[pt] O objetivo do planejamento da operação hidrotérmica de médio e longo prazo é definir as metas para geração de cada hidroelétrica e termelétrica, a fim de atender à carga ao menor custo esperado de operação e respeitando as restrições operacionais. Algoritmos de Programação Dinâmica Estocástica (PDE) e de Programação Dinâmica Dual Estocástica (PDDE) têm sido amplamente aplicados para determinar uma política operativa ideal o despacho hidrotérmico. Em ambas as abordagens a estocasticidade das afluências é comumente produzida por modelos periódicos autoregressivos de lag p - PAR(p), cuja estimativa dos parâmetros é baseada nos dados históricos disponíveis. Como os estimadores são funções de fenômenos aleatórios, além da incerteza sobre as vazões, também há incerteza sobre os parâmetros estatísticos, o que não é capturado no modelo PAR (p) padrão. A existência de incerteza nos parâmetros significa que há um risco de que a política da operação hidrotérmica planejada não será a ótima. O objetivo desta tese é apresentar uma metodologia para incorporar a incerteza dos parâmetros do modelo PAR (p) no problema de programação estocástica hidrotérmica. São apresentados estudos de caso ilustrando o impacto da incerteza dos parâmetros nos custos operativos do sistema e como uma política operativa que incorpore esta incerteza pode reduzir este impacto. / [en] The objective of the medium and long-term hydrothermal scheduling problem is to define operational target for each power plant in order to meet the load at the lowest expected cost and respecting the operational constraints. Stochastic Dynamic Programming (SDP) and Stochastic Dual Dynamic Programming (SDDP) algorithms have been widely applied to determine the optimal operating policy for the hydrothermal dispatch. In both approaches, the stochasticity of the inflows is usually produced by periodic auto-regressive models - PAR (p), whose parameters are estimated based on available historical data. As the estimators are a function of random phenomena, besides the inflows uncertainty there is statistical parameter uncertainty, which is not captured in the standard PAR (p) model. The existence of uncertainty in the parameters means that there is a risk that the hydrothermal operating policy will not be optimal. This thesis presents a methodology to incorporate the PAR(p) parameter uncertainty into stochastic hydrothermal scheduling and to assess the resulting impact on the computation of a hydro operations policy. Case studies are presented illustrating the impact of parameter uncertainty in the system operating costs and how an operating policy that incorporates this uncertainty can reduce this impact.

[pt] No planejamento da operação hidrotérmica brasileiro, assim como em outros países hidro dependentes, a Programação Dinâmica Dual Estocástica (PDDE) é utilizada para calcular uma política ótima avessa a risco que, muitas vezes, considera modelos autorregressivos para modelagem das afluências às hidrelétricas. Em aplicações práticas, estes modelos podem induzir a uma variabilidade indesejável de variáveis primais (geração térmica) e duais (custo marginal e preço spot), que são altamente sensíveis a mudanças nas condições iniciais das vazões. Neste trabalho, são propostas duas abordagens diferentes para estabilizar as soluções da PDDE no problema de planejamento da operação energética: a primeira abordagem visa regularizar variáveis primais considerando uma penalidade adicional sobre as mudanças no despacho térmico ao longo do tempo. A segunda abordagem reduz indiretamente a variabilidade da geração térmica e do custo marginal ao ignorar informações de afluências passadas na função de custo futuro e compensando-a com um aumento na aversão ao risco. Para fins de comparação, a qualidade solução foi avaliada com um conjunto de índices propostos que resumem cada aspecto importante de uma política de planejamento hidrotérmico. Em conclusão, mostramos que é possível obter soluções com boa qualidade em comparação com benchmarks atuais e com uma redução significativa variabilidade. / [en] In the hydrothermal energy operation planning of Brazil and other hydro-dependent countries, Stochastic Dual Dynamic Programming (SDDP) computes a risk-averse optimal policy that often considers river-inflow autoregressive models. In practical applications, these models induce an undesirable variability of primal (thermal generation) and dual (marginal cost and spot price) solutions, which are highly sensitive to changes in current inflow conditions. In this work, we propose two differing approaches to stabilize SDDP solutions to the energy operation planning problem: the first approach aims at regularizing primal variables by considering an additional penalty on thermal dispatch revisions over time. The second approach indirectly reduces thermal generation and marginal cost variability by disregarding past inflow information in the cost-to-go function and compensating it with an increase in risk aversion. For comparison purposes, we assess solution quality with a set of proposed indexes summarizing each important aspect of a hydrothermal operation planning policy. In conclusion, we show it is possible to obtain high- quality solutions in comparison to current benchmarks and with significantly reduced variability.

