Use of Machine Learning Models to Warmstart Column Generation for Unit Commitment

The unit commitment problem is an important optimization problem in the energy industry used to compute the most economical operating schedules of power plants. Typically, this problem has to be solved repeatedly with different data but with the same problem structure. Machine learning techniques have been applied in this context to find primal feasible solutions. Dantzig-Wolfe decomposition with a column generation procedure is another approach that has been shown to be successful in solving the unit commitment problem to tight tolerance. We propose the use of machine learning models not to find primal feasible solutions directly but to generate initial dual values for the column generation procedure. Our numerical experiments compare machine learning–based methods for warmstarting the column generation procedure with three baselines: column prepopulation, the linear programming relaxation, and coldstart. The experiments reveal that the machine learning approaches are able to find both tight lower bounds and accurate primal feasible solutions in a shorter time compared with the baselines. Furthermore, these approaches scale well to handle large instances. History: Accepted by Andrea Lodi, Area Editor for Design & Analysis of Algorithms—Discrete.