1-WK 07 - Lect 19 - 20 - UC-II

Lecture 19-20
Unit commitment - II
3/31/2020 WK: 07 Lect 19-20 --- Unit Commitment–II : By Dr. T. N. Malik 1

Dynamic Programming
 Dynamic programming (DP) was developed in 1953 through the work of
Richard Ernest Bellman, who was an American applied mathematician.
 Richard Bellman gave it rather the undescriptive name dynamic programming.
 The essential feature of the method is that a multivariable optimization problem
is decomposed into a series of stages, optimization being done at each stage with
respect to one variable only.
 To cast a verbal problem into a multistage structure is not always simple; often
it is very difficult and even looks mysterious. But once done, recursive
optimization is easy to apply.
 Both discrete and continuous problems can be amenable to this method, also
deterministic as well as stochastic models can be handled.
 The complexities increase tremendously with the number of constraints.
3/31/2020 WK: 07 Lect 19-20 --- Unit Commitment–II : By Dr. T. N. Malik Slide No. 2
Dynamic Programming
 Dynamic Programming is mainly an optimization over plain recursion.
 Wherever we see a recursive solution that has repeated calls for same inputs,
we can optimize it using Dynamic Programming.
 The idea is to simply store the results of sub-problems, so that we do not have
to re-compute them when needed later.
 This simple optimization reduces time complexities from exponential to
polynomial.
 if we write simple recursive solution for Fibonacci Numbers, we get exponential
time complexity
 if we optimize it by storing solutions of subproblems, time complexity reduces
to linear.
Fibonacci Numbers
Fibonacci Numbers
 Fibonacci Tree
fib(5)
/ \
fib(4) fib(3)
/ \ / \
fib(3) fib(2) fib(2) fib(1)
/ \ / \ / \
fib(2) fib(1) fib(1) fib(0) fib(1) fib(0)
/ \
fib(1) fib(0)
Recursion
 Recursion: the process which comes into existence when a function calls a
copy of itself to work on a smaller problem.
 Any function which calls itself is called recursive function, and such
function calls are called recursive calls.
 Example: recursion may be applied to sorting, searching, and traversal
problems.
 Why do we need recursion?
 Recursion can solve all those problems which can be solved by for loop. But
it is difficult or quite impossible to solve some problems by for loop. Some
dynamic problems can be solved easily by recursion instead of for loop. For
a hard problem you do not have to think much solving by recursion instead
of for loop.