[pt] Esquemas semi-Lagrangeanos usados para a aproximação do princípio da programação dinâmica são baseados em uma discretização temporal reconstruída no espaço de estado. O uso de uma malha estruturada torna essa abordagem inviável para problemas de alta dimensão devido à maldição da dimensionalidade. Nesta tese, apresentamos uma nova abordagem para problemas de controle ótimo de horizonte infinito onde a função valor é calculada usando Funções de Base Radial (RBFs) pelo método de aproximação de mínimos quadrados móveis de Shepard em malhas irregulares. Propomos um novo método para gerar uma malha irregular guiada pela dinâmica e uma rotina de otimizada para selecionar o parâmetro responsável pelo formato nas RBFs. Esta malha ajudará a localizar o problema e aproximar o princípio da programação dinâmica em alta dimensão. As estimativas de erro para a função valor também são fornecidas. Testes numéricos para problemas de alta dimensão mostrarão a eficácia do método proposto. Além do controle ótimo de EDPs clássicas mostramos como o método também pode ser aplicado ao controle de equações não-locais. Também fornecemos um exemplo analisando a convergência numérica de uma equação não-local controlada para o modelo contínuo. / [en] Semi-Lagrangian schemes for the approximation of the dynamic programming principle are based on a time discretization projected on a state-space grid. The use of a structured grid makes this approach not feasible for highdimensional problems due to the curse of dimensionality. In this thesis, we present a new approach for infinite horizon optimal control problems where the value function is computed using Radial Basis Functions (RBF) by the Shepard s moving least squares approximation method on scattered grids. We propose a new method to generate a scattered mesh driven by the dynamics and an optimal routine to select the shape parameter in the RBF. This mesh will help to localize the problem and approximate the dynamic programming principle in high dimension. Error estimates for the value function are also provided. Numerical tests for high dimensional problems will show the effectiveness of the proposed method. In addition to the optimal control of classical PDEs, we show how the method can also be applied to the control of nonlocal equations. We also provide an example analyzing the numerical convergence of a nonlocal controlled equation towards the continuous model.

yes / This Workshop on Membrane Computing, at the Conference of Unconventional Computation and Natural Computation (UCNC), 12th July 2016, Manchester, UK, is the second event of this type after the Workshop at UCNC 2015 in Auckland, New Zealand*. Following the tradition of the 2015 Workshop the Proceedings are published as technical report. The Workshop consisted of one invited talk and six contributed presentations (three full papers and three extended abstracts) covering a broad spectrum of topics in Membrane Computing, from computational and complexity theory to formal verification, simulation and applications in robotics. All these papers – see below, but the last extended abstract, are included in this volume. The invited talk given by Rudolf Freund, “P SystemsWorking in Set Modes”, presented a general overview on basic topics in the theory of Membrane Computing as well as new developments and future research directions in this area. Radu Nicolescu in “Distributed and Parallel Dynamic Programming Algorithms Modelled on cP Systems” presented an interesting dynamic programming algorithm in a distributed and parallel setting based on P systems enriched with adequate data structure and programming concepts representation. Omar Belingheri, Antonio E. Porreca and Claudio Zandron showed in “P Systems with Hybrid Sets” that P systems with negative multiplicities of objects are less powerful than Turing machines. Artiom Alhazov, Rudolf Freund and Sergiu Ivanov presented in “Extended Spiking Neural P Systems with States” new results regading the newly introduced topic of spiking neural P systems where states are considered. “Selection Criteria for Statistical Model Checker”, by Mehmet E. Bakir and Mike Stannett, presented some early experiments in selecting adequate statistical model checkers for biological systems modelled with P systems. In “Towards Agent-Based Simulation of Kernel P Systems using FLAME and FLAME GPU”, Raluca Lefticaru, Luis F. Macías-Ramos, Ionuţ M. Niculescu, Laurenţiu Mierlă presented some of the advatages of implementing kernel P systems simulations in FLAME. Andrei G. Florea and Cătălin Buiu, in “An Efficient Implementation and Integration of a P Colony Simulator for Swarm Robotics Applications" presented an interesting and efficient implementation based on P colonies for swarms of Kilobot robots. *http://ucnc15.wordpress.fos.auckland.ac.nz/workshop-on-membrane-computingwmc- at-the-conference-on-unconventional-computation-natural-computation/

No description available.

