Learning to Solve Large-Scale Security-Constrained Unit Commitment Problems

Security-constrained unit commitment (SCUC) is a fundamental problem in power systems and electricity markets. In practical settings, SCUC is repeatedly solved via mixed-integer linear programming (MIP), sometimes multiple times per day, with only minor changes in input data. In this work, we propose a number of machine learning techniques to effectively extract information from previously solved instances in order to significantly improve the computational performance of MIP solvers when solving similar instances in the future. Based on statistical data, we predict redundant constraints in the formulation, good initial feasible solutions, and affine subspaces where the optimal solution is likely to lie, leading to a significant reduction in problem size. Computational results on a diverse set of realistic and large-scale instances show that using the proposed techniques, SCUC can be solved on average 4.3 times faster with optimality guarantees and 10.2 times faster without optimality guarantees, with no observed reduction in solution quality. Out-of-distribution experiments provide evidence that the method is somewhat robust against data-set shift. Summary of Contribution. The paper describes a novel computational method, based on a combination of mixed-integer linear programming (MILP) and machine learning (ML), to solve a challenging and fundamental optimization problem in the energy sector. The method advances the state-of-the-art, not only for this particular problem, but also, more generally, in solving discrete optimization problems via ML. We expect that the techniques presented can be readily used by practitioners in the energy sector and adapted, by researchers in other fields, to other challenging operations research problems that are solved routinely.