A Generalized Framework for Chance-constrained Optimal Power Flow

Deregulated energy markets, demand forecasting, and the continuously increasing share of renewable energy sources call---among others---for a structured consideration of uncertainties in optimal power flow problems. The main challenge is to guarantee power balance while maintaining economic and secure operation. In the presence of Gaussian uncertainties affine feedback policies are known to be viable options for this task. The present paper advocates a general framework for chance-constrained OPF problems in terms of continuous random variables. It is shown that, irrespective of the type of distribution, the random-variable minimizers lead to affine feedback policies. Introducing a three-step methodology that exploits polynomial chaos expansion, the present paper provides a constructive approach to chance-constrained optimal power flow problems that does not assume a specific distribution, e.g. Gaussian, for the uncertainties. We illustrate our findings by means of a tutorial example and a 300-bus test case

Surrogate modelling for stochastic dynamical systems by combining NARX models and polynomial chaos expansions

The application of polynomial chaos expansions (PCEs) to the propagation of uncertainties in stochastic dynamical models is well-known to face challenging issues. The accuracy of PCEs degenerates quickly in time. Thus maintaining a sufficient level of long term accuracy requires the use of high-order polynomials. In numerous cases, it is even infeasible to obtain accurate metamodels with regular PCEs due to the fact that PCEs cannot represent the dynamics. To overcome the problem, an original numerical approach was recently proposed that combines PCEs and non-linear autoregressive with exogenous input (NARX) models, which are a universal tool in the field of system identification. The approach relies on using NARX models to mimic the dynamical behaviour of the system and dealing with the uncertainties using PCEs. The PC-NARX model was built by means of heuristic genetic algorithms. This paper aims at introducing the least angle regression (LAR) technique for computing PC-NARX models, which consists in solving two linear regression problems. The proposed approach is validated with structural mechanics case studies, in which uncertainties arising from both structures and excitations are taken into account. Comparison with Monte Carlo simulation and regular PCEs is also carried out to demonstrate the effectiveness of the proposed approach

Stochastic Testing Method for Transistor-Level Uncertainty Quantification Based on Generalized Polynomial Chaos

Uncertainties have become a major concern in integrated circuit design. In order to avoid the huge number of repeated simulations in conventional Monte Carlo flows, this paper presents an intrusive spectral simulator for statistical circuit analysis. Our simulator employs the recently developed generalized polynomial chaos expansion to perform uncertainty quantification of nonlinear transistor circuits with both Gaussian and non-Gaussian random parameters. We modify the nonintrusive stochastic collocation (SC) method and develop an intrusive variant called stochastic testing (ST) method to accelerate the numerical simulation. Compared with the stochastic Galerkin (SG) method, the resulting coupled deterministic equations from our proposed ST method can be solved in a decoupled manner at each time point. At the same time, ST uses fewer samples and allows more flexible time step size controls than directly using a nonintrusive SC solver. These two properties make ST more efficient than SG and than existing SC methods, and more suitable for time-domain circuit simulation. Simulation results of several digital, analog and RF circuits are reported. Since our algorithm is based on generic mathematical models, the proposed ST algorithm can be applied to many other engineering problems.Comment: published by IEEE Trans CAD in Oct 201

On Uncertainty Quantification in Particle Accelerators Modelling

Using a cyclotron based model problem, we demonstrate for the first time the applicability and usefulness of a uncertainty quantification (UQ) approach in order to construct surrogate models for quantities such as emittance, energy spread but also the halo parameter, and construct a global sensitivity analysis together with error propagation and $L_{2}$ error analysis. The model problem is selected in a way that it represents a template for general high intensity particle accelerator modelling tasks. The presented physics problem has to be seen as hypothetical, with the aim to demonstrate the usefulness and applicability of the presented UQ approach and not solving a particulate problem. The proposed UQ approach is based on sparse polynomial chaos expansions and relies on a small number of high fidelity particle accelerator simulations. Within this UQ framework, the identification of most important uncertainty sources is achieved by performing a global sensitivity analysis via computing the so-called Sobols' indices.Comment: submitted to Journal of Uncertainty Quantification. arXiv admin note: text overlap with arXiv:1505.07776, arXiv:1307.0065 by other author

Optimal Power Flow: An Introduction to Predictive, Distributed and Stochastic Control Challenges

The Energiewende is a paradigm change that can be witnessed at latest since the political decision to step out of nuclear energy. Moreover, despite common roots in Electrical Engineering, the control community and the power systems community face a lack of common vocabulary. In this context, this paper aims at providing a systems-and-control specific introduction to optimal power flow problems which are pivotal in the operation of energy systems. Based on a concise problem statement, we introduce a common description of optimal power flow variants including multi-stage-problems and predictive control, stochastic uncertainties, and issues of distributed optimization. Moreover, we sketch open questions that might be of interest for the systems and control community

Stochastic Galerkin Framework with Locally Reduced Bases for Nonlinear Two-Phase Transport in Heterogeneous Formations

The generalized polynomial chaos method is applied to the Buckley-Leverett equation. We consider a spatially homogeneous domain modeled as a random field. The problem is projected onto stochastic basis functions which yields an extended system of partial differential equations. Analysis and numerical methods leading to reduced computational cost are presented for the extended system of equations. The accurate representation of the evolution of a discontinuous stochastic solution over time requires a large number of stochastic basis functions. Adaptivity of the stochastic basis to reduce computational cost is challenging in the stochastic Galerkin setting since the change of basis affects the system matrix itself. To achieve adaptivity without adding overhead by rewriting the entire system of equations for every grid cell, we devise a basis reduction method that distinguishes between locally significant and insignificant modes without changing the actual system matrices. Results are presented for problems in one and two spatial dimensions, with varying number of stochastic dimensions. We show how to obtain stochastic velocity fields from realistic permeability fields and demonstrate the performance of the stochastic Galerkin method with local basis reduction. The system of conservation laws is discretized with a finite volume method and we demonstrate numerical convergence to the reference solution obtained through Monte Carlo sampling

Uncertainty Quantification in Three Dimensional Natural Convection using Polynomial Chaos Expansion and Deep Neural Networks

This paper analyzes the effects of input uncertainties on the outputs of a three dimensional natural convection problem in a differentially heated cubical enclosure. Two different cases are considered for parameter uncertainty propagation and global sensitivity analysis. In case A, stochastic variation is introduced in the two non-dimensional parameters (Rayleigh and Prandtl numbers) with an assumption that the boundary temperature is uniform. Being a two dimensional stochastic problem, the polynomial chaos expansion (PCE) method is used as a surrogate model. Case B deals with non-uniform stochasticity in the boundary temperature. Instead of the traditional Gaussian process model with the Karhunen-Lo$\grave{e}$ve expansion, a novel approach is successfully implemented to model uncertainty in the boundary condition. The boundary is divided into multiple domains and the temperature imposed on each domain is assumed to be an independent and identically distributed (i.i.d) random variable. Deep neural networks are trained with the boundary temperatures as inputs and Nusselt number, internal temperature or velocities as outputs. The number of domains which is essentially the stochastic dimension is 4, 8, 16 or 32. Rigorous training and testing process shows that the neural network is able to approximate the outputs to a reasonable accuracy. For a high stochastic dimension such as 32, it is computationally expensive to fit the PCE. This paper demonstrates a novel way of using the deep neural network as a surrogate modeling method for uncertainty quantification with the number of simulations much fewer than that required for fitting the PCE, thus, saving the computational cost

Efficient Polynomial Chaos Expansion for Uncertainty Quantification in Power Systems

Growing uncertainty from renewable energy integration and distributed energy resources motivate the need for advanced tools to quantify the effect of uncertainty and assess the risks it poses to secure system operation. Polynomial chaos expansion (PCE) has been recently proposed as a tool for uncertainty quantification in power systems. The method produces results that are highly accurate, but has proved to be computationally challenging to scale to large systems. We propose a modified algorithm based on PCE with significantly improved computational efficiency that retains the desired high level of accuracy of the standard PCE. Our method uses computational enhancements by exploiting the sparsity structure and algebraic properties of the power flow equations. We show the scalability of the method on the 1354 pegase test system, assess the quality of the uncertainty quantification in terms of accuracy and robustness, and demonstrate an example application to solving the chance constrained optimal power flow problem

Efficient Representation of Uncertainty for Stochastic Economic Dispatch

Stochastic economic dispatch models address uncertainties in forecasts of renewable generation output by considering a finite number of realizations drawn from a stochastic process model, typically via Monte Carlo sampling. Accurate evaluations of expectations or higher-order moments for quantities of interest, e.g., generating cost, can require a prohibitively large number of samples. We propose an alternative to Monte Carlo sampling based on Polynomial Chaos expansions. These representations are based on sparse quadrature methods, and enable accurate propagation of uncertainties in model parameters. We also investigate a method based on Karhunen-Loeve expansions that enables us to efficiently represent uncertainties in renewable energy generation. Considering expected production cost, we demonstrate that the proposed approach can yield several orders of magnitude reduction in computational cost for solving stochastic economic dispatch relative to Monte Carlo sampling, for a given target error threshold.Comment: arXiv admin note: text overlap with arXiv:1407.223