[pt] Um dos algoritmos mais eficientes para resolver problemas de planejamento de operações hidrotérmicas, que são modelos estocásticos multiestágio de larga escala, é o chamado algoritmo de programação dinâmica dupla estocástica (SDDP). O planejamento da operação dos sistemas de energia visa avaliar o valor dos recursos escassos (por exemplo, água) para alimentar os modelos de despacho de curto prazo usados na implementação real das decisões. Quando o modelo de planejamento se desvia significativamente da realidade da operação implementada, as políticas de decisão são consideradas inconsistentes no tempo. A literatura recente explorou diferentes fontes de inconsistência, como medidas de risco dinâmico inconsistentes no tempo, representação imprecisa do processo de informação e simplificações no modelo de planejamento de rede. Este trabalho aborda a inconsistência no tempo devido a simplificações na representação da rede no modelo de planejamento que estende a literatura existente. O objetivo deste trabalho é propor uma estrutura, composta por uma metodologia e um pacote computacional de código aberto, para testar o impacto operacional e econômico das simplificações da modelagem sobre o fluxo de energia da rede em sistemas de energia hidrotérmica. Entre as inúmeras formulações disponíveis no pacote, nos concentramos em avaliar o custo e o desempenho operacional das seguintes aproximações de modelos: o modelo de rede de transporte (NFA), atualmente em uso pelo operador de sistema brasileiro; o relaxamento de cone de segunda ordem (SOC); o relaxamento de programação semidefinida (SDP); a aproximação do fluxo de energia de corente continua (DC); e o DC com aproximação de fluxo de potência com perda de linha (DCLL). Todas as formulações mencionadas anteriormente são testadas como aproximações para o modelo de rede na fase de planejamento, onde é construída a função de custo futuro. Em seguida, avaliamos cada aproximação simulando a operação do sistema usando um modelo de implementação que minimiza o custo imediato sob as restrições de fluxo de energia AC e a respectiva função de custo futuro. A comparação é feita para dois sistemas, um composto por um ciclo e o outro aproximadamente radial. / [en] One of the most efficient algorithms for solving hydrothermal operation planning problems, which are large-scale multi-stage stochastic models, is the so-called stochastic dual dynamic programming (SDDP) algorithm. Operation planning of power systems aims to assess the value of the scarce resources (e.g. water) to feed short-term dispatch models used in the actual implementation of the decisions. When the planning model significantly deviates from the reality of the implemented operation, decision policies are said to be time-inconsistent. Recent literature has explored different sources of inconsistency such as time-inconsistent dynamic risk measures, inaccurate representation of the information process and simplifications in the network planning model. This work addresses the time-inconsistency due to simplifications in the network representation in the planning model extending the existing literature. The objective of this work is to propose a framework, comprised of a methodology and an open-source computational package, for testing the operative and economic impact of modeling simplifications over the network power-flow in hydrothermal power systems. Among the myriad of formulations available in the package, we focused on assessing the cost and operative performance of the following model approximations: the transportation network-flow model (NFA), currently in use by the Brazilian system operator; the second-order cone relaxation (SOC); the semidefinite programming relaxation (SDP); the DC power-flow approximation (DC); and the DC with line-loss power-flow approximation (DCLL). All the previously mentioned formulations are tested as approximations for the network model in the planning stage, where the cost-to-go function is built. Then, we evaluate each approximation by simulating the system s operation using an implementation model, which minimizes the immediate cost under AC power-flow constraints and the respective cost-to-go function. The comparison is made for two systems, one composed of a cycle and the other approximately radial.

