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Local and Global Optima

2011 Daniel Kirschen and University of Washington

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Which one is the real maximum?

f(x)

A D x

df d2 f
For x = A and x = D, we have: = 0 and <0
dx dx 2

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2011 Daniel Kirschen and University of Washington
Which one is the real optimum?
x2

x1

A, B,C and Dare all minima because we have:

f f 2 f 2 f 2 f
= 0; = 0 and < 0; 2 < 0; <0
x1 x2 x12
x2 x1 x2
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2011 Daniel Kirschen and University of Washington
Local and Global Optima
The optimality conditions are local conditions
They do not compare separate optima
They do not tell us which one is the global
optimum
In general, to find the global optimum, we
must find and compare all the optima
In large problems, this can be require so much
time that it is essentially an impossible task

Convexity

If the feasible set is convex and the objective

function is convex, there is only one minimum
and it is thus the global minimum

2011 Daniel Kirschen and University of Washington 5

Examples of Convex Feasible Sets
x2 x2

x1 x1

x2

x1 x1
x1min x1max
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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Feasible Sets
x2 x2

x1 x1

x2
x1

x1 x1
x1a x1b x1c x1d
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2011 Daniel Kirschen and University of Washington
Example of Convex Feasible Sets
A set is convex if, for any two points belonging to the set, all the
points on the straight line joining these two points belong to the set
x2 x2

x1 x1

x2

min max
x1 x1
x1 x1
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Example of Non-Convex Feasible Sets
x2 x2

x1 x1

x2
x1

x1
x1 a x1 b x1 x1c d x1
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Example of Convex Function

f(x)

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2011 Daniel Kirschen and University of Washington
Example of Convex Function

x2

x1
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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Function

f(x)

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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Function
x2

x1

2011 Daniel Kirschen and University of Washington 13

Definition of a Convex Function
f(x)

f(y)

xa y xb x

A convex function is a function such that, for any two points xa and xb
belonging to the feasible set and any k such that 0 k 1, we have:

z = kf ( x a ) + (1- k ) f ( x b ) f ( y ) = f [ kx a + ( 1- k ) x b ]
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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Function

f(x)

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2011 Daniel Kirschen and University of Washington
Importance of Convexity
If we can prove that a minimization problem is convex:
Convex feasible set
Convex objective function
Then, the problem has one and only one solution

Proving convexity is often difficult

Power system problems are usually not convex
There may be more than one solution to power system
optimization problems