385

Probabilistic Optimal Power Flow

Marcelino

K. Ponnambalaml

Victor H. Quintanal

'University of Waterloo, Waterloo, On., Canada N2L 3G1

'Institute Tecnol6gico de Morelia, Morelia, Mich.,MBxico 68000, Po.

Box 362

Abstract. This paper presents a new formulation and the OPF variables. The POPF is then reformulated as solution approach to a Probabilistic Optimal Power Flow a perturbated problem. The system load is considered
(POPF) problem. In this formulation, system demand is taken as a random vector of correlated variables, which allows us to consider the dependence between load types and locations. The POPF is clearly formulated and the optimality conditions are considered as a general nonlinear p r o b a b i t i c transformation. A First- Order SecondMoment Method (FOSMM) is used to find their statistical characteristics. Computer results, and their comparisons to Monte Carlo Simulation (MCS) approach, demonstrate the accuracy of our proposed methodology. independent, and Newton's method is used to find the numerical solution. However, none of these pioneering research have pointed out that any linear or non-linear OD problem that contains inequalities is a general stochastic programming problem; this class of problems is one of the most 7. challenging one [ ] Statistical properities around a spe&c solution, together with its active set, can be computed. In this paper, we propose the use of FOSMM to accurately compute the statistical properities of a specific solution point of a POPF problem. This paper's POPF considers the inclusion of system demand as a general vector of correlated random variables. Optimality conditions are treated as a general nonlinear probabilistic transformation, and FOSMM is used to compute the solution's statistical characteristics. The method is general in that it permits the cosideration of local and system wide dependence between real and reactive load. At the solution point, we are able to compute al expected values and covariances l between any two output variables (;.e., the correlation between incremental cost and a nodal real power demand). This probabilistic information is of increasing interest in the new deregulated environments, where a better or probabilistic estimates of spot prices are necessary i order to price several system services [9] [ll]. n

1.

INTRODUCTION

The behavior of a power system load is stochastic in nature. Even with the most accurate load forecasting techniques, the deterministic data that is fed into short-term power-systems operation and planning tools, are still incorrect. To account for these and other sources of uncertainity, to guide the power-systems operations for a certain system-demand range, probabilistic techniques have been used since the early seventies [SI. The uncertainity in system demand was first considered in a standard Power Flow problem. In [2], the problem is first formulated as a general probabilistic linear transformation and normal random variables are used to model the system load. In [4], the problem is treated as a general nonliner problem and the FOSMM is used to find the mean values and variances. To account for Merent types of distributions, the Fast Fourier Transform is used in [l], with the assumption that the system load is a vector of independent random variables; later, the same authors expanded their technique to account for load dependences [ ] 3. System load uncertainity in Optimal Dispatch (OD) problems was first considered in [lo], where Gram-Charlier series are used to represent the Probability Density Function (PDF) of the system load, and a gradient technique is used to solve the optimization problem. A more general formulation of the POPF problem is presented in [5]; it is assumed that random perturbations in system load can be represented as random perturbation in all

In Section 2, the FOSMM is briefly described. In Section

3, the POPF problem is formulated and its underlaying structure and solvability is discussed. FOSMM is used to find the local approximations to the solution. In Section 4, results on a 5-node power system are presented; by comparing these results with those obtained by the MCS approach, the accuracy of our approach is demonstrated. F i i y , conclusions and possible future research work are presented.

0-7803-4314-X/98/$10.00 01998 IEEE

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and c b is the coMliance matrix. h(x) : R" -+ Rp represents several equipment and system inequality constraints. FOSMM has been used to obtain approximations to The first-order necessary condition of optimality for probthe statistics of a general probabilistic transformation or lem ( 5 ) can be written as model of the form

2.

FIRST ORDER SECOND MOMENT METHOD

Y = g(x)

(1)

V&z, A) = V,f(x) VTg(X)A= 0 Vxt(z, g(X) - b = 0 A)

where the Lagrangian function is given by
4 5 A) = f(x)

(6)

(7)

where y E R" is the output vector, g : R" + R is a " nonlinear vector function and x E R" is a input random vector with mean 5, covariance matrix C,, and joint probability density function f x ( z )[ I S. If all the analytical solutions of the nonlinear system (1) are known, then theorically fy(y) can be obtained [6] and hence all the statistical properities of y can be derived from it's density function. Given fy(y), to find the first and second moments, together with all the analytical solutions of (I), is a practically impossible task, even for small systems, i.e., n = m = 2. What have been traditionaly used to solve this problem are When only computer-expensive MCS approaches. estimates of mean and variances are required, FOSMM can be used, as described next. The general nonlinear model (1) can be linearized using a first-order Taylor serie's expansion for g(z), around 5, to obtain the approximate model

+ ATb(X) - bl

(8)

