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Jesco Humpola
λογος
Gas Network Optimization
by MINLP
vorgelegt von
Dipl.-Math. Jesco Humpola
aus Melle
genehmigte Dissertation
Promotionsausschuss:
Berlin 2014
D 83
Bildnachweis Einband Vorderseite:
Mit freundlicher Genehmigung von Open Grid Europe GmbH, Essen.
ISBN: 978-3-8325-4505-5
iii
The domain relaxation does not only provide certificates of infeasibility and
cutting planes, it can also be used to construct feasible primal solutions. We make
use of parametric sensitivity analysis in order to identify binary variables to be
switched based on dual information. This approach allows for the first time to
compute directly MINLP solutions for large-scale gas network topology optimization
problems.
All the research in this thesis has been realized within the collaborative research
project “Forschungskooperation Netzoptimierung (ForNe)”. The developed software
is in use by the cooperation partner Open Grid Europe GmbH.
Parts of this thesis have been published in book chapters, journal articles and
technical reports. An overview of the topics and solution approaches within the
research project is given by Martin et al. (2011) and Fügenschuh et al. (2013).
Gas network operation approaches and solution methods are described in detail by
Pfetsch et al. (2014) and with a special focus on topology optimization in Fügenschuh
et al. (2011). The primal heuristic presented in this thesis is published by Humpola
et al. (2015a). The method for pruning nodes of the branch-and-bound tree for an
approximation of the original problem is described in Humpola and Fügenschuh
(2015) and Humpola et al. (2015b) and Humpola and Serrano (2017). The Benders
like inequality is introduced by Humpola et al. (2016).
iv
Zusammenfassung
Ein Viertel des europäischen Energiebedarfs wird durch Gas gedeckt, das durch
ein europaweites Pipelinesystem verteilt wird. Aufgrund von Ausbaukosten von
1 Mio. Euro pro Kilometer ist der Netzausbau ein Milliardenunterfangen. Die größte
Herausforderung besteht darin zu entscheiden, wie das Netzwerk kostengünstig
ausgebaut und genutzt werden kann, um notwendige Gasmengen zu transportieren.
Diese Aufgabe kann mit Hilfe eines mathematischen Optimierungsproblems formuliert
werden, wobei anwendungsnahe Instanzen eine enorme Größe und Komplexität
aufweisen. Ziel der vorliegenden Arbeit ist die Entwicklung neuer mathematischer
Theorien und damit einhergehender Optimierungsalgorithmen, die es ermöglichen,
derartige Probleme zu lösen.
Die Optimierung der Topologie eines Gasnetzwerks kann mit Hilfe eines nichtlinea-
ren gemischt-ganzzahligen Programms (MINLP) modelliert werden. Durch Fixierung
aller ganzzahligen Variablen ergibt sich ein kontinuierliches Zulässigkeitsproblem, das
als aktives Transmissionsproblem (ATP) bezeichnet wird. Die zentrale Methode um
dieses ATP zu lösen, ist eine neuartige Relaxierung, welche Variablenschranken und
einige Nebenbedingungen relaxiert und in der Zielfunktion bestraft. Diese Relaxierung
bildet den Kern der in dieser Arbeit vorgestellten Theorie und ermöglicht so die
effiziente Lösung der Topologieoptimierung eines Gasnetzwerkes. Für den Fall, dass
die Relaxierung keine Primallösung für das ATP liefert, ist es uns gelungen, hinrei-
chende Bedingungen für die Unzulässigkeit des ATP zu formulieren, die durch ein
MILP dargestellt werden. Kurz gefasst kann die Unzulässigkeit eines nicht-konvexen
NLP durch Lösung eines MILP bewiesen werden. Beide Methoden liefern effiziente
Schranken in einem branch-and-bound Lösungsverfahren.
Besteht ein Gasnetzwerk nur aus Rohren und Schiebern, dann wird das ATP als
passives Transmissionsproblem (PTP) bezeichnet. Obwohl die Nebenbedingungen
des PTP nicht konvex sind, konnten wir zeigen, dass seine Relaxierung konvex ist.
Daher kann die Unzulässigkeit des PTP direkt auf effiziente Weise geprüft werden.
