A fast algorithm for power system optimization problems using an interior point method

An implementation of the dual affine (DA) algorithm, which is a variant of Karmarkar's interior point method, is described. In the DA algorithm, the problem solved is usually the dual of the original linear programming (LP) problem, and it is applicable to linear and nonlinear optimization problems. An application of the proposed optimization technique to hydro-scheduling is presented. The largest problem comprised 880 variables and 3680 constraints and was solved over nine times faster than an efficient simplex (MINOS) code. As the problem size grows, the speedup ratio over the simplex method also increases. A new heuristic basis recovery procedure was implemented to provide primal and dual optimal basic solutions. The tested examples indicate that this approach requires less than 10% of the original iterations of the simplex method to find the optimal basis.<
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