Presentation AndreDiniz NovemberConference RiskAverseMechanismsBrazilianSystem

RISK AVERSE MECHANISMS IN THE
BRAZILIAN POWER SYSTEM
André Luiz Diniz Nov 7th, 2022
Risk averse mechanisms in the Brazilian power system The November Conference - Brazil and Norway – Nov 7th, 2022
Outline
➢ Overview of the Brazilian Hydrothermal System
➢ Official Models used for Hydrothermal Planning, Scheduling and Price Formation in Brazil
➢ Application of Risk Averse Mechanisms to Energy Planning
Enhancement of Risk Averse Approaches with the Energy Transition
➢ Improvements in the Modeling of System Components, Constraints and Data

➢ Possible Improvements in the Planning Process
Brazilian Interconnected System Centrally
Dispatched by the Brazilian ISO (ONS)
162 hydro plants /386 thermal units +9,000buses / +13,000 transmission lines
398 wind farms /37 PV plants
HYDRO
(61.6%)
THERMAL (13.9%)
+4,000km
GAS/LNG OIL/DIESEL COAL NUCLEAR
WIND/SOLAR (15.4%)
BIOMASS+ OTHERS (8.9%)
Risk averse mechanisms in the Brazilian power system

source: www.ons.org.br The November Conference - Brazil and Norway – Nov 7th, 2022
Uncertainty on Hydro Inflows for the Reservoirs
➢ The main source of uncertainty in the optimization models for hydrothermal

planning is related to the hydro inflows to the reservoirs
Energy inflows – Northeast Region – 1931 - 2019
over 6  difference
between 5% and
95% quantiles
Electrical/Energy Computational Tools
Developed by CEPEL
Electrical Models Energy Models
• Elaboration of PDE Plan

• Assured Energy Analysis
• R1 Report
• R2 Report
• Scheduled Outage Assessement • Price Formation (PLD)

• Transmission Margin
• Planning Studies PMO/PEN (SMs 3.3, 3.7 e 4.3) • Quarterly and Monthly Operation Planning
• Day Ahead Scheduling • Definition of Transmission Limits for PEN Utilities
• Supply Adequacy studies • Data-base Consolidation Project (PCBD) • Assured Energy Computation
• Minimum Storage Levels (Cref) – NT-ONS • Optimization of Systemic Controllers • Prospection of scenarios of
• Flood Prevention and Control (SM 3.7) • Evolution of Short-Circuit Levels Generation and prices
• Official Database for Power Flow, • Override of Circuit Breakers
Short-Circuit and Dynamic Models (SM 3.9) • Access Studies
• Synchronized Reserve
• Access Studies (SM 7.4) • PAR/PEL (SMs 3.1, 3.4 e 4.1) (SMs 7.3 e 7.4)
• Assessment of Recomposition Corridors • Sizing of Harmonic Filters
Optimization Models for Energy
Planning Developed by CEPEL
Expansion Planning  Energy Transition Developed by CEPEL,
collaborating with scientific
community
Economic Analysis of Projects

Validated in working groups in
by ONS, CCEE, EPE, MME,
Energy Trading
ANEEL, as well as task forces
Operation Planning
with most power system

utilities
Approved for official use by the

regulatory agency
Dispatch and
Price Setting Used by:
- EPE for system planning
- ONS to dispatch the system
- CCEE to stablish market prices
6
Models for risk-averse energy Planning,
Hydrothermal-wind Scheduling and Price Setting
Long term: optimal policy (FCFs) Mid term: Policy refinement day ahead dispatch/pricing
Stochastic Stochastic
Optimization Hydrothermal unit
CVaR Risk Averse Optimization
(SDDP) commitment,
Mechanism (DDP)
(MILP)
Hydrothermal Flood Prevention Daily/Weekly

simulation Generation of and Control Monthly / Weekly / inflow forecast
inflow/wind hourly load forecast
Nonlinear scenarios Statistical +
Stochastic analysis, Dynamic
(Heuristic Par(p)-A rainfall-
climatic phenomena Regression
Rules) model information
Models, SVM
Cost Minimization Generation Planning with
CVaR Risk Averse Criterion - Rolling Horizon Scheme
Frequency Horizon Discretization Uncertainty System Modeling Solution

long
Stochastic, Aggregate reservoirs,

Monthly 10 years Monthly tie lines SDDP
FCF CVar
Stochastic, Individual plants,
mid
Weekly 2 months weekly tie lines, DDP

