6. determine u as the solution of the problem given by Eq. (10);
7. determine ∆x = v + Zu;
8. calculate µ(k) and determine the predict and the true values of the merit function through Eq. (??);
9. adjust the trust region radius, that is, do ∆ = τ ∆, for τ ∈ [τ1 , τ2 ] and return to step 2.

4. The determination of the maximum loadability

The power flow solution at the point of maximum loadability can be obtained by solving the problem,

M aximize ρ2
(12)
subject to y0 + ρ2 ∆y − g0 (x) = 0

where y0 stands for the base load pattern, ∆y is the vector of pre-specified load variation and g0 (x) is
the vector of nonlinear functions representing the bus power injections. The solution of this problem is
obtained solving a sequence of quadratic optimization problems expressed as,
1
M inimize ∇xρ f (x(k) )t ∆x + ∆xt H(x(k) , λ(k) )∆x
2 (13)
subject to J(x(k) )∆x + g(x(k) ) = 0

where
 
0
[ ] [ ]
 0  G0 (x, λ) 0 ∇x g(x)
∇xρ f (x) =  
 ...  H(x, ρ, λ) = J(x) =
0 −2(1 + ∆yt λ) −2ρ∆yt
−2ρ

computed at (x(k) , ρ(k) , λ(k) ). The optimality conditions are now given by

∇x £(x, ρ, λ) = 0 = J(x)t λ
( )
∇ρ £(x, ρ, λ) = 0 = − 2ρ 1 − rt λ (14)
( )
∇λ £(x, ρ, λ) = 0 = − y0 + ρ2 r − g0 (x)

where all terms have been previously defined (The interested reader is referred to [4]).
The saddle-node bifurcation point of g(x, ρ) = 0 can be determined by solving the set of nonlinear
equations that represents the Transversality Conditions, that is,

∇x g(x, ρ)t w = 0
wt w − 1 = 0 (15)
g(x, ρ) = 0

where w is the right eigenvector of the transpose Jacobian matrix of g(x, ρ) with respect to the variables x
corresponding to the zero eigenvalue. This set of equations is similar to those representing the optimality
conditions given by Eq. (14).
Observe that the vector of the primal optimization variables is composed by (x, ρ), where ρ is a scalar.
If the dimension of the vector x is n, and the dimension of the vector g(x) is m = n, the null space matrix
of the rows of J(x) will be a column vector with dimension n + 1 and u (from the problem expressed by

5
Eq. (10)) will be a scalar. Furthermore, the vector Z represents the tangent vector of prediction in the
saddle-node bifurcation point.

5. Numerical Results

Six test systems, with sizes ranging from 33 to 750 buses, were used to obtain the numerical results.
The tolerance used to check the convergence was 1.0 × 10−6 to the maximum magnitude of the mis-
matches related to the first order optimality conditions represented in Eq. (14). The computational
programs were implemented in Matlab, in a microcomputer with 1,8GHz, HD of 80GB and 1GB of
RAM. Table 1 shows the number of iterations and the cpu time for the convergence. The initial esti-
mates for the power flow variables were specified in the flat start (columns 2 to 4 in the left side of the
table) and obtained from a base case power flow (columns 5 and 6 in the right side of the table). The
analysis of these results reveals that the availability of a power flow solution does not ensure a decrease
in the number of iterations for the convergence, mainly in the case of the largest test systems (300 and
750 buses test systems). Note that the base case power flow generally provides an initial estimate for the
Lagrange multipliers (computed through Eq. (6)) which is far from the optimal solution, reason for the
iterative process taking so many iterations for the convergence.

Without PF With PF
Sys NV IT CPU (s) IT CPU(s)
33 128 8 0.05 6 0.07
65 256 10 0.11 8 0.12
107 424 12 0.25 8 0.24
300 1196 13 2.32 22 3.98
749 2996 12 19.90 49 83.15

Table 1: Number of iterations and cpu time for the convergence

Figures 2 and 3 show the path to the convergence corresponding to the case of the 750 buses test
system, without the base case power flow. In the first figure, the convergence was quantitatively analyzed
) figures of merit: the maximum component in magnitude of J(x) λ, 2ρ (1 − r λ),
t t
taking
( the following
y0 + ρ r − g0 (x) and the load parameter ρ. In the second figure, the maximum component in mag-
2

nitude of v, u and the radius of the trust region were observed. Although a small number of iterations
(12) were needed to the convergence, an increase in some figures can be noticed between iterations 2 and
4, which can be attributed to the choice of control of the trust region radius.

Mismatches, rho x Iterations

450
Jt*l
2*rho*(1+dyl)
400 g(x,rho)
rho

350

300
Mismatches

250

200

150

100

50

0
0 2 4 6 8 10 12
Iterations

Figure 2: Mismatches related to the optimality conditions and the load parameter - 750 buses test system

6
 v, u and Trust Region radius x Iterations
50
||v||
||u||
45 TR radius

40

35

30
Mismatches

25

20

15

10

0
0 2 4 6 8 10 12
Iterations

Figure 3: Mismatches related to the solutions of the orthogonal subspaces (v and u) and the trust region
radius - 750 buses test system

6. Conclusions

The application of an optimization method based on the concept of Trust Region has been applied
to the problem of the determination of the maximum loadability to be supplied in a power system. The
first order optimality conditions of this problem is similar to the transversality conditions of the parame-
terized nonlinear equations of the power flow problem. One of the main difficulties to solve this problem
is that the critical solution (stationary point) is a saddle-node bifurcation point. The preliminary studies
with test system of moderate size show the potential of the proposed application. Future studies include
the improvement in the trust region radius update.

Acknowledgements
R. S. Salgado and G. R. Moraes have financial support from Conselho Nacional de Desenvolvimento
Cientı́fico e Tecnológico, CNPq/Brazil.

References
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Methods, in: Proceedings of the 2007 IEEE PowerTech Conference, Vol. I, Lausanne-Switzerland,
2007, pp. 1–6.
[2] A. Simões Costa, R. S. Salgado, P. Haas, Globally Convergent State Estimation Based on Givens
Rotations, IREP Symposium 2007, Bulk Power System Dynamics and Control VII, Charleston, South
Carolina, USA .
[3] J. Zhang, L. Wu, X. Zhang, A trust region method for optimization problem with singular solutions,
in: Applied Mathematics and Optimization, Vol. 56, 2007, pp. 379–394.
[4] R. S. Salgado, A. F. Zeitune, A direct method to determine the maximum loadability bifurcation point
in electric power systems, in: 2nd International Conference on Engineering Optimization, Lisbon,
Portugal, 2010, pp. 1–11.
[5] J. Nocedal, S. J. Wright, Numerical Optimization, Springer, 1999.