SECONDARY PLAN PROBLEM CALCULATION DEVICE, PROGRAM FOR SECONDARY PLAN PROBLEM CALCULATION DEVICE, PERIODIC CURRENT PLAN CALCULATION DEVICE, GENERATOR OUTPUT VALUE CALCULATION DEVICE, AND PORTFOLIO OPTIMIZATION DEVICE

摘要

PPROBLEM TO BE SOLVED: To solve the problem that when variables are set to a value close to upper and lower limit values when repeatedly performing an arithmetic operation by using a Newton method in order to obtain the optimal solution of a secondary plan problem, the calculation is made unstable, and convergence is time consuming, and solutions can not be obtained with no convergence. PSOLUTION: This secondary plan program calculation device is provided with: an initialization means for calculating the initial values of control variables and variables as the Lagrangian multiplier group of the constraint equation group of upper limit constraint or lower limit constraint of the control variables, and for storing the initial values in a variable storage means; a mismatch quantity calculation means for calculating mismatch quantity as the optimal condition separation quantity of a secondary plan problem; a correction quantity calculation means for calculating the correction direction and correction quantity of variables so that the mismatch quantity can be decreased; a fixed variable setting means for setting a fixed flag in the variable storage means corresponding to the control variables whose correction quantity is equal to or less than a first threshold or the slack variables of the control variables; a variable correction means for updating the numerical values of the variable storage means based on the correction direction and correction quantity about the variables which have no fixed flag; and a repetition means for the output of the value of the control variables stored in the variable storage means by making convergence decision. PCOPYRIGHT: (C)2010,JPO&INPIT