Enhancement to the Combination of Point Estimate
Method and Gram-Charlier Expansion Method for
Probabilistic Load Flow Computations
Marie-Louise Kloubert, Christian Rehtanz
TU Dortmund University
Institute of Energy Systems, Energy Efficiency and Energy Economics
Dortmund, Germany
Marie.kloubert@tu-dortmund.de
Abstract— Due to growing uncertainties in the grid, probabilistic
load flow methods achieve more attention. The Point Estimate
Method (PEM) was introduced in 1975 first and was enhanced
since then. In a first step, this paper evaluates the applicability of
the method considering different input data to analyze the
limitations of the method. Different input data exist through the
diversity of generators and loads with diverse characteristics.
Discrete probability mass functions (PMF) and continuous
probability distribution functions (PDF), e.g. Normal, Weibull
and Student-t distributions are considered for input data with
different standard deviations. The statistical moments are
calculated with the PEM. Often the evaluation of statistical
moments is not sufficient, but rather the PDF and cumulative
distribution function (CDF) of the output variables are of interest.
Therefore, the method can be extended by expansion methods.
Nowadays, Gram-Charlier Expansion (GCE), Edgeworth- and
Cornish-Fisher-Expansions are mainly used. This paper shows
that the existing expansion methods cannot deal with discrete
PMF as they lead to PDF and CDF with multimodality.
Therefore, this paper amplifies the method to determine the PDF
and CDF of the output variables with given discrete PMF as input
variables. In addition, modifications are shown to reduce the
computational burden regarding a greater amount of input data
in a large grid.
Keywords— Point Estimate Method (PEM), Gram-Charlier,
Edgeworth, Cornish-Fisher, expansion, discrete probability mass
function (PMF), probability density function (PDF), probabilistic
load flow
I. INTRODUCTION AND PROBLEM STATEMENT
Through the increase of renewable energy in the electrical
grid the uncertainty in the grid grows. Therefore, the use of
deterministic load flow reaches its limit. In 1974 [1],
probabilistic load flow was introduced and since then, a variety
of approaches were presented, e.g. [2-4]. These methods need
PDFs of all uncertain variables as inputs to evaluate the
uncertain output data. The existing approaches can be divided
into three main classes: Monte Carlo Simulations (MCS),
analytical methods and approximate methods. MCS is the most
common method. It uses the exact non-linear load flow
This work was supported by the German Research Foundation DFG as
part of grant RE 2930/12-1.
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equations and does not simplify the model. Considering the
PDF, random values are generated and the deterministic load
flow is calculated various times. This results in high
computational burden and calculation time. Nevertheless, it is
the most flexible and accurate solution method for probabilistic
load flow calculations and can be used as a reference method
for other techniques [5].
Analytical methods are more efficient regarding its
computation time. The most important method is the
convolution technique. The method has two main
disadvantages [6]: The convolution technique conditions the
linearization of the nonlinear power flow equations. Therefore,
the load flow equations are linearized at the operating point
using Taylor Expansion [7]. Close to the operating point, the
linearization is sufficient, but gets more inaccurate for larger
deviations. One approach to overcome these difficulties is the
use of multilinearizations, as shown in [8]. The second
disadvantage is the assumption of statistical independence of
input variables. In addition, the input variables are often
assumed to be normally distributed to simplify the method and
calculation time [6].
The third class comprises the approximate methods. Using
this method, the statistical moments of the output variable are
approximated. The most common methods are the Taylor
Series Expansion method, the First-Order-Second-Moment
method and the PEM [9]. In contrast to the MCS and analytical
approaches, the PEM calculates the statistical moments of the
output variable only, i.e., the PDF and CDF are not determined.
In addition, expansion methods are applied to determine them.
The known methods are the GCE, the Edgeworth- and the
Cornish-Fisher-Expansion [10]. For output variables close to
normal PDF, the expansion methods show accurate results but
fail for multimodality which appears when the influence of a
discrete input variable on the output variable is large. In [18]
the use of convolution is proposed to solve the difficulties. The
convolution results in high computational burden.
This paper focusses on the PEM which was first introduced
in [11]. The method was extended and applied, e.g., in [12-18].
 The existing paper have not analyzed yet, to what extent the with the marked two concentrations for = 2 is shown in
method can be used considering different input data. Besides, fig. 1. The point of evaluation can be calculated with (1).
the accuracy of the determination of the PDF and CDF using
expansion methods is hardly considered. Therefore, this paper = , + , ∙
(1)
evaluates the applicability and limitations of the PEM and GCE ∀ = 1, … , ; = 1, … , ,
considering different input variables first. For the input data
continuous PDF, e.g., Normal, Weibull and Student-t
where , is the standard location, the statistical mean and
distributions, and discrete PMF are considered. The different
PDF and PMF represent different characteristics of renewable the standard deviation of the input random variable. The
energies, power plants, loads or unavailabilities of these. Then, standard location , can be obtained by solving the nonlinear
a method is presented to deal with the found limitations, e.g. equation system (2) at k concentrations, whereas , is the vth
determine PDF and CDF with discrete PMF as input data. In standardized central moment of the input data with the
addition modifications are presented to deal with a high amount PDF ℎ .
of discrete variables in a large grid considering the
computational burden. The contribution of this paper is, ∑ =
,
therefore, showing the limitations of the existing PEM and GCE
and presenting an enhancement to deal with the found (2)
limitations. ∑ , ∙( , ) = ,
In section II the basic approach of PEM and GCE is ∀ = 1, … , ; = 1, … ,2 − 1
presented, section III deals with the amplification of PEM and
GCE method to regard discrete PMF and the computational Considering k=2 the equations can be simplified by setting the
burden. In section IV the applicability and limitations of the standard location , = 0 and solving the equation system (2)
basic and enhanced methods are tested and compared. for k=2.
Section V concludes.
II. BASIC APPROACH OF PEM AND GCE , ,
, = + (−1) ∙ + (3)
2 2
PEM
1) Introduction ∀ = 1, … , ; = 1, 2
The first PEM was introduced by Rosenblueth in 1975 [11] , (4)
for symmetric PDF and was extended in 1981 for asymmetric , =− ∙ ∀ = 1, … ,
, ,
PDF as input data [11]. The basic idea of the PEM is to evaluate
the statistical moments of the output variable by bundling the = ∙ ,
∀ = 1, … , (5)
,
statistical information of the input variable in k points, called , ,

concentrations. Using these concentrations and the with the skewness , . Using this method it must be
deterministic load flow, the statistical moments of the output considered, that the locations may fall out of the function´s
variable can be calculated. definition domain as the standard locations depend on the
To evaluate the statistical moments of the output variables number of input variables m [5].
in the approach by Rosenblueth, every input variable is
considered with two concentrations. As this approach considers 0.4

all combinations, 2m calculations are needed, where m 0.35

represents the number of uncertain input variables. Based on 0.3
this approach, other PEM methods were developed. They differ
0.25
in the amount of concentrations of every input variable, the
Density

amount of simulations and the ability to consider 0.2 X

correlations [12-18]. 0.15

2) km (2m) PEM based on Hong 0.1

The described method is based on Hong [17] and was also 0.05
presented in [5]. This method is developed for k concentrations
0
but often applied for = 2. Therefore, the following -4 -2 0 2 4
description shows the first two equations for k concentrations x
and specifies it for = 2, afterwards. The km PEM based on
Hong concentrates the statistical information given by the first Figure 1: Example of the concentrations marked on a PDF of a normal
moments of the PDF of the input variable at k concentrations distribution for k=2.
for each input variable. The kth concentration of the input
variable is defined as a pair of values (al,k, wl,k), whereas a is After determining all concentrations (al,k, wl,k), the
the point of evaluation and w is the weighting. The weighting deterministic load flow problem F is solved 2m times. One
shows the importance of the point of evaluation al,k for the value is the concentration al,k, while all other (m-1) are mean
output variable zs. As an example a PDF of a normal distribution

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 values, e.g., ( , ,…, , ,…, , ). The output represented by ( ) and the PDF is represented by ( ). The
values can be determined by derivative of ( ) and ( ) can be determined with the
Hermite polynomial shown, e.g. in [19, 20], or analytically.
= ( ,
, ,…, , ,…, , ) (6)
The constant coefficients of the GCE are determined by the
∀ = 1, … , ; = 1, … , . moments. The first coefficients are shown:
The vth moment of the output vector [Z] can then be =1
approximated by = =0
( ) ≅ ∑ ∑ ∙ (7) (20)
, , ,
= − .
∀ = 1, … ,2 − 1. ! ( , )

