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Optimizing Large-Scale Linear Energy System Problems with Block Diagonal Structure by Using Parallel Interior-Point Methods

  • GAMS Developement
  • RWE Renewables

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The BEAM-ME project addresses the need for efficient solution strategies for complex energy system models. The project brings together researchers from the fields of energy systems analysis, mathematics, operations research, and informatics and aims at developing technical and conceptual strategies for every step of the solution process. This includes changes to the formulation of the energy system model, improving the solvers and utilising the resources of high performance computing.
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Optimizing Large-Scale Linear Energy System
Problems with Block Diagonal Structure by
Using Parallel Interior-Point Methods
Thomas Breuer1, Michael Bussieck2, Karl-Kiˆen Cao3, Felix Cebulla3, Frederik
Fiand2, Hans Christian Gils3, Ambros Gleixner4, Dmitry Khabi5, Thorsten
Koch4, Daniel Rehfeldt4, and Manuel Wetzel3
1ulich Supercomputing Centre (JSC), Forschungszentrum J¨ulich GmbH
2GAMS Software GmbH
3German Aerospace Center (DLR)
4Zuse Institute Berlin/Technical University Berlin
5High Performance Computing Center Stuttgart (HLRS)
Abstract. Current linear energy system models (ESM) acquiring to
provide sufficient detail and reliability frequently bring along problems of
both high intricacy and increasing scale. Unfortunately, the size and com-
plexity of these problems often prove to be intractable even for commer-
cial state-of-the-art linear programming solvers. This article describes
an interdisciplinary approach to exploit the intrinsic structure of these
large-scale linear problems to be able to solve them on massively parallel
high-performance computers. A key aspect are extensions to the par-
allel interior-point solver PIPS-IPM originally developed for stochastic
optimization problems. Furthermore, a newly developed GAMS inter-
face to the solver as well as some GAMS language extensions to model
block-structured problems will be described.
Keywords: energy system models, linear programming, interior-point
methods, parallelization, high performance computing
1 Introduction
Energy system models (ESMs) have versatile fields of application. For example
they can be utilized to gain insights into the design if future energy supply
systems. Increasing decentralization and the need for more flexibility caused by
the temporal fluctuations of solar and wind power lead to increasing spatial and
temporal granularity of ESMs. In consequence, state-of-the-art solvers meet their
limits for certain model instances.
A distinctive characteristic of many linear programs (LPs) arising from ESMs
is their block-diagonal structure with both linking variables and linking con-
straints. This article sketches an extensions of the parallel interior-point solver
PIPS-IPM [5] to handle LPs with this characteristic. The extended solver is de-
signed to make use of the massive parallel power of high performance computing
(HPC) platforms.
2 Thomas Breuer et al.
Furthermore, this article introduces an interface between PIPS-IPM (includ-
ing its new extension) and energy system models implemented in GAMS, a high
level modeling language for mathematical optimization problems. In particular,
it will be described how the user can annotate their model to communicate its
problem structure to PIPS-IPM. Since finding a proper block structure annota-
tion for a complex ESM is not trivial, we will exemplify the annotation process
for the ESM REMix [3]. With many ESMs implemented in GAMS, the new in-
terface between GAMS and PIPS-IPM makes the solver available to the energy
modeling community.
2 A Specialized Parallel Interior Point Solver
When it comes to solving linear programs (LPs), the two predominant algorith-
mic approaches to choose from are Simplex and interior-point, see e.g. [6]. Since
interior-point methods are often more successful for large problems, in particu-
lar for ESM [1], this method was chosen for the LPs at hand. Mathematically,
a salient characteristic of these LPs is their block-diagonal structure with both
linking constraints and linking variables, as depicted below
min cTx
s.t. T0x0=h0(eq0)
F0x0+F1x1+F2x2· · · FNxN=hN+1,(eqN+1 )
with x= (x0, x1, ..., xN). The linking variables are represented by the vector x0,
whereas the linking constraints are described by the matrices F0, ..., FNand the
vector hN+1. The approach to solve this LP is based on the parallel interior-point
solver PIPS-IPM [5] that was originally developed for solving stochastic linear
programs. However, PIPS-IPM in its original form cannot handle problems with
linking constraints. In the last months, the authors of this paper have extended
PIPS-IPM such that it can now handle LPs with both linking constraints and
linking variables.
