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

Variants of simplex-based methodologies are generally used to solve underlying linear programming (LP) problems. An implementation of the dual affine (DA) algorithm (a variant of N. Karmarkar´s (1984) interior point method) is described in detail and some computational results are presented. This algorithm is particularly suitable for problems with a large number of constraints, and is applicable to linear and nonlinear optimization problems. In contrast with the simplex method, the number of iterations required by the DA algorithm to solve large-scale problems is relatively small. The DA algorithm has been implemented considering the sparsity of the constraint matrix. The normal equation that is required to be solved in every iteration is solved using a preconditioned conjugate gradient method. An application of the technique to a hydro-scheduling is presented; the largest problem is solved over nine times faster than an efficient simplex (MINOS) code. A new heuristic basis recovery procedure is implemented to provide primal and dual optimal basic solutions which are not generally available if interior point methods are used. The tested examples indicate that this new approach requires less than 10% of the original iterations of the simplex method to find the optimal basis