In a next step the first three cumulants can be determined by The GCE is calculated for each output variable.
, = ( ) ∀ = 1, … , (9)
(10) III. NEW APPROACH OF PEM AND GCE FOR MULTIMODAL
, = ( )− ( ) ∀ = 1, … , DISTRIBUTIONS
= ( )−3∙ ( )∙ ( )+2∙ ( ) (11) Using the basic approach, the results of the statistical
,
moments of the output variable including discrete distributions
∀ = 1, … , are accurate. In contrast, the approximation of the CDF and
to evaluate the central moments in a following step. PDF using the expansion method fails as it cannot represent the
multimodality. The mean values and standard deviations of
,
= 0 ∀ = 1, … , (12) discrete variables are calculated using (21-22). Therefore, the
information of having a discrete distribution is lost, when
,
= , ∀ = 1, … , (13) calculating (1)-(5). The resulting multimodality cannot be
detected.
,
= , ∀ = 1, … , (14)
=∑ ∙ (21)
In a last step, the mean value, the standard deviation and the
skewness are determined for all output variables: = ∑ ∙ ² − (∑ ∙ ) . (22)
= , ∀ = 1, … , (15)
1) Enhancement 1 (En1)
= ∀ = 1, … , (16) To overcome these limitations, an enhancement (En1) is
,
introduced. Instead of concentrating each discrete variable in
= ,
∀ = 1, … , . (17) one and , all values of all discrete variables with non-
,
( , ) zero probabilities are regarded separately. This results in ∙
new discrete variables and mean values, where r is the original
Expansion Methods amount of discrete variables and the amount of values with
non-zero probabilities.
1) Introduction
The output of the PEM are the statistical moments of the output = (23)
data. To approximate the PDF and CDF of the random =0 (24)
variables, the expansion methods are used. Nowadays, GCE,
Edgeworth- and Cornish-Fisher-Expansions are mainly Fig. 2 shows an example of discrete variables.
used [10]. The distributions are estimated by a series of a
standard normal distribution and its weighted derivatives. As
Probability

the approximations are based on the normal distribution, the

performance declines with other distributions than normal
distributions. As the GCE is used in this paper, the method is
described in the following.
2) GCE
If only the first order is regarded, the Edgeworth Expansion
and GCE are the same for the standardized variable. The series
Probability

to express the approximated CDF ( ( )) and PDF ( ( )) of

the random variable x is defined as follows
( )= ( )+ ( )+ ( )… (18)
( )= ( )+ ( )+ ( )… (19),
whereas x is a variable with a continuous distribution with Figure 2: Example for discrete variables, discrete variable 1 has =
mean μ and standard deviation and a standardized variable 5 values with non-zero probability and discrete variable 2 has =7
= ( − )/ . The CDF of the normal distribution is values with non-zero probability.