[pt] O cenário atual da indústria de gás natural brasileira é caracterizado por baixa maturidade e dinamismo de mercado. O comportamento estocástico da demanda por gás, somado volatilidade do preço de mercado do GNL, motiva a utilização de estocagem subterrânea como forma de inserir flexibilidade no suprimento, além de promover proteção contra flutuação no preço. No entanto, a literatura existente carece de uma uma ferramenta analítica mais robusta para apoiar uma análise quantitativa dos benefícios que a atividade UNGS poderia proporcionar à indústria de gás natural. Nesta tese, propomos um modelo de programação dinâmica estocástica para planejamento de longo/médio prazo, a fim de determinar a política ótima de fornecimento juntamente com a possibilidade de armazenamento de gás. Um modelo markoviano caracteriza a demanda termoelétrica, enquanto o preço de GNL é representado por um processo estocástico temporalmente independente. O modelo proposto é eficientemente resolvido usando o algoritmo de programação dinâmica dual estocástica para o estudo de caso brasileiro, considerando dados dos setores de gás e setor elétrico. Para uma escolha exógena, mas significativa, da localização e tamanho do armazenamento subterrâneo, observamos os benefícios operacionais e econômicos da flexibilidade que esta atividade poderia proporcionar. Além disso, comparando os custos de OPEX e CAPEX de investimentos em infraestrutura de armazenamento em campos depletados e cavernas de sal com as economias proporcionadas pelo armazenamento na operação de fornecimento, é possível observar o benefício econômico da atividade de estocagem. A estrutura proposta fornece suporte quantitativo importante para discussões sobre precificação de infraestrutura e modelo de negócios para Armazenamento Subterrâneo de Gás Natural. / [en] The current scenario of the Brazilian natural gas industry is characterized by low maturity and dynamism of the market.The stochastic behavior of Brazilian demand for natural gas, added to its associated market price volatility, motivates the usage of underground storage due to supply flexibility and protection against price fluctuations. However, the existing literature lacks a more robust analytical tool to support a quantitative analysis of the benefits that the UNGS activity could provide to the natural gas industry. In this thesis, we propose a stochastic dynamic programming model for long/medium term planning to determine the supply optimal policy together with the possibility of storing gas. A markovian model characterizes thermoelectric demand while market price is represented by a stagewise independent stochastic process. The proposed model is efficiently solved using the Stochastic Dual Dynamic Programming algorithm for the Brazilian case study considering realistic data for the actual gas network and electric power system. For an exogenous but meaningful choice of underground storage location and size, we observe the operational and economic benefits of the provided storage flexibility. Additionally, comparing the OPEX and CAPEX costs of investments in storage infrastructure in depleted fields and salt caverns with the savings provided by storage in the supply operation, it is possible to observe the economic benefit of storage. The proposed framework provides an important quantitative support for discussion about Underground Natural Gas Storage infrastructure pricing and business models.