The function g(z) and vector b contain g() o . and bo, respectively, and the corresponding information on the active inequalities from h ( z ) 5 0. Optimality conditions (6) and (7) are a large nonlinear system of equations that can be linearized about the mean values, ?? and 1,as follows:

(9)

Taking expectation in both sides of (9),

Taking expectation in both sides of (2), approximations for y mean vector and covariance matrix are obtained

In short hand notation, (10) can be written

as

a first-order second-moment method consists on taking the model's first-order approximation (2) in order to find the first- and second-moment information of the output variables y (equations (3) and (4),respectively).
sumary,

In

from (ll), the second order statistical information of variables z is obtained as follows:

c = E { ( z - q z - s)T} :
= E(W-1 VZL(Z)VZP(Z)W--~} = w-'E{vZC(~)VIL*(Z)}W-' (12)
W-lCrW-'

3.

PROBABILISTIC OPTIMAL POWER FLOW

From

(lo), CL 4 E{VZL(Z)VZLT(Z)}given by is

The POPF can be formulated as a stochastic nonlinear programming problem of the form min

w 1 .

I g. o ( )

= bo, h(z)5 0 )

(5)

where f(z) : R" + R is the objective function, g. o) ( : R" -+ R represents the nodal differences between gener" ated and net injected real and reactive power to the net" work, bo E R ' is a random vector that represents the active and reactive system nodal demand, with E(b,) = E,,.

In sumary, once the OFF is solved with mean load values, the covariance matrix af all solution variables can be easely obtained by (12). Only 2N forward and backward substitutions are needed to efficiently solve this equation. It has to be noticed that any optimization technique, es +-- -.-&-I. I:-:that ~ r o ~ i d nprnnrl nvrlev ;nfnn*mnt;r\n
r\n

387

function and on the active set of inequalities, can be used to compute the solution. In our case, the OPF problem is solved using the Newtons method in association with a combined penalty and Langrange multiplier approach to handle inequality constraints. Once the output variables z are known, the statistical properities of any functional of the form given by (1) (i.e., load flows, non-binding reactive power generations, system losses, line flows etc.) are obtained using FOSMM, as described in Section 2. It is now possible to compute statistical dependences between any variables (;.e., the correlation between a real marginal cost and a reactive marginal cost, or between a real power generation and any marginal cost). Such information is very helpful for operational and decision purposes under deregulated environments, especially for pricing purposes [9] [ll].

-+ 34;) = P{ L 5 z 5 z j } = 1). These confidence limits z z

can be used for several purposes; we ommit confidencelimits numerical values due to space limitations.

4.2-

Comparison to Monte Carlo Simulation

The MCPOPF consists mainly on the following steps : (1) generation of random samples following the given load mean vector and covariance matrix; (2) solve the OPF for each of the samples and store the soltuion; and (3) compute the statistics of stored data. Several tests have been carried out with the above test system, using Werent system load variance values. The value of the variances are computed from the mean values, assuming Gaussian distribution: 3az = pE. For various values of p , Table 2 shows the mean errors for the mean and variance of nodal quantities (V,6, P g ) , as compared to those obtained with MCPOPF. In a l cases, MCPOPF l used 150 samples. Table 2: Mean and variance error Vi U(K) I 6i a(Si) Pgi u(Pgi) 0.0058 2.9765 I 1.2324 3.8557 I 0.7616 9.4866 0.0025 4.3350 2.6940 0.9426 0.7706 4.0841 0.0115 8.5512 1.5527 11.429 2.7300 14.340 0.0082 9.2487 0.7730 5.3659 5.6370 6.2037

4 RESULTS .
A computer program has been implemented using MATLAB solve the POPF problem using the methodto ology described. The base OPF is solved using the Newtons method, also implemented in MATLAB. MCS A approach to solve the POPF (MCPOPF) has been also implemented in MATLAB order to compare the results in of our proposed approach. A 5-node power system is used to demonstrate the efficacy of our methodology. Since our approach solutions for larger systems strictly depends on the OPF ability to find a solution for such systems, there is no need to show results on larger systems.

p% 10 30 40 50

I
I

From Table 2, it can be seen that the mean approximation is very good for almost any value of p; however, in some cases, the variance error increases as p does. According to a desired degree of accuracy, it can be decided when a new OPF would be necessary to improve the mean values. Two Merent PDF% are shown in Figure 1; these have been obtained from the parameters given by the FOSMM approach (first row) and MCPOPF (second row), for the case of p = 30% in Table 2.

4.1.