Recursion
 Difference Between Recursion and Iteration.
 Recursion and iteration both repeatedly executes the set of instructions.
 Recursion is when a statement in a function calls itself repeatedly.
 The iteration is when a loop repeatedly executes until the controlling condition becomes
false.
 What is recursion vs do while?
 The concept of Recursion and Iteration is to execute a set of instructions
repeatedly.
 The difference between them is that
 recursion is simply a method call in which the method being called is the same as the one
making the call
 while iteration is when a loop is repeatedly executed until a certain condition is met.
Properties of Dynamic Programming (DP) Problem
 Dynamic Programming (DP):
 Algorithmic paradigm
 solves complex problem by breaking it into sub-problems
 stores the results of sub-problems to avoid computing the same results again.
 Two main properties of Dynamic Programming Problem
 Overlapping Sub-problems
 Optimal Substructure
 Overlapping Sub-problems
 DP combines solutions to sub-problems.
 solutions of same sub-problems are needed again and again.
 computed solutions to sub-problems are stored so that these don’t have to be
recomputed.
 Binary Search doesn’t have common sub-problems.
 Fibonacci Numbers, there are many sub-problems which are solved again and again.
Properties of DP Problem
 Optical Substructure
 A given problem has Optimal Substructure Property if optimal solution of the given
problem can be obtained by using optimal solutions of its sub-problems.
 Shortest Path problem has following optimal substructure property:
 If a node x lies in the shortest path from a source node u to destination node v then the
shortest path from u to v is combination of shortest path from u to x and shortest path from
x to v.
Tabulation vs Memorization
 There are following two different ways to store the values so that the values
of a sub-problem can be reused
 Tabulation: Bottom Up
 I will study the theory of Dynamic Programming from optimization books, then I will
practice some problems on classic DP and hence I will master Dynamic
 Example:
 Let a state for our DP problem be dp[x] with dp[0] as base state and dp[n] as our
destination state.
 So, we need to find the value of destination state i.e dp[n]. If we start our transition from
our base state i.e dp[0] and follow our state transition relation to reach our destination state
dp[n], we call it Bottom Up approach as it is quite clear that we started our transition from
the bottom base state and reached the top most desired state.
 Memorization: Top Down
 To Master Dynamic Programming, I would have to practice Dynamic problems and to
practice problems – Firstly, I would have to study some theory of Dynamic Programming
from books of optimization.
 Example
 If we need to find the value for some state say dp[n]
 instead of starting from the base state that i.e, dp[0] we ask our answer from the states that can
reach the destination state dp[n] following the state transition relation, then it is the top-down
fashion of DP.
Recursion
 Why recursion is used in C?
 Recursion in C Programming.
 The process of calling a function by itself is called recursion and the function which calls
itself is called recursive function.
 Recursion is used to solve various mathematical problems by dividing it into smaller
problems. This method of solving a problem is called Divide and Conquer.
Dynamic Programming --- Application
 Dynamic programming (DP)
 problem is divided into stages.
 Each stage has a number of states associated with it. Number of states may be either
finite or infinite.
 problem is solved stage-by-stage using a recursive relationship.
Let
N = number of stages
n = label for current stage, (n = 1, 2, …., N)
sn = current state of stage n.
xn = decision variable at stage n
xn* = optimal value of xn for given sn
fn(sn,xn) = contribution of stages n, n+1, ……, N to the objective function,
if system starts in state sn, and, immediate decision variable is xn
fn*(sn) = optimal value of fn (sn , xn)
 Recursive backward methodology

Dynamic programming (DP) uses recursive relationship for evaluating the
objective function.
If the system is in state sn at stage n, the objective function is updated by the
following recursive relation using backward computations for problems
requiring additive computations.
fn(sn,xn) = cn(xn) + fn+1*(xn);
Where cn(xn) = contribution of xn to objective function at stage n.
fn+1*(xn) = optimal value of objective function at next stage n+1, if decision
variable is xn at current stage n.
 Objective function, stages and states for every problem in DP methodology
is problem specific.
 The formulation of DP problems requires
 careful review of the data to decide about stages ,
 consequent states in the data
 Formulation of relation among states
DP- Problem – 1: 10 - City Problem
 Consider a 10-city problem with city 1 as starting city, and, city 10 as terminal
city.
 Find shortest path between starting and terminal cities along with the shortest
route information. Travel times are provided over arcs in Figure 1.
 The network diagram in Figure shows that a traveler starting his journey
from city 1 will have to make decision about his next move prior to start his
journey, since he has three alternate routes to follow.
 Either he will go to city 2 or city 3 or city 4. Suppose he decides to go to city
3.
 At city 3, he will have three choice; i.e., either go to city 5 or go to city 6 or
go to city 7. Suppose he decides to go to city 6.
 Once he is in city 6, he will have again two choices; either go to city 8 or go
to city 9.
 Dynamic programming technique requires that we should divide our route
decision into four stages as shown below in Figure 2.
Figure 2
 Since dynamic programming (DP) methodology uses recursive relationship to
find an optimal solution to given problem, we will start from stage 4.
 At stage 4, what are possible ways to reach our destination (city 10)?
 As we can see, city 10 can be reached either from city 8 or from city 9; hence,
there are two possible alternatives to begin our journey at stage 4. These are city
8 or city 10. Mathematically, we can express it as follows;
s4 = 8 , 9.
 The above expression implies that variable state at stage 4 (s4) will contain
information about cities from where traveler may start his journey, and, these
values are city 8 and city 9 at this stage.
 Let, tsn,xn = travel time at stage n for state sn if decision variable is xn. Then,
recursive equation for last stage (n = 4) will be;
fn(sn , xn) = t sn , xn
 The objective function values and corresponding decision variables for stage 4
are presented in Table 1 below.
x4
s f 4 * ( s) x 4*
10
8 7 7 10
10
9 6 6
Table 1
 The entries in the Table 1 are straight forward. From city 8 to city 10, travel time
is 10, and destination city is 10. The same interpretations are valid for s=9. Let’s
go one stage backward to stage 3.
 At stage 3, recursive relationship will be;
f3(s3 , x3) = t s , x3 + f4*(x3)
 What will be the values of state at stage 3?
 From travel network diagram (Figure 1); cities 5, 6 and 7 constitute stage 3. Hence
s3 = 5, 6, 7.
 What are destination cities from the cities of stage 3?
 Again from travel network diagram (Figure 2), city 8 and city 9 are two
destination cities from stage 3 cities. Decisions are to be made about best travel
plan at stage 3.
 Table 2 contains the details of best travel plan using recursive relationship.
Table 2
 The results in Table 2 provide intuitive results.

