# Transform nonlinear cost function to get LP or MILP

I'm trying to schedule power of multiple prosumers in a microgrid. The problem includes a cost function with min and max statements since I want to distinguish between the prices for importing and exporting energy.

The following is a minimal example for the cost function without summing over all timesteps at the moment:

I have two decision variables $$P_{charge}$$ and $$P_{discharge}$$ for the battery storage (one of it is assumed to be always zero) and one other controllable load $$P_{load}$$. Consumption is denoted with positive and generation with negative values. $$C_{import}$$ and $$C_{export}$$ are the per unit prices for importing and exporting energy.

$$C = max((P_{charge} + P_{discharge} + P_{load}) \cdot \Delta T,0) \cdot C_{import} + min((P_{charge} + P_{discharge} + P_{load}) \cdot \Delta T,0) \cdot C_{export}$$

The min and max functions form if-else statements to check if the sum of power flows is negative or positive. Is it possible to introduce some binary decision variables to transform it into a MILP? I want to use a Matlab solver later.

Edit 1:

I have tried to introduce the proposed auxiliary variables but they do not match the desired values I computed from my simulation. So maybe I have to clarify the problem. At first, I simplify power flow of battery to one bidirectional power variable to reduce the problem further.

The image shows a part of my problem. My objective is to maximize $$R - C$$, where $$R \ge 0$$ is revenue and $$C \ge 0$$ is cost. Per unit prices are always greater than or equal to zero and $$C_{import} > C_{export}$$ is valid for now. The nonlinear version would be:

$$R = min(P_{load} + P_{BSS},0) \cdot (-1) \cdot C_{export}$$ $$C = max(P_{load} + P_{BSS},0) \cdot C_{import}$$

I have defined non-negative decision variables $$X_{import}$$ and $$X_{export}$$ with the line capacity (energy per timestep) as upper boundary. Additionally I've introduced following equality constraint:

$$(P_{load} + P_{BSS}) \cdot \Delta T == X_{import} - X_{export}$$

I neglected the injected PV power at this node for now. My goal is to be somehow able to use the auxiliary variables for an upper level node. Maybe I didn't fully understand the proposed answers which might led to the undesired result.

Taking a different tack from Rob, I'm going to assume that the original objective function $$C$$ is correct as stated and is being minimized, with $$C_\text{export}>0$$ being a per-unit compensation value for exported energy (i.e., you pay to import and get paid to export). In that case, splitting the energy expression into $$X_\text{import} - X_\text{export}$$ as Rob does will work if $$C_\text{import} > C_\text{export}$$ but will not work with $$C_\text{import} < C_\text{export},$$ since in the latter case the solver could add an arbitrary amount $$\delta > 0$$ to both $$X_\text{import}$$ and $$X_\text{export},$$ keeping the energy value the same while reaping an undeserved profit of $$(C_\text{export} - C_\text{import})\delta.$$ In this case, you have to introduce a binary variable $$Y$$ and constraints $$X_\text{import}\le M_\text{import}\cdot Y$$ and $$X_\text{export}\le M_\text{export}\cdot (1-Y),$$ where $$M_\text{import}$$ and $$M_\text{export}$$ are upper bounds on the amount of energy that could be imported or exported.

• Thanks you for the hint! I tried to implement this as well. The binary variable seemed to be only zero for every timestep. Do I have to include Y somehow into the objective function? Is M a fixed boundary like the line capacity or is it the maximum for every timestep based on the current power flow? But this would involve some abs functions I guess. Maybe my edited questions helps to clarify the problem. Jul 12, 2022 at 18:35
• $M$ is a constant. It can be indexed by time if you know a priori bounds on imports and exports for that time, but it is not intended to be dependent on the variables in the model. $Y$ does not belong in the objective. I assume that you actually have a $P_{load}$ variable etc. for each combination of prosumer and time step. Whatever the indexing of $P_{load}$ and its siblings, the $X$ and $Y$ variables would have the same indexing.
– prubin
Jul 12, 2022 at 18:50
• Alright, thank you very much! Now it works as intended. I assume that splitting $P_{BSS}$ into charging and discharging power can be treated the same way. Jul 13, 2022 at 10:33

Assuming you meant $$C=\max() - \min()$$ instead of $$C=\max() + \min()$$, you can introduce nonnegative variables $$X_\text{import}$$ and $$X_\text{export}$$ and linear constraints $$(P_\text{charge} + P_\text{discharge} + P_\text{load}) \cdot \Delta T = X_\text{import} - X_\text{export}$$ and then minimize the linear function $$C_\text{import} X_\text{import} + C_\text{export} X_\text{export}.$$

• +1 this. If the economics ($C_\text{import} > C_\text{export}$) are realistic, this will automatically lead to mutually exclusive charging/discharging decisions, completely without leaving the cosy LP space.
– ojdo
Jul 12, 2022 at 11:34
• @RobPratt Thank you for your answer. I tried to implement it but the aux variables didn't match the desired values. I've edited my question to clarify the problem and my thoughts. I hope that helps! Jul 12, 2022 at 15:27