PIPS-IPM and also its new extension make use of the Message Passing In-
terface (MPI) for communication between their (parallel) processes, which will
in the following be referred to as MPI-processes. While the details of the solving
process are beyond the scope of this article, an important feature is that the
whole LP can be distributed among the MPI-processes with no process needing
to store the entire problem. This allows to tackle problems that are too large
to even be stored in the main memory of a single desktop machine. The main
principle is that for each index i∈ {0,1, ..., N}all xi,hi,Ti, and Wi(for i > 0)
need to be available in the same MPI-process—hN+1 needs to be assigned to
Optimizing Large-Scale Linear Problems with Block Diagonal Structure 3
the MPI-process handling i= 0. Moreover, each MPI-process needs access to
the current value of x0. The distribution is in the following exemplified for the
case of the information to both i= 0 and i= 1 being assigned to the same MPI-
process (in gray). The vectors and matrices that need to be processed together
are marked in gray, black, and bold, respectively.
min cT
2x2+· · · cT
s.t. T0x0=h0
F0x0+F1x1+F2x2· · · FNxN=hN+1
The maximum of MPI processes that can be used is N; in the opposite border
case the whole LP is assigned to a single MPI-process
The extension of PIPS-IPM has already been successfully tested on small-
scale ESM problems with several thousand constraints and variables by using a
maximum of 32 MPI-processes.
3 Communicating Block Structured GAMS Models to
A recently implemented GAMS/PIPS-IPM interface that considers the special
HPC platform characteristics makes the solver available to a broader audience.
This section is twofold. It outlines how users can annotate their GAMS models to
provide a processable representation of the model block structure and provides
insights in some technical aspects of the GAMS/PIPS-IPM-Link.
3.1 Annotating GAMS Models to Communicate Block Structures
Automatic detection of block structures in models is challenging and hence a
processable block structure information based on the user’s deep understanding
of the model is often preferable. It is important to note that there is no unique
block structure in a model but there are many of them, depending on how rows
and columns of the corresponding matrix are permuted. For ESMs blocks may
for example be formed by regions or time steps as elaborated in section 4.
GAMS provides facilities that allow complex processable model annotations [2].
The modeler can assign stages to variables via an attribute <variable name>.stage.
That functionality originates from multistage stochastic programming and can
also be used to annotate the block structure of a model to be solved with PIPS-
IPM. Once the block membership for all variables is annotated, the block mem-
bership of the constraints can in principle be derived from that annotation.
4 Thomas Breuer et al.
However, manual annotation of constraints in a similar fashion is also possi-
ble and allows to run consistency checks on the annotation to detect potential
mistakes. Without diving deeply into the details of the GAMS language, the
functionality can be demonstrated with a simple example based on the block
structure introduced in section 2. The following pseudo-annotation would assign
stages to all variables xito indicate their block membership.
xi.stage =ii∈ {0,1, ..., N }
Linking variables are those assigned to stage 0. Similarly, constraints could also
be annotated where stage 0 constraints are those containing only linking vari-
ables. Constraints assigned to stages 1,..,N are those incorporating only vari-
ables from the corresponding block plus linking variables and finally constraints
assigned to stage N+1 are the linking ones. Note that the exemplary pseudo-
annotation may seem obvious and simple but finding a good block structure
annotation for a complex model is not trivial. The challenge is not mainly to
find an annotation that is correct in the mathematical sense but to find one
where the power of PIPS-IPM is exploited best. A desirable annotation would
reveal a block structure with many independent blocks of similar size while the
set of linking variables and linking constraints is small.
3.2 The GAMS/PIPS-IPM-Link
Currently, the GAMS/PIPS-IPM-Link implements the connection between mod-
eling language and the solver in a two-phase process. Phase 1, the model gen-
eration, is followed by phase 2 where PIPS-IPM pulls the previously generated
model via its callback interface and solves the problem.
So far, model generation used to be a sequential process where GAMS gener-
ates one constraint after another. For the majority of applications this is fine as
model generation is usually fast and the time consumption is negligible compared
to the time consumed to solve the actual problem. However, some ESMs may
result in sizeable LPs where model generation time becomes relevant. Hence, it
is worthwhile to mention that the previously introduced annotation can serve as
a basis to generate the model in a distributed fashion. Instead of generating one
large monolithic model, many small model blocks can be generated in parallel
to exploit the power of HPC architectures already during model generation.
4 Structuring Energy System Models for PIPS-IPM
In order to distribute all blocks of the full-scale ESM to the computing nodes
of a HPC architecture a problem-specific model annotation has to be provided.
Based on the modeler’s knowledge about the problem at hand the number of
blocks and block structure has to be decided upon corresponding directly to the
assignment of variables to blocks. The semantic information of variables can help
during this process to distinguish between variables belonging to the same block
and linking variables connecting multiple blocks.