CVar
FCF
up to unit commitment,
short
Daily 7 days Deterministic DC Power Flow MILP

half-an-hour
Rolling Horizon m1 m2
...
Scheme w1 w2 w3 w4 w5 w6 w7 w8
w9
d1-d7 d8-d14 d15-d21 d22-d28 d29-d35 d36-d42 d43-d49 d50-d56 d57-d63
Cost Information
Thermal units Hydro Plants New Renewable generation

Fuel costs
($/MWh) Future Water Value Hydro efficiency
cost ($/hm3)
GH (MWh/hm3)
➢ use “free” generation as much as possible
➢ Generation is curtailed if necessary
Storage Q
V
DAY-AHEAD Scheduling and Hourly
Pricing in Brazil
Official use started Official use started

+ on Jan 1st, 2020 on Jan 1st, 2021
Hourly Prices- Nov 7th, 2022 – 10am-11am
Hourly Prices – last 6 months 10.99 USD

USD 25.79
USD 9.86
Source: CCEE web site (https://www.ccee.org.br/precos/painel-preços)

Main References for the Models
Maceira, Penna et al, PSCC 2018
Diniz, Costa et al, PSCC 2018
Santos, Diniz et al, EPSR, 2020 Helseth, Melo, Sintef Report, 2020
Hydrothermal Planning Models - Overview
➢ Thermal Generation costs +
The main objective is to minimize:
➢ Risk Measure (CVaR)
Subject to:
➢ thermal unit commitment constraints
➢ Cascaded hydro plants in
several river basins ➢ anticipated dispatch requirement of LNG units
➢ Pumping stations ➢ Intermittent generation

connecting different Thermal Plants (new renewables)
rivers ➢ other fixed generations
➢ Many hydro
constraints
Pumped- Reservoirs Hydro Plants
storage Other sources
TRANSMISSION
➢ Interconnection limits
among areas
➢ MT/LT: Monthly/weekly
➢ electrical losses in LOAD profiles in several load
major interconnections blocks, per system area
➢ line flow limits constraints ➢ ST: hourly load profiles
(DC power flow)
in each bus
TARGET: to obtain an “optimal” Policy for planning purposes, to set the

dispatch of hydro/thermal plants and to establish market prices
Application of Risk Aversion Mechanisms in
Hydrothermal Planning
Why Risk Averse Mechanisms?
Past Energy Supply Crisis in Brazil

Energy Prices Drought 2021
(R$/MWh)
2001 Rationing
Drought 2014
Risk averse mechanisms in the Brazilian power system Source: www.ccee.org.br (adapted) The November Conference - Brazil and Norway – Nov 7th, 2022
Why Risk Averse Mechanisms?
High Energy Prices in Europe in 2022
Energy Prices in Norway - 2019 - 2022
https://balkangreenenergynews.com/norway-
to-impose-power-export-controls/
https://www.statista.com/statistics/1271469/norway
-monthly-wholesale-electricity-price/ https://www.ft.com/content/99b698e9-5a82-4988-
9d4c-f76ba63564eb
Risk Averse Approaches to Energy Planning
Literature Review (1/2)
➢ Rule Curves for mininum energy storage
storage
✓ Minimum storage level curves to protect against worst scenarios
✓ Thermal generation should be maximized once below the curve
MAX
✓ Recursive calculations, based on future storage target levels
1 2 3 4 5 6 t
1961
1959
M.A.P. Carvalho, J. Rosenblatt, “Modelo de simulação a

subsistemas equivalentes, IV SNPTEE, Rio de Janeiro/1977. 1977
1970
➢ Managing the deficit risk (Traditional SDP)

GCOI, "Estudo de riscos de deficit na operação de
✓ Calibration of unitary deficit costs sistemas hidrotérmicos”, Relatório Técnico SCEN-
1974 GTMC-02/99, 1979. 1979
✓ Indicator variable for
shortage /risk constraints 1979 1985
Risk Averse Approaches to Energy Planning
Literature Review (2/2)
➢ Probability of being below given reservoir levels
✓ Individual chance constraints

✓ Joint chance constraints 2008
2010
➢ Application of Cvar Risk Measures in cost-minimization SDDP approach
✓ Weighted combination of expected cost and CVaR
2010 2013
2011 2015
Risk Averse Approaches
Some Practices in Real Systems
BRAZIL (cost minimization-based market)
➢ Rule curves for minimum storage levels for the reservoirs (CREF/VMINOP)
➢ Application of Conditional Value-At-Risk criteria in operation planning and scheduling (CVaR)
➢ Alternative approach: Risk Aversions Surface (SAR)
NEW ZEALAND (bid-based market)

➢ Security of Supply Assessment: balance between supply and demand (ten years horizon)
➢ Electricity Risk Curves: estimated risk of hydro lakes running out of hydro storage (two years horizon)
➢ Measures taken under energy shortage risk:
✓ Use of the contingency storage of water
✓ Implementation of Official Conservation Campaign to reduce the demand
✓ Grid reconfiguration to maximize energy transfer capacity from thermal stations to load centers
Current Risk-Averse Approaches Applied in Brazil
Conditional Value-at-Risk (CVaR)
Concept: Protection against the 𝜶% highest cost scenarios
Multistage Hydrothermal
Energy Planning Problem Probability density function
Wet
scenarios x1T
Total cost of each scenario ($)

x 1t
Scenario tree
x11 x 2t
x0
2
x 3t
x 1
x 4t (1-a) %
Var
T CVaR (x) policy (*)
a%
x TK
policy ( k )
CVaR ( x )
Dry
scenarios
CVaR ( x ) policy (*) = min
pol
CVaR ( x ) pol
t= 0 1 ... i ... T
Optimal risk-averse policy (*)
Other policies (k)

(including the risk-neutral policy)
Rule Curves for minimum energy storage (VminOP / Cref)
Current approaches applied by ONS in Brazil (VminOP / Cref)
✓ An explicit minimum storage constraint is ✓ Construction of a so-called “Cref” curve for the
considered in the NEWAVE model next year
✓ Max-type penalization procedure for
violation of the curve
✓ The most expensive thermal cost is a
reference for setting the value of 𝒑𝒗𝒊𝒐𝒍
𝐶𝑣𝑖𝑜𝑙 = max{𝜟𝟓 , 𝜟𝟔 } 𝒑𝒗𝒊𝒐𝒍

storage
rule curve
Δ5 Δ6
1 2 3 4 5 6 t
Enhancement of Risk Averse Approaches
with the Energy Transition
Improvements in the Modeling of System

Components, Constraints and Data
Improvements in the Modeling of System Components,
Constraints and Data (1/6)
Modeling of pumped storage plants
➢ Pumped-storage plants can be considered as a closed or open-cycle
Modeling of Storage Devices and CSP/PV power plants

➢ Storage devices can be considered with time-varying lower/upper level
constraints and charging/discharging rates
Demand Response Programs (DR)
➢ Can be emulated by considering fictitious thermal plants, whose unitary

costs correspond to the remuneration for curtailed energy
✓ Inclusion of different units allows the representation of price-quantity curves
➢ More detailes aspects can be emulated by a combination of different features

✓ aggregators are emulated as electrical constraints
✓ load shifting and minimum duration of load deduction can be modeled using
fictitious thermal units and storage devices
Distributed Generation (MMGDs)

➢ Can be modeled as a fixed or flexible generation (constrained-off units)
Improved inflow scenario generation model (PAR(p)-A)
➢ Additional regression term 𝜓 related to average inflows for the last year
✓ Some river basins (e.g. Northeast region) have had very dry inflows (below average)
for many consecutive years
𝑝𝑚 𝟏𝟐
Treistman, Maceira et al, PMAPS 2020
𝐼𝑡,𝑖 = ෍ 𝜙𝑡,𝑗,𝑖 𝐼𝑡−𝑗,𝑖 + 𝝍𝒕,𝒊 𝑰𝑨,𝒕 + 𝜀𝑡,𝑖 , where 𝑰𝑨,𝒕 = ෍ 𝐼𝑡−𝑗,𝑖
𝑗=1 𝒋=𝟏
Annual autocorrelation Negative sequences test for inflows Generated scnearios - NEWAVE run
➢ Implementation in DDP solving requires additional state variables

Joint Inflow/Wind Speed Scenario Generation Model
Maceira, Melo et al, PMAPS 2022
- PAR(P)-Par(P)-A model for inflows

- Weibull distribution for wind speed
Aggregation of wind - Spatial correlation of wind and inflows
farms based on spatial
correlation data Joint generation of
inflows / wind speed
scenarios
Historical / reanalysis Wind farms
data of hourly wind formulation in the
speed / generation optimization model
with power
Computation of
curtailment
monthly Power x speed
Production Curves Linear regression for
production curves
𝑵𝑷𝑴𝑪
෍ 𝑮𝑾𝒕,𝒖,𝒄 ≤ 𝒃𝑾 𝑾
𝒕,𝒖 + 𝒂𝒕,𝒖 𝑽𝒕,𝒖
𝒄=𝟏
Modeling of State-Dependent Constraints
➢ Maximum discharge in the reservoirs as
a function of Storage Levels
➢ Upper bound for electrical constraints If 0  f  6000

If f  6000
as a function of net demand values
➢ Dynamic limits on the sum of power

flows in some transmission lines
Exact representation of some constraints leads to

nonconvex optimization problems
Individual Representation of hydro plants in
long/mid term planning
➢ Better manage the trade-off between detailed system modeling X Represensation of

uncertanty X Quality of the solution policy
Enhancement of Risk Averse Approaches
with the Energy Transition
Possible Improvements in the Planning Process
Possible Improvements in the Planning Process (1/2)
Tighter link between expansion and operation planning

and short term scheduling
➢ Evaluation of the operation policy
under a very small time granularity
➢ Assessment of the impact of the high

variability and uncertainty of new
renewable sources on a daily basis in ..
. scenários
operation planning studies
➢ Assessment of the benefits of the

inclusion of storage devices “feedback”
“feedback”
Representative days/weeks NEWAVE cost-

to-go function
Curty, Saboia et al SNPTEE, 2022
Possible Improvements in the Planning Process (2/2)
Multi-Horizon Long/Mid-term Hydrothermal Planning models

min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥
𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏
𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏
𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏
𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏
𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏
min 𝑐𝑥
𝑠. 𝑡.
Upper level (master) Hourly subproblems for
𝐴𝑥 ≤ 𝑏 subproblems typical wind profiles
min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥
𝑠. 𝑡. 𝑠. 𝑡. 𝑠. 𝑡. 𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏 𝐴𝑥 ≤ 𝑏 𝐴𝑥 ≤ 𝑏 𝐴𝑥 ≤ 𝑏
min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥

𝑠. 𝑡. 𝑠. 𝑡. 𝑠. 𝑡. 𝑠. 𝑡.
min 𝑐𝑥
𝑠. 𝑡.
𝐴𝑥 ≤ 𝑏 min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥 min 𝑐𝑥
𝑠. 𝑡. 𝑠. 𝑡. 𝑠. 𝑡. 𝑠. 𝑡.
Conclusions
➢ Application of Risk Averse Mechanisms for energy supply is essential for

hydrothermal systems
➢ Energy transition has been motivating further improvement in current practices and
methodologies, as well in the computational tools for energy planning and scheduling
✓ Modeling of new system components (wind, solar, pumped storage plants) and
product (demand response, ramping capacity)
✓ Representation of the uncertainty and variability of new renewable sources

✓ Assessment of daily operation aspects in long term planning
➢ Besides generation/energy aspects, detailed analysis of electrical aspects must

also be thoroughly evaluated
Tusen Takk !! diniz@cepel.br
Obrigado!!

Presentation AndreDiniz NovemberConference RiskAverseMechanismsBrazilianSystem

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Presentation AndreDiniz NovemberConference RiskAverseMechanismsBrazilianSystem

Uploaded by

Copyright:

Available Formats

RISK AVERSE MECHANISMS IN THE

BRAZILIAN POWER SYSTEM

André Luiz Diniz Nov 7th, 2022

➢ Overview of the Brazilian Hydrothermal System

➢ Application of Risk Averse Mechanisms to Energy Planning

Enhancement of Risk Averse Approaches with the Energy Transition

➢ Improvements in the Modeling of System Components, Constraints and Data

GAS/LNG OIL/DIESEL COAL NUCLEAR

BIOMASS+ OTHERS (8.9%)

Risk averse mechanisms in the Brazilian power system

➢ The main source of uncertainty in the optimization models for hydrothermal

Energy inflows – Northeast Region – 1931 - 2019

Electrical Models Energy Models

• Elaboration of PDE Plan

• Scheduled Outage Assessement • Price Formation (PLD)

Economic Analysis of Projects

with most power system

Approved for official use by the

Hydrothermal Flood Prevention Daily/Weekly

Frequency Horizon Discretization Uncertainty System Modeling Solution

Stochastic, Aggregate reservoirs,

Weekly 2 months weekly tie lines, DDP

Daily 7 days Deterministic DC Power Flow MILP

Thermal units Hydro Plants New Renewable generation

Official use started Official use started

Hourly Prices- Nov 7th, 2022 – 10am-11am

Hourly Prices – last 6 months 10.99 USD

Source: CCEE web site (https://www.ccee.org.br/precos/painel-preços)

Maceira, Penna et al, PSCC 2018

Diniz, Costa et al, PSCC 2018

➢ Pumping stations ➢ Intermittent generation

TARGET: to obtain an “optimal” Policy for planning purposes, to set the

Past Energy Supply Crisis in Brazil

High Energy Prices in Europe in 2022

Energy Prices in Norway - 2019 - 2022

M.A.P. Carvalho, J. Rosenblatt, “Modelo de simulação a

➢ Managing the deficit risk (Traditional SDP)

➢ Probability of being below given reservoir levels

✓ Individual chance constraints

➢ Application of Cvar Risk Measures in cost-minimization SDDP approach

✓ Weighted combination of expected cost and CVaR

BRAZIL (cost minimization-based market)

NEW ZEALAND (bid-based market)

Total cost of each scenario ($)

Other policies (k)

𝐶𝑣𝑖𝑜𝑙 = max{𝜟𝟓 , 𝜟𝟔 } 𝒑𝒗𝒊𝒐𝒍

Improvements in the Modeling of System

Modeling of Storage Devices and CSP/PV power plants

➢ Can be emulated by considering fictitious thermal plants, whose unitary

➢ More detailes aspects can be emulated by a combination of different features

Distributed Generation (MMGDs)

➢ Implementation in DDP solving requires additional state variables

Maceira, Melo et al, PMAPS 2022

- PAR(P)-Par(P)-A model for inflows

➢ Upper bound for electrical constraints If 0  f  6000

➢ Dynamic limits on the sum of power

Exact representation of some constraints leads to

➢ Better manage the trade-off between detailed system modeling X Represensation of

Possible Improvements in the Planning Process

Tighter link between expansion and operation planning

➢ Assessment of the impact of the high

➢ Assessment of the benefits of the

Representative days/weeks NEWAVE cost-