Außerdem können mit Hilfe der Relaxierung in diesem speziellen Fall Schnittebenen
für das Topologieoptimierungsproblem aufgestellt werden. Diese repräsentieren die
vii
Unzulässigkeit des PTP und folgen aus der Lagrange Funktion der Relaxierung
zusammen mit einer speziellen Erweiterung, der sogenannten pc-Regularisierung.
Abgesehen von den genannten Klassifizierungen kann die Relaxierung auch genutzt
werden, um primale Lösungen zu konstruieren. Hier nutzen wir die parametrische
Sensitivitätsanalyse, um mit Hilfe dualer Informationen Binärvariablen des ATP zu
identifizieren, deren Werte angepasst werden müssen. Dieser Ansatz erlaubt es zum
ersten Mal, direkt MINLP Lösungen für das Topologieoptimierungsproblem realer
Gasnetzwerke zu berechnen.
Die Resultate dieser Arbeit wurden im Rahmen des Forschungsprojekts “For-
schungskooperation Netzoptimierung (ForNe)” erarbeitet. Die entwickelte Software
wird vom Kooperationspartner Open Grid Europe GmbH aktiv genutzt.
Teile dieser Arbeit sind in Buchkapiteln, Journalen und technischen Berichten
publiziert. Eine Übersicht über die Themen und Lösungsansätze im ForNe-Projekt
veröffentlichten Martin u. a. (2011) und Fügenschuh u. a. (2013). Für Lösungsme-
thoden für die operative Nutzung von Gasnetzwerken verweisen wir auf Pfetsch u. a.
(2014). Ansätze für eine Topologieoptimierung wurden von Fügenschuh u. a. (2011)
beschrieben. Die in dieser Arbeit präsentierte primale Heuristik ist publiziert von
Humpola u. a. (2015a). Die genannte Methode, um Knoten innerhalb des branch-and-
bound Baums abzuschneiden, wurde für eine Approximation des Topologieproblems
von Humpola und Fügenschuh (2015) und Humpola u. a. (2015b) und Humpola und
Serrano (2017) beschrieben. Ein Bericht über die Ungleichungen nach Benders ist in
Humpola u. a. (2016) nachzulesen.
viii
Acknowledgements
First of all, I would like to thank my supervisor Prof. Dr. Dr. h.c. mult. Martin
Grötschel for enabling me to work in such a fascinating field of work, making it
possible for me to apply my theoretical advances to real life scenario.
In addition I wish to thank my second supervisor Prof. Dr. Thorsten Koch. He
encouraged me to attend diverse mathematical conferences, resulting in profitable
discussions, novel ideas and a meeting with Prof. Andrea Lodi, who later agreed to
be one of my supervisors. Moreover, from very early on, he put his trust in me and
encouraged me to follow my own ideas.
Furthermore I would also like to thank Prof. Andrea Lodi for inviting me to
Bologna, having long and fruitful discussions on further applications of the research
of this thesis and for including my defense into his busy schedule.
I have to thank Prof. Dr. Ralf Borndörfer for the constructive discussions we had
over the years and all valuable insights and ideas he shared with me. Thank you for
supporting and motivating me and for providing me with the last finishing touches
and suggestions for this thesis.
I am especially obliged to Prof. Dr. Armin Fügenschuh, Dr. Thomas Lehmann
and Dr. Nam Dung Hoang for careful reading this thesis and for their diverse criticism
and suggestions. I have to emphasize Prof. Dr. Armin Fügenschuh for his willingness
to support my publication ideas, enhancing them and to make our final results so
engaging to read.
I am very grateful to my colleague Felipe Serrano for his essential comments on
Chapter 6 which resulted in the rewriting and rethinking of the whole chapter.
Thanks must go to my colleagues of the working group “Energy” at ZIB, Dr.
Benjamin Hiller, Ralf Lenz, Jonas Schweiger, Robert Schwarz. I always appreciated
our vital discussions and the pleasant working atmosphere. I also like to thank them
for commenting on parts of this thesis.
I would also like to thank our industry partners, in particular Dr. Klaus Spreck-
elsen, Dr. Lars Huke and his team from Open Grid Europe GmbH. They made it
possible to test the algorithms developed in this thesis within real-life applications
by providing the data.
xi
I wish to thank all my former and fellow colleagues of the ForNe project team
and the SCIP group, especially Prof. Dr. Marc E. Pfetsch for all the hours of fertile
discussions we had.
Thank you to Dr. Radoslava Mirkov for all the advice, friendship and inspring
conservations we had over the past years. I am happy I came to Berlin for my PhD.
Also I have to give many thanks to Zara, Daniel, Nadine and my mother for all
the proof reading and rephrasing of my thesis.
I have to express my biggest gratitude to my family, especially to my parents for
supporting me in my studies. Because of you I became the person I am today!
Last but not least, I want to thank Nadine for all her patience and her constant
trust in me.
xii
Contents
xv
4.3.4 Interpretation of Lagrange Multipliers . . . . . . . . . . . . . 85
4.4 Relaxation of Potential-Flow-Coupling Constraints . . . . . . . . . . 88
4.4.1 Conditions of the KKT System . . . . . . . . . . . . . . . . . 88
4.4.2 Different KKT Points . . . . . . . . . . . . . . . . . . . . . . 90
4.5 Solving the Passive Transmission Problem . . . . . . . . . . . . . . . 91
4.6 Integration and Computational Results . . . . . . . . . . . . . . . . . 95
xvi
8 Conclusions 203
A Tables 207
Bibliography 227
xvii
Chapter 1
Natural gas is a nontoxic, odorless, transparent, and flammable gas that originates
from underground deposits. Today natural gas is mainly used for heating private
houses and office buildings, for the generation of electrical power, as fuel for vehicles,
and for several reactions in chemical process engineering. Natural gas usage represents
one quarter of the world’s energy demand (BGR 2013). It must be transported from
the deposits to the customers, sometimes over distances of thousands of kilometers.
For very long distances it is more economic to cool the gas down to −160° so that
it becomes liquid and can be transported by ships (see Cerbe 2008). For shorter
distances or for the delivery to the end customers large pipeline systems are used.
Existing gas networks have usually grown over time. In Germany, the high-pressure
pipeline system was built by gas supply companies. It has a size of approximately
35 000 km (FNBGas 2013).
Historically these companies were both gas traders and gas network operators.
They purchased gas from other suppliers and operated the necessary infrastructure
to transport the gas from those suppliers to their own customers. During the
liberalization of the German gas market these business functions were separated by
regulatory authorities (GasNZV 2005). Nowadays, there are companies that trade gas
and others whose sole task is the operation of gas networks for the transportation of
gas. One of the requirements set by the regulatory authorities is that every trader can
use the network infrastructure to transport gas. Open access to these gas networks
has to be granted to all the trading companies free of any discrimination. This means
that the gas supplies and demands cannot be fully controlled by the network operator.
Therefore the network operator is required to have a high degree of operational
flexibility. The majority of network management is carried out manually with the
aid of simulation software. There is a need to develop a more automated process
1
2 Chapter 1 Introduction: Gas Network Optimization
in order to cope with anticipated challenges associated with the addition of more
traders accessing the network. Here we have developed mathematical optimization
methods to improve the network operation and to enhance the cost effectiveness of
investments in the infrastructure.
The physics of a gas transport network, which is used for the transportation of gas,
can roughly be described as follows: Most of the network elements are pipelines. A
gas flow through a pipeline (pipe) is induced if the gas has different pressures at
the end nodes of the pipe. Usually gas pipelines can withstand nominal pressures of
16 bar up to 100 bar. Typically at long transport distances of about 100 km to 150 km
the gas pressure gets too low which is technically not feasible. In situations where
lack of pressure is an issue compressors are used to increase the pressure again. High
gas pressures can also be problematical in parts of the network. Therefore in order to
protect the network it can be necessary to reduce the pressure by using control valves.
This is particularly important when the network includes older pipelines which have
a lower pressure limit. If parts of the network need to be deactivated, then valves
allow to split the network into physically independent subnetworks.
