Counting non negative instances of a variable for use in constraint - efficient formulation?

This is an optimisation and not JuMP related question, but I thought it worth asking here. I have a constraint in my model which limits the number of non-negative instances of a variable. Specifically, I have a power balance where there is a slack (load shedding) variable, and I limit the number of times that it can be non-zero:

\sum_{g \in G} gen_{g,t} = D_t + ls_t \quad t \in T \\ lsi_t + eps \geq ls_t / D_t \\ \sum_{t \in T} lsi_t \leq LOLE

where lsi_t is a binary variable and eps is a small number to avoid computational issues.

My question is whether there is literature on efficient formulations of the above, similarly to how, say, in unit commitment the formulation with 3 binary variables tends to be more efficient than with only 1. I imagine there must be some operations research literature on the subject, but searching for key words similar to the ones used in the title haven’t proved useful.

Thanks in advance.

I’d say that https://or.stackexchange.com/ is a better place to ask.

You can take a look at the literature on Chance Constraints to deal with that problem.

Having worked with that problem, I would recommend not using LOLE constraints and using an expected energy constraint instead.

Shameless sales pitch: you can take a look on [1910.12972] Reliability-Constrained Power System Expansion Planning: A Stochastic Risk-Averse Optimization Approach which discusses a bit that kind of problem and alternatives.

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There is not much additional structure to work from, but the last constraint is related to the 0,1 knapsack problem.
I can recommend “Integer Programming” by Michele Conforti, Gérard Cornuéjols and Giacomo Zambelli
(https://www.doi.org/10.1007/978-3-319-11008-0) for good information on integer programming formulations.

Thank you @joaquimg, I actually read your paper :slight_smile: It was very interesting, and I understand your comment on the expected energy constraint.

However, my interest in LOLE is that it’s the reliability indicator enshrined in EU Legislation now (see here), and I want to investigate whether with storage and renewables a LOLE target is equivalent to an EENS target, or if it, say, favours conventional generation. It is also extremely irritating / difficult to include in an optimisation problem because it introduces binaries.

EDIT: I’ve also asked on Stack Overflow - covering all bases!

Thank you @jd-foster, I will take a look to see if I can get any inspiration from there.

@gobs Another equivalent formulation worth considering:

D_t z_t \leq \sum_{g \in G} gen_{g,t} \leq D_t \quad \forall t \in T \\ \sum_{t \in T} z_t \, \geq |T| - LOLE \\ z_t \quad \text{binary} \quad \forall t \in T

(where |S| is the cardinality of the set S)

This difference is

  • no intermediate load-shedding variables (but maybe you use it elsewhere in your formulation).
  • the linear programming relaxation requires at least some of the binary variables z_t to be non-zero and/or fractional, and will may change the branch-and-bound tree for better or worse,
  • this might avoid using the eps

Thanks for the suggestion. As I understand it, you made z_t = -lsi_t, which at first glance I don’t see how this would help, but then again I’m not an expert on this.

I think eps would still be required to avoid numerical issues, but perhaps I’m being to pessimistic about how good / intelligent solvers are (I’m using Gurobi).

I will try it out and let you know!