Adjustable Robust Two-Stage Polynomial Optimization with Application to AC Optimal Power Flow

Olga Kuryatnikova, Bissan Ghaddar, Daniel K. Molzahn

Published 2021-04-07Version 1

In this work, we consider two-stage polynomial optimization problems under uncertainty. In the first stage, one needs to decide upon the values of a subset of optimization variables (control variables). In the second stage, the uncertainty is revealed and the rest of optimization variables (state variables) are set up as a solution to a known system of possibly non-linear equations. This type of problem occurs, for instance, in optimization for dynamical systems, such as electric power systems. We combine tools from polynomial and robust optimization to provide a framework for general adjustable robust polynomial optimization problems. In particular, we propose an iterative algorithm to build a sequence of (approximately) robustly feasible solutions with an improving objective value and verify robust feasibility or infeasibility of the resulting solution under a semialgebraic uncertainty set. At each iteration, the algorithm optimizes over a subset of the feasible set and uses affine approximations of the second-stage equations while preserving the non-linearity of other constraints. The algorithm allows for additional simplifications in case of possibly non-convex quadratic problems under ellipsoidal uncertainty. We implement our approach for AC Optimal Power Flow and demonstrate the performance of our proposed method on Matpower instances.