 Traveler in city 5 should have one option of going to city 8.
 If the traveler is in city 6 right now, he should go to city 8 to minimize his travel time.
 The same logic applies for travel decision from city 7 to city 9.
 Going backward one stage, we are now at stage 2.
 Stage 2 ( n = 2). At stage 2, recursive relationship will be
 What will be the possible values of state at stage 2?

 From travel network diagram (Figure 2); cities 2, 3 and 4 constitute stage 2.
Hence s2 = 2, 3, 4.
 What are destination cities for the source cities at stage 2?
 Again from travel network diagram (Figure 2), cities 5, 6 and city 7 are three
destination cities from cities of stage 2. The decisions regarding travel plan at
stage 2 are portrayed in Table 3
 recursive relationship
Table 3
 The decisions at stage 2 are;

 if traveler is in city 2, he should proceed to city 7.
 If he is in city 3, he should proceed to city 5.
 In case, he is in city 4, he should proceed to city 5 or 6.
 Let’s go to stage 1 for final decision about travel route.
 Stage 1 ( n=1). At stage 1, recursive relationship will be;
 What will be the possible values of state at stage 1?

 There is only one city at stage 1. Hence, s1 = 1.
 Cities 2, 3 and 4 are possible values of decision variable x1.
 If traveler proceeds from city 1 to city 3, he will take minimum time as shown in Table 4.
Table 4.
 Optimal path from city 1 to city 10:
 Going from stage 1 to stage 4 in forward direction reveals the following optimal solution.
 Cities : 1 – 3 – 5 -- 8 – 10
Table 2
Table 1
Table 3
Table 4
DP- Problem – 2: Production Planning
 A manufacturing organization is deciding a production plan for a particular item. The item can
be produced with following cost schedule
 A total of six units of the item must be produced at the end of March.
 Using Dynamic Programming technique,
make a production plan.
 Solution
Let
• x1, x2 and x3 be number of units to be produced in the
months of January, February and March, respectively
• c1(x1), c2(x2) and c3(x3) be the corresponding costs of
production during months of January, February and
March for producing x1, x2 and x3 units of the item.
• n1, n2 and n3 be the stages corresponding to months of
January, February and March, respectively.
 Let s1, s2 and s3 denote the variable state corresponding to the months of
January, February and March, respectively.
 How to interpret state in this problem?
Beginning from stage 3
 what will be the value of state variable s3?
 How many alternatives to produce are there in the
month of March?
 Since, there are five alternatives in March regarding
quantity to be produced; s3 = 0, 1, 2, 3, 4.
 objective function for stage n will be;

fn(sn,xn) = cn(xn) + fn+1*(xn);
 At stage 3, the only factor affecting objective function is the cost of producing s3
units.
 Hence, objective function will be f3(s3,x3)= c3(x3) at stage 3.
 Table 1 contains value of the objective function for all values of s3, and,
corresponding value of decision variable x3.
Table 1
 Stage 2 (n=2):
 Remember, a total of six units are to be delivered at the end of March (n=3).
 At every stage, we can produce a maximum of four units of the item.
 At stage 3, we had five alternatives and five values of x3 ( x3 = 0, 1, 2, 3, 4).
 Going back from March (stage 3) to February (stage 2), how many possibilities exist at
stage 2 for variable s2?
 Since 6 units of the item must be delivered at the end of stage 3 (month of March), the
number of units produced either in February and March should not exceed 6. This
condition is best illustrated by the following constraint; x2 + x3 <= 6;
 This constraint means that the number of units to be produced at stage 2 (x2) depends on
x3. If x3 is 3; x2 may be 0, 1, 2 or 3. Similarly, if x3 is 4, x2 may be 0, 1 or 2. So the state
variable s2 at stage 2 may have values; s2 = 0, 1, 2, 3, 4, 5, 6.
 To meet the constraint; x2 + x3 <= 6; we explore all possible combinations of x2 and x3 in
Table 2
Table 2
 The recursive relationship for stage 2 is;

