Real-Time Stochastic Optimization of Complex Energy Systems on High-Performance Computers

A scalable approach computes in operationally-compatible time the energy dispatch under uncertainty for electrical power grid systems of realistic size with thousands of scenarios. The authors propose several algorithmic and implementation advances in their parallel solver PIPS-IPM for stochastic optimization problems. New developments include a novel, incomplete, augmented, multicore, sparse factorization implemented within the PARDISO linear solver and new multicore- and GPU-based dense matrix implementations. They show improvement on the interprocess communication on Cray XK7 and XC30 systems. PIPS-IPM is used to solve 24-hour horizon power grid problems with up to 1.95 billion decision variables and 1.94 billion constraints on Cray XK7 and Cray XC30, with observed parallel efficiencies and solution times within an operationally defined time interval. To the authors\´ knowledge, "real-time"-compatible performance on a broad range of architectures for this class of problems hasn\´t been possible prior to this work.