AppliedMath (Nov 2023)

Unimodality of Parametric Linear Programming Solutions and Efficient Quantile Estimation

  • Sara Mollaeivaneghi,
  • Allan Santos,
  • Florian Steinke

DOI
https://doi.org/10.3390/appliedmath3040044
Journal volume & issue
Vol. 3, no. 4
pp. 814 – 827

Abstract

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For linear optimization problems with a parametric objective, so-called parametric linear programs (PLP), we show that the optimal decision values are, under few technical restrictions, unimodal functions of the parameter, at least in the two-degrees-of-freedom case. Assuming that the parameter is random and follows a known probability distribution, this allows for an efficient algorithm to determe the quantiles of linear combinations of the optimal decisions. The novel results are demonstrated with probabilistic economic dispatch. For an example setup with uncertain fuel costs, quantiles of the resulting inter-regional power flows are computed. The approach is compared against Monte Carlo and piecewise computation techniques, proving significantly reduced computation times for the novel procedure. This holds especially when the feasible set is complex and/or extreme quantiles are desired. This work is limited to problems with two effective degrees of freedom and a one-dimensional uncertainty. Future extensions to higher dimensions could yield a key tool for the analysis of probabilistic PLPs and, specifically, risk management in energy systems.

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