f2(s2 , x2) = c2(x2) + f3*(s2 - x2); where, 0 <= x2 <= 4;
 Combination tree approach is very useful to enumerate the recursive relationship
for given combination of x2 and x3 for specific value of state variable.
 there are two combinations of x2 and x3 when s2 = 1. The objective function is
enumerated and shown in Figure for this value of s2.
Figure 1
 there are three combinations of x2 and x3 when s2 = 2.
 The objective function value is 10, 15 and 11 when decision variable x2 is 2, 1 and
0 respectively; given corresponding x3 values were 0, 1 and 2 at subsequent stage
(n=3) as shown in Figure 1
Figure 2
 The same arguments may be cited for s2 = 3 and 4. The enumerations are shown
in Figures 3 and 4 respectively.
Figure 3

Figure 4
 When state variable s2 = 5, the feasible combinations of x2 and x3 are shown in
Figure 5. Note that x2 = 0 is not feasible when s2=5.
Figure 5
 The feasible combinations of x2 and x3 are shown in Figure 6 when s2 =6.
Again note that x2 = 0 or x2= 1 are not feasible values for s2=6.
Figure 6
 At the end of stage 2, the total cost values of the objective function enumerated
in Figures 1 to 6 are entered in Table 3.
 Minimum value of f*(s2) and corresponding value of x2* are shown on right side
columns for each value of s2
Table 3
 From stage 2 (month of February) to stage 1 (month of January), the demand
constraint is updated as follows to reflect production requirement
x1 + x2 + x3 = 6
 Total number of units of the item produced during three months must be equal
to six.
 Hence, there is only one possible value of state variable at stage 1; i.e., s1 = 6 (The
number of units produced either in January or in February or in March must be
exactly equal to requirement of 6 units).
 The expression of the objective function for stage 1 will be;
f1(6,x1) = c1(x1) + f2*(6-x1), where x1 = 0, 1, 2, 3, 4.
 The combination tree for n=1, s1=6 is shown in Figure 7. The tree provides all
feasible combinations of stage 1 decision variable x1, and, stage 2 decision
variable x2.

Figure 7
 The values of objective function at stage 1 with s1 = 6, and, possible values of
decision variable x1:( 0≤ x1 ≤4) are contained in Table 4 below.
 Transferring values from combination tree of Figure7 in the Table 4, the optimal
solution value; f1*(6) = 20, and optimal value of decision variable, x1*=3.
Table 4
 Optimal Solution:
Optimal cost; f1*(6) = 20
x1* = 3;
s2= 6 – x1* = 3, go to Table 3 (stage 2)
x2* = 3 for s2 = 3
s3 = 3 – x2* = 0, go to Table 2 (stage 1)
x3* = 0 for s3 = 0.
Hence, x1*=x2* = 3, x3* = 0.

 Select time of travel of all stages and find travel root of shortest time from city 1
to 14.
2 5
9 12
1 3 6 14
10
4 7 13
11
Stage 1 Stage 2 Stage 3 Stage 4 Stage 5
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Lecture 19-20

3/31/2020 WK: 07 Lect 19-20 --- Unit Commitment–II : By Dr. T. N. Malik 1

 Shortest Path problem has following optimal substructure property:

 If we need to find the value for some state say dp[n]

 Recursive backward methodology

 The results in Table 2 provide intuitive results.

 What will be the possible values of state at stage 2?

 The decisions at stage 2 are;

 What will be the possible values of state at stage 1?

 objective function for stage n will be;

 The recursive relationship for stage 2 is;

Stage 1 Stage 2 Stage 3 Stage 4 Stage 5

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