Peer-to-peer energy trading

𝑥11 + 𝑥21 = 𝑥12 + 𝐸1

𝑥22 + 𝑥12 + 𝑥32 = 𝑥21 + 𝑥23 + 𝐸2
𝑥33 + 𝑥23 = 𝑥32 + 𝐸3
𝑥11
𝑥12
𝑥21
𝑋 = 𝑥23
𝑥32
𝑥22
[𝑥33 ]

𝑓𝑖𝑖 (𝑥) = 𝑎𝑖𝑖 𝑥 2 + 𝑏𝑖𝑖 𝑥 + 𝑐𝑖𝑖

𝑓𝑖𝑗 (𝑥) = 𝑎𝑖𝑗 𝑥 2 + 𝑏𝑖𝑗 𝑥 + 𝑐𝑖𝑗

𝑛

𝑓0 (𝑥) = ∑ 𝑓𝑖𝑖 (𝑥𝑖𝑖 ) + ∑ 𝑓𝑖𝑗 (𝑥𝑖𝑗 )

𝑖=1 (𝑖,𝑗)∈𝑆
𝑥𝑖𝑗 ≥ 0, (𝑖, 𝑗) ∈ 𝑆; 𝑎𝑖𝑖 ≫ 𝑎𝑖𝑗 , 𝑖 ≠ 𝑗
𝑅𝑖𝑗 (𝑥) ≤ 0 → 𝑅𝑖𝑗 (𝑥) = −𝑥𝑖𝑗

ℎ1 (𝑥) = 𝑥11 + 𝑥21 − 𝑥12 − 𝐸1

ℎ2 (𝑥) = 𝑥22 + 𝑥12 + 𝑥32 − 𝑥21 − 𝑥23 − 𝐸2
ℎ3 (𝑥) = 𝑥33 + 𝑥23 − 𝑥32 − 𝐸3

Problem : 𝑚𝑖𝑛{𝑓0 (𝑥)}

Pod ograničenjema : 𝑅𝑖𝑗 (𝑥) ≤ 0, (𝑖, 𝑗) ∈ 𝑆 ; ℎ𝑖 (𝑥) = 0

𝑔(𝜆, 𝜈) = inf 𝐿(𝑥, 𝜆, 𝜈)

𝑥
𝑛

𝐿(𝑥, 𝜆, 𝜈) = 𝑓0 (𝑥) + ∑ 𝜆𝑖𝑗 𝑅𝑖𝑗 (𝑥) + ∑ 𝜈𝑖 ℎ𝑖 (𝑥)

(𝑖,𝑗)∈𝑆 𝑖=1
 𝐿(𝑥, 𝜆, 𝜈) = ∑ 𝑎𝑖𝑗 𝑥 2 + 𝑏𝑖𝑗 𝑥 + 𝑐𝑖𝑗
(𝑖,𝑗)∈𝑆

− ∑ 𝜆𝑖𝑗 𝑥𝑖𝑗 (𝑥) + ∑ 𝑣𝑖𝑗 [𝑥𝑖𝑖 + ∑ 𝑥𝑗𝑖 − ∑ 𝑥𝑖𝑗 − 𝐸𝑖 ]

(𝑖,𝑗)∈𝑆 (𝑖,𝑗)∈𝑆 𝑗∈ℕ− 𝑗∈ℕ+

2 2
𝐿(𝑥, 𝜆, 𝜈) = 𝑎11 𝑥11 + (𝑏11 − 𝜆11 + 𝜈1 )𝑥11 + 𝑐11 + 𝑎12 𝑥12
+ (𝑏12 − 𝜆12 − 𝜈1 + 𝜈2 )𝑥12 + 𝑐12
⋮
𝑛

𝐿(𝑥, 𝜆, 𝜈) = ∑[𝑎𝑖𝑖 𝑥𝑖𝑖2 + (𝑏𝑖𝑖 − 𝜆𝑖𝑖 + 𝜈𝑖 )𝑥𝑖𝑖 + 𝑐𝑖𝑖 ]

𝑖=1
2
+ ∑ [𝑎𝑖𝑗 𝑥𝑖𝑗 + (𝑏𝑖𝑗 − 𝜆𝑖𝑗 + 𝜈𝑗 − 𝜈𝑖 )𝑥𝑖𝑗 + 𝑐𝑖𝑗 ]
(𝑖,𝑗)∈𝑆

𝑏𝑖𝑖 −𝜆𝑖𝑖 +𝜈𝑖 𝜆𝑖𝑗 −𝑏𝑖𝑗 +𝜈𝑖 −𝜈𝑗

Prvi izvod jednak nuli : 𝑥𝑖𝑖∗ (𝜆, 𝜈) = ∗
; 𝑥𝑖𝑗 (𝜆, 𝜈) =
2𝑎𝑖𝑖 2𝑎𝑖𝑗

𝜆𝑘+1
𝑖𝑗 = 𝜆𝑘𝑖𝑗 + 𝛼∇𝜆 𝐿(𝑥 ∗ (𝜆𝑘 , 𝜈 𝑘 ), 𝜆, 𝜈 𝑘 )
𝜆𝑘+1
𝑖𝑗 = 𝜆𝑘𝑖𝑗 + 𝛼(−𝑥𝑖𝑗
∗
) → 𝑝𝑟𝑜𝑗𝑒𝑘𝑐𝑖𝑗𝑎

𝜈1𝑘+1 = 𝜈1𝑘 + 𝛼(𝑥11

∗ ∗
+ 𝑥21 ∗
− 𝑥12 − 𝐸1 )

𝜈2𝑘+1 = 𝜈2𝑘 + 𝛼(𝑥22

∗ ∗
+ 𝑥12 ∗
+ 𝑥32 ∗
− 𝑥21 ∗
− 𝑥23 −𝐸2 )
𝑘+1 𝑘 ∗ ∗ ∗
𝜈3 = 𝜈3 + 𝛼(𝑥33 + 𝑥23 − 𝑥32 − 𝐸3 )