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 In the basic version, 2 ∙ load flow calculations and
h expansion calculations are needed, where is the amount of
(continuous or discrete) variables and h the amount of output
values. With mc describing the amount of continuous variables,
the amount of calculations grows to ∏ ∙ (2 ∙ + 1) load
flow calculations and ∏ ∙ ℎ expansion calculations for
En1. First, all = ∏ combinations and their joint
probability are determined. In each one possible combination
of discrete values of all r discrete variables are described. For
each combination, the calculations (1)-(17) are solved,
separately. This results in f mean values, standard deviations
and skewnesses for all output variables. In a last step of the En1
the mean values are weighted and added together considering
their weighting factors resulting from the probability of each
combination:
=∑ ∙ .
Finally, the expansion method is used for all f mean values,
standard deviations and skewnesses, separately. Therefore, the
procedure for the expansion method needs to be done ∏ ∙ ℎ
times. This results in f PDF and CDF for each output variable.
They are weighted and added together as the mean values (25):
=∑ ∙ (26)
=∑ ∙ .
With a growing number of discrete variables having a great
number of non-zero probabilities, the amount of calculations
rises strongly for both PEM and the expansion method.
2) Enhancement 2 (En2)
In the following, this paper shows a simplification of En1, that
reduces the amount to 2 ∙ + + (∏ − 1) load flow
calculations, h expansion calculations and f shiftings (S). This
method is called En2. The idea is based on a linear
transformation. Instead of calculating (1)-(17) for all
combinations and weighting them due to their probability
and calculating the expansion method ℎ ∙ times, the procedure
is only done for one combination using (23) and (24). In
addition f-1 load flow calculations are solved for each
combination , except that combination which was already
considered before. For all other (m-r) values the mean values
are used, e.g. ( , ,…, ,…, ,…, , ). This
results in f mean values. Besides the assumption = and
= is used. In this step it is assumed that the influence by
one variable with a constant value is always the same on the
output variable, which is approximately accurate, if the
majority of all other variables are kept constant. Otherwise, a
linearization error occurs, that depends on the distance to the
operating point. In a last step, the expansion method is used to
determine the PDF and CDF of the output variables. As and
are kept constant for all combinations, the expansion
method only has to be calculated once for each output variable
and then shifted to all f-1 mean values . The results are
weighted regarding their joint probabilities of the combinations
and summed together (25-27).
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3) Modifications to deal within a large grid
Considering a larger grid with more continuous variables mc
as input data and more output data h, the amount of
calculations using En2 grows linear. But with a high amount
of discrete input variables with a great number of non-zero
probabilities, the amount of combinations f grows extremely.
Each combination results in one load flow calculation and a
shift of the PDF and CDF for all h output values. To reduce the
amount of shifting, the PDF and CDF is calculated only for
critical output values. Critical output values could be values
with a chance to exceed the constraints. Considering the range
of the calculated mean values and standard deviations for each
output value, the output values can be grouped in critical and
uncritical output values.
In addition, the shifting S is only necessary for output values
(25) with multimodality. The multimodality can be detected by the
deviations between one mean value and all other mean values.
If all deviations are smaller than a preassigned value, then no
multimodality occurs. If few deviations are greater than a
preassigned value, then, few modes or even only one mode
exists and the shifting is determined only for the critical
combinations. The weighting is adjusted likewise.
IV. TEST CASE
(27) In the following, the applicability and limitations of the basic
approach of PEM and GCE-Method (called basic) and the
enhanced approaches (called En1 and En2) are tested. The
results are compared with the MCS as the reference method.
The test cases focus on different continuous PDF (test case A)
and discrete PMF (test case B). To analyze the behavior, a
small grid consisting of six buses is used (Figure 3). Node 1 is
the reference node, generators are connected to node 2 and 3
and reactive and active loads are installed at node 4, 5 and 6.
Considering different distributions for input data, the output
values are determined using the MCS and the basic and
enhanced methods (En1 and En2) to show the quality of the
solution achieved by the presented methods.
③
② ~
~
⑥
① ⑤
~
④
Figure 3: Small test grid designed by Wood and Wollenberg [21].
The amount of calculations for the MCS depends on both the
amount of input data and the standard deviation of the input
data. With the integration of more discrete data with great
standard deviations, the required calculations for MCS grows.
This is monitored by the convergence criteria.
The output values are the active and reactive power at the
reference node, the reactive power at all infeed nodes, the
absolute values of the voltages at all load nodes, the absolute
values and phases of the voltages at all infeed nodes and all
active and reactive load flows on all lines. As an example,
some calculated PDFs and CDFs are shown and the deviations
 of the mean values and standard deviations using the different
methods. All methods have been implemented in MATLAB on
a Intel Core 3 GHz PC with 8 GB RAM. MATPOWER has
been employed to solve the deterministic load flow problems.
version needs only 1 s for the determination of the statistical
data and another 6.1 s for determining the mathematical
formulation of PDF and CDF of all output data.
Table 1: Input data for test case A