A gas network is mathematically modeled by a directed graph, refer to Korte and
Vygen (2007) for the notations in graph theory. This graph consists of nodes together
with connecting arcs. The end points of an arc are nodes. Each node corresponds
to a geographical position. Each arc models a network element. We use a directed
graph in order to distinguish between gas flow in the direction of an arc and in the
opposite direction. A network element can either be a pipeline, a valve, a compressor
or a control valve. All network elements determine a specific relation between the
flow through the element and the pressure at the end nodes. Pipelines are called
passive network elements, while valves, compressors and control valves are called
active network elements. Pipelines have a unique relation between the flow through
a pipeline and the pressures at its end nodes. This is different for active elements.
Their physical behavior can be influenced by the network operator, for instance, a
valve can be open or closed. An open valve means that the pressures at the end
nodes are equal, while closed means that there is no gas flow through the valve.
Compressors and control valves can be open or closed. This means that each active
network element has different operation modes or rather configurations available. An
accurate description of every network element is given in Section 3.1.
1.1 Optimization Tasks 3
∃ q, π
a4 s. t. q1 = 1,
−2.1 +1
q2 − q1 = 0,
v4 v5
q2 + q3 = 2.1,
a3 q3 + q4 = 2.1,
q4 = 1,
+2.1 v3
44 q1 |q1 | − (π2 − π1 ) = 0,
44 q2 |q2 | − (π3 − π2 ) = 0,
a2
44 q3 |q3 | − (π3 − π4 ) = 0,
−1
44 q4 |q4 | − (π5 − π4 ) = 0,
v1 a1 v2 π1 = 0,
(a) Test network. 0 ≤ π2 , π3 , π4 , π5 ≤ 92,
π1 , π2 , π3 , π4 , π5 , q1 , q2 , q3 , q4 ∈ R.
Figure 1.1: An example of a test network and a model of the corresponding nomination validation problem
as used in this thesis. The instance has two entries at node v3 with flow amount +2.1 and v5 with flow
amount +1. Two exits are at node v1 with flow amount −1 and v4 with flow amount −2.1. Node v2 is
a transmission node. These node flows imply the arc flows 1 for a1 and a2 and a4 and 1.1 for a3 . Every
arc is a pipeline which means a unique relation between the arc flow and the pressures at the end nodes.
The pressure at node v1 is fixed to zero which implies that any other node pressure is fixed. Hence the
pressure at node v5 is also fixed. The pressure bounds of the pipes imply that the pressure at node v5
violates its upper bound. So the nomination validation problem is infeasible for this instance.
Figure 1.2: Extended versions of the network shown in Figure 1.1a. The discussion in Figure 1.1 explains
that the nomination validation problem 1.1b is infeasible because the pressure at node v5 violates its
upper pressure bound. Decreasing the pressure in node v4 is a possible adaptation in order to reduce the
pressure in node v5 . This adjustment is achieved by the proposed extensions in 1.2a and 1.2b.
additional network elements. Note that operation costs of the network elements are
assumed to be a constant term in this objective which is not taken into account
for the optimization. They are caused by compressors which consume energy for
the compression of the gas or pipelines which have to be maintained regularly, for
example. Figure 1.2 shows two different suitable extensions for the network in
Figure 1.1a. We refer to Figure 1.3 for a visualization of the effect of extending a gas
network. More precisely the node pressures are shown before and after extending
the network. The networks shown so far are only small examples. A real-world gas
network with approximately 4000 arcs for which we want to solve the nomination
validation problem is shown Figure 1.4.
The building costs of a new network element depend on its type. For building a
pipeline the costs are mainly made up of the material costs, the construction costs
and costs of getting permission rights for the use of land. Construction costs for
compressors are different as a compressor is typically built at a single place. We
assume that the construction costs also contain a term representing the operation
costs of the specific network element.
max min
Figure 1.3: Element flow and node pressure corresponding to a realization of a nomination in a test
network consisting of pipelines only. The line width represents the flow value (the thicker the more flow),
while its color depicts the mean value of the node pressures at both end nodes. The nodes are depicted
by squares and the node colors represent the node pressures. In our test case we added two pipelines to
the network which results in a different flow and pressure distribution (see the lower picture). In both
pictures the maximum of the node pressures corresponds to the color red and the minimum to the color
blue.
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