Optimizing Large-Scale Linear Problems with Block Diagonal Structure 5
The concurrency of supply and demand of electrical energy necessitates a bal-
ancing for every region and timestep. While in theory these balancing constraints
can be solved independently, transport of energy between regions and storage
of energy require a integrated optimization of all regions and timesteps. The
number of variables and constraints that become linking due to the assignment
of block structures depends strongly on these spatial and temporal intercon-
nections. Transport of energy between two regions is typically represented by
dispatch variables leading to linking variables if their respective regions have
been assigned to different blocks. State of charge variables for energy storages
consider the state of charge in the previous time step and therefore lead to a
large number of linking constraints if each time step is represented by a single
block. Typically, ESM also comprise boundary conditions that link both regions
and time steps, e.g. by the consideration of global and annual emission lim-
its. Details on the REMix model enhanced here are provided in [3]. The high
number of linking variables and constraints lead to a tradeoff between speedup
and parallelism that will have to be studied systematically in future numerical
Figure 1 shows the non-zero entries matrix of the ESM on the left side and the
revealed underlying block structure after permutation of the matrix on the right
side. Linking variables and constraints are marked in dark gray while PIPS-IPM
blocks are marked in light gray.
Fig. 1. Non-zero entries of the ESM and permuted matrix with block structure
5 Summary and Outlook
Large-scale LPs emerging from ESMs that are computationally intractable for to-
day’s state-of-the-art LP solvers motivate the need for new solution approaches.
To serve those needs, extensions to the parallel interior point solver PIPS-IPM
that exploits the parallel power of high performance computers have been imple-
mented. In the future, the solver will be made available to the ESM community
by a GAMS/PIPS-IPM interface
6 Thomas Breuer et al.
The integration of HPC specialists in the development process ensures con-
sideration of peculiarities of several targeted HPC platforms at an early stage
of development. PIPS-IPM is developed and tested on several target platforms
like the petaflops systems Hazel Hen at HLRS and JURECA at JSC as well as
on many-core platforms like JUQUEEN and modern Intel Xeon Phi Processors.
Workflow automation tools explicitly designed for HPC applications like JUBE
[4] support the development and execution by simplifying the usage of workflow
managers like PBS and Slurm.
Initial computational experiments already show the capability of the ex-
tended PIPS-IPM version to solve the ESM problems at hand, although so far
only on a small scale. However, the good scaling behavior and the results of
the original PIPS-IPM in solving large-scale problems [5] suggest that the ap-
proach described in this article might ultimately lead to a solver that can tackle
currently unsolvable large-scale ESMs.
Extensions to the GAMS/PIPS-IPM-Link will finally integrate the current
multi-phase workflow (see section 3.2) into one seamless process to give energy
system modelers a similar workflow compared to the use of conventional LP
The described research activities are funded by the Federal Ministry for Eco-
nomic Affairs and Energy within the BEAM-ME project (ID: 03ET4023A-F).
Ambros Gleixner was supported by the Research Campus MODAL Mathemati-
cal Optimization and Data Analysis Laboratories funded by the Federal Ministry
of Education and Research (BMBF Grant 05M14ZAM).
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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.
The authors discuss new pivoting factorization methods for solving sparse symmetric indefinite systems. As opposed to many existing pivoting methods, our supernode-Bunch-Kaufman (SBK) pivoting method dynamically selects 1×1 and 2×2 pivots and may be supplemented by pivot perturbation techniques. We demonstrate the effectiveness and the numerical accuracy of this algorithm and also show that a high performance implementation is feasible. We also show that symmetric minimum-weighted matching strategies add an additional level of reliability to SBK. These techniques can be seen as it complement to the alternative idea of using more complete pivoting techniques during the numerical factorization. Numerical experiments validate these conclusions.
Extended mathematical programs are collections of functions and variables joined together using specific optimization and complementarity primitives. This paper outlines a mechanism to describe such an extended mathematical program by means of annotating the existing relationships within a model to facilitate higher level structure identification. The structures, which often involve constraints on the solution sets of other models or complementarity relationships, can be exploited by modern large scale mathematical programming algorithms for efficient solution. A specific implementation of this framework is outlined that communicates structure from the GAMS modeling system to appropriate solvers in a computationally beneficial manner. Example applications are taken from chemical engineering.
An Extended Mathematical Programming Framework
  • M C Ferris
  • S P Dirkse
  • J Jagla
  • A Meeraus
Ferris, M.C., Dirkse, S.P., Jagla, J., Meeraus, A.: An Extended Mathematical Programming Framework. In: Computers & Chemical Engineering, vol. 33, pp. 19731982 (17 June 2009), doi:10.1016/j.compchemeng.2009.06.013
Flexible and Generic Workflow Management
  • S Luehrs
Luehrs, S. et al., Flexible and Generic Workflow Management doi:10.3233/ 978-1-61499-621-7-431