A. Different continous distributions as input data: Input Type of Mean (N, St)/ Standard deviation (N)/
Weibull (Wb), Normal (N) and Student-t distribution (St) value distribu Scale parameter (Wb) degree of freedom (St)/
Test case A shows the quality of the results using continuous tion Shape paramter (Wb)
distributions. Table 1 shows the statistical data of all input P_G2 N 55 2
values. At node 4 a student-t distributed active load is P_G3 N 70 1.8
connected and at node 5 and 6 a Weibull distributed active load P_L4 St 30 5
is connected. All generators and other loads are normally P_L5 Wb 40 10
distributed. P_L6 Wb 70 25
As this test case does not consider discrete values, the methods Q_L4 N 56 3
basic, En1 and En2 show the same results and calculation time. Q_L5 N 70 2.45
Therefore, these results are summed up in this test case with Q_L6 N 80 3
the term PEM+GCE. The deviations between MCS and
PEM+GCE are small for both regarding PDF and CDF and B. Discrete PMF as input data
regarding the mean values and standard deviations.
As an example, Figure 4 shows the PDF and CDF of the line Test case B includes additionally discrete PMF as input data.
between node 2 and 6 using MCS and PEM+GCE. The active load connected to node 6, the reactive load
connected to node 4 and the generation at node 3 are discrete
distributions. The load at node 5 is Weibull distributed, all
other input values are normally distributed as seen in Table 2.
MCS
0.25 PEM+GCE Table 2: Input data for test case B
0.2 Type of Mean (N)/ Standard deviation (N)/
Input distri- Scale parameter (Wb)/ Shape parameter (Wb)/
Density

0.15 value bution Probability (D) value (D)

P_G2 N 70 5
0.1 P_G3 D 0.2; 0.4; 0.4 80; 120; 145
P_L4 N 70 3
0.05 P_L5 Wb 67.5965 5.5281
P_L6 D 0.2; 0.4; 0.4 50; 65; 75
0 Q_L4 D 0.8; 0.2 50; 80
5 10 15 20 25 30
load on line 2-6 [MW] Q_L5 N 70 5.7735
Q_L6 N 70 4.8
1
MCS If some of the input variables are discrete PMF, some output
0.8 PEM+GCE
variables get multimodal. The use of the basic expansion
Cumulative probability

method results in a bad approximation for the PDF and CDF,

0.6
0.4
0.2
0
10 15 20
load on line 2-6 [MW]
Figure 4: PDF and CDF generated by MCS and PEM+GCE.
Comparing the methods MCS and PEM+GCE, the maximal
deviation of all mean values is 0.0113 MVar and the maximal
deviation of all standard deviations is 0.0103 MW. The results
show the high quality of the solution achieved by the
PEM+GCE when different continuous PDF are considered.
While the MCS needs 1534.5 s for 50000 trials, the basic
as can be seen in Figure 5. In contrast, the PDF and CDF
generated by the proposed methods (En1 and En2) fit well. The
results using En1 and En2 differ slightly while the computation
time differs a lot. With three discrete variables and an overall
of eight non-zero probabilities, the computing time is reduced
by 90% when using En2 instead of En1. With more discrete
variables and non-zero probabilities the benefit grows. As 18
25 combinations ( = 3 ∙ 3 ∙ 2) result of the input data, the PDF
and CDF output variables can have up to 18 modes. In the
shown PDF and CDF six clear modes can be identified
(compare fig. 5). In this test case, the majority of all output
variables are multimodal. The degree of multimodality
depends on the influence of the discrete variables on the output
values. Comparing just the results of the mean values, the
methods differ hardly. The biggest deviation is between the
results by the MCS and En2. The maximal difference is
0.3813 MW. As the standard deviation is only calculated for

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 each mode, it cannot be compared for this test case. The
calculation of the statistical data needs 1.1 s and 9.8 s for the
expansion method using the basic method. The calculation of
the statistical data needs 10.2 s and 118.2 s for the expansion
method using En1. With the approach En2 the statistical data
are calculated in 1.8 s and 14.4 s are needed for the calculation
of all PDF and CDF. MCS needs 19780.2 s for 350000 trials.
Convergence was already achieved after 120000 trials.
0.12
0.1
0.08
Density
With the presented enhancement a greater variety of input data
can be considered to represent realistic input data. In the future,
the method En2 will be amplified to deal with correlations
between input variables.
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V. CONCLUSION
With the integration of renewable energies, probabilistic
approaches become more important. This paper shows an
enhancement to deal with discrete variables as input data
resulting e.g. of an unavailability of a power plant. First, the
good applicability of the probabilistic approach PEM and GCE
method for different continuous input variables is shown in test
case A. On the contrary, test case B shows that discrete PMF
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