Mean and Variance Results

Table 1 shows the mean and variance of the optimal solution obtained with the FOSMM approach.
md variance, 6i

i
1
2

Vi

u(K)

a(6i)

3 4 5

1.0000 0.0000 1.0005 0.0000 0.9952 0.0002 0.9909 0.0003 0.9943 0.0002
Q,j u(Qgi) 0.2097 0.0102 0.2074 0.0091 0.0000 0.0104 0.0000 0.0076 0.0000 0.0128

0.0000 0.0000 0.2184 0.0432 -0.5784 0.0550 -1.2188 0.0320 -0.7309 0.0000

Pgi a(Pgi) 0.5513 0.0392 0.8000 0.0000 0.0000 0.0000

0.0000 0.0000

i
1
2 3
4 5

XP~ ~(XP;) 10.8231 0.0941 10.8190 0.0945 10.8343 0.0949 10.8468 0.0952 10.8373 0.0947

0.0000 0.0000 0.0052 0.0002 0.0092 0.0004 0.0059 0.0002

l/A,,jA,,i I
OO 0.5

1.5

10

12

14

15 I

15r

05

15 .

10

12

14

In this case, Pg2 is a t its upper limit (PgnZz = 0.8) and, hence, its variance is zero. With the values above we can readily find 100% confidence limits (P{Z - 3az 5 z 5

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5.

CONCLUSIONS

J.F. Dopazo, O.A. Klitin, and A.M. Sasson. Stochastic load flows. IEEE Transactions on Power Apparatus and Systems, PAS-94(2):299-303, M a r d l 1975. M.E. El-Hawary and G.A.N. Mbamalu. A comparision of probabilistic perturbation and deterministic based optimal power flow solutions. IEEE Transactions in Power Systems, 6(3):1099-1105, August 1991. A. Papoulis. Probability Random Variables, and Sochastic Processes. McGraw-Hill International Editions, Third edition, 1991. Wets R. J-B. Challenges in stochastic programming. Mathematical Programming, (75):115-135, 1996. M.Th. Schilling, A.M. Leite da Silva, R. Billinton, and M.A. El-Kafy. Bibliography on power system probabilistic analysis (1962-1988). IEEE Transactions o n Power Systems, 5(1):1-11, February 1990. F.D. Schweppe, M.C.Caramanis, R.D. Tabors, and R.E. Bohn. Spot pricing of electricity. Kluwer Academic Publishers, 1988. [lo] G.L. Vivian and G.T. Heydt. Stochastic energy dispatch. IEEE Transactions o n Power Apparatus and Systems, PAS-100(7):3221-3227, July 1981. [11] P. Wijayatunga, P. Farmer, and B.J. Cory. Probabilistic costing of transmission service. IEE conference o n Probabilistic Methods in Power Systems, London, pages 1-6, 1991.

This paper has presented a formulation of a Probabilistic Optimal Power Flow problem that considers system's load as a general vector of correlated random variables. Although the statistics a t a given optimal solution can be calculated, the resulting stochastic non-linear programming problem is not known to have a procedure to find its analytical solution.
The central idea of our approach is to treat optimality conditions as a general nonlinear probabilistic transformation which, in turn, can be studied using the First-Order Second-Moment Method. Once the mean values and variances of aJl solution variables are computed, the same can be done for any functional combination of them (Le., systems losses, cost, reactive generation, etc.) The approach is relatively inexpensive because any OPF solver that provides second-order derivative information can be used to compute the statistical results. In our case, we have used a Newton's algorithm is association with penalty and Lagrange multiplier approach to handle inequalities. Comparative results to Monte Carlo Simulation showed that our approach is accurate in determining the mean values and variances of the optimal solution. The information that is provided at the solution point is of increasing practical application in deregulated electric energy environments for pricing purposes. The formulation can be easily extended to include uncertainity in the objective function (generation cost). A harder problem is to introduce discrete random variables in order to model the uncertainity of some components availability.

APPENDIX A.
The P O P F objective function that has been considered is the minimization of active power generation costs,

c (Pgi) i
iEng

(14)

where n g is the set of power generators in a system. The The first author gratefully acknowledges CONACyT and equality constrains that model the nodal real and reactive Instituto Tecnol6gico de Morelia in M&ico, for providing power balance are written using the polar-form powerfinancial support to persue his Ph.D. studies at University %ow equations, of Waterloo.

ACKNOWLEDGEMENTS

REFERENCES

R.N Allan, A.M. Leite da Silva, and R.C. Burchett. Evaluations methods and accuracy in probabilistic out reactive support as well as binding reactive sources. load flow solutions. IEEE Transactions o n Power Real and reactive power generations, voltages, and line Apparatus and Systems, PAS-100(5):2539-2546, May flows (Lis the set of transmission lines) are limited due to equipment and system constraints, 1981.
B. Borkouska. Probabiilitic load flow. IEEE Paper No, T73 485-0, presented at the summer Meeting, Vancouver, February 1973. A.M. Leite da Siva, V.L. Arienti, and R.N Allan. Probabilistic load flow considering dependence between input nodal powers. IEEE Transactions o n Power Apparatus and Systems, PAS-lOs(6):25392546, June 1981.

Pg;-Pdi-P;(XS)=o V i E N (15) - Qd; - Q;(V,6) = 0 V i E M (16) N is the set of system's buses, M is the set of buses withQg;