Hydropower is the world’s largest source of renewable electricity generation. Hydropower plants with reservoirs provide flexibility to the power systems. Efficient planning techniques improve the flexibility of the power systems and reduce carbon emissions, which is needed in power systems experiencing a rapid change in balance between power production and consumption. This is due to increasing amount of renewable energy sources, such as wind and solar power. Hydropower plants have low operating costs and are used as base power. This thesis focuses on weekly planning of hydropower in systems with large volumes and varying power generation and a literature review and a maintenance scheduling method are presented. The topic of hydropower planning is well investigated and various research questions have been studied under many years in different countries. Some of the works are summarized and discussed in literature reviews, which are presented in this thesis. First, some reviews are presented, which covers several aspects of hydropower planning. Literature reviews for long term, mid term and short term planning, respectively, are described. Maintenance scheduling in power systems consists of preventive and corrective maintenance. Preventive maintenance is performed at predetermined intervals according to a prescribed criteria. This type of maintenance is important for power producers to avoid loss in electricity production and loss in income. The maintenance scheduling for hydropower plants prevent these phenomena since spill in the reservoirs and wear on the turbines can be avoided. Usually, the maintenance in hydropower plants is performed on the turbines or at the reservoir intake. A deterministic and a stochastic method to solve a mid term maintenance scheduling problem formulated as a Mixed Integer Linear Programming using dynamic programming is presented. The deterministic method works well in terms of computational time and accuracy. The stochastic method compared to the deterministic method yields a slightly better result at the cost of a need for larger computational resources. / Vattenkraft är världens största källa till förnyelsebar elproduktion. Vattenkraftverk med magasin erbjuder flexibilitet till elkraftsystem. Effektiva planeringsmetoder förbättrar flexibiliteten hos kraftsystemen och minskar koldioxidutsläppen, vilket är nödvändigt i kraftsystem som utsätts för snabb förändring med obalans mellan produktion och konsumtion av effekt. Detta beror på ökad andel förnyelsebara energikällor, som vind- och solkraft, i kraftsystemen. Vattenkraftverk har låga driftkostnader och används som baskraft. Den här avhandlingen fokuserar på veckoplanering av vattenkraft i kraftsystem med stora volymer och varierande kraftproduktion, samt en litteraturstudie och en metod för underhållsplanering presenteras.    Ämnet vattenkraftplanering är väl undersökt och varierande forskningsfrågor har studerats under många år i olika länder. En del av arbetena sammanfattas och diskuteras i litteraturstudier, vilka presenteras i den här avhandlingen. Först presenteras några litteraturstudier, som täcker flera aspekter av vattenkraftplanering. Litteraturstudier, för långtids-, medeltidsplanering, respektive korttidsplanering beskrivs.    Underhållsplanering i elkraftsystem består av förebyggande och korrigerande underhåll. Förebyggande underhåll utförs vid förutbestämda intervall enligt förbestämda kriterier. Denna typ av underhåll är viktig för att kraftproducenter ska kunna undvika förlorad elproduktion och förlorad inkomst. Underhållsplaneringen för vattenkraftverk förebygger dessa fenomen, eftersom spill i magasinen och slitage på turbinerna kan undvikas. Vanligen utförs underhållen i vattenkraftverken på turbinerna eller vid intaget i magasinet. En deterministisk metod och en stokastisk metod att lösa ett medeltidsplaneringsproblem, formulerat som ett blandat heltalsprogrammeringsproblem presenteras. Den deterministiska metoden fungerar väl i termer av beräkningstid och noggrannhet. Den stokastiska metoden jämfört med den deterministiska metoden ger ett något bättre resultat dock till priset av ett behov av större datorresurser. / <p>QC 20220920</p>

In this thesis, we explore the potential of financing a fast charging system with energy storage by delivering ancillary services from the energy storage in an optimal way. Specifically, a system delivering frequency regulation services FCR-D Up and FCR-D Down in combination with energy arbitrage trading is considered. An optimization model is developed that could be implemented operationally and then used in a Monte-Carlo simulation to estimate the net present value of the system for four identified cases at three different energy market price scenarios. The main modeling approach is to formulate the system as a state-space model serving as the foundation for model predictive control, with the delay between decision and delivery of the frequency regulation services incorporated as a part of the system state. The optimization of the system is implemented using a dynamic programming approach with a time horizon of 48h, where the choice of admissible controls is optimized for computational efficiency. The result shows that the system could profitable under optimal operation, but it is heavily dependent on the size of the grid connection, future price levels for ancillary services, and the nature of fast-charging demand. As such, the business case and profitability should be evaluated with a specific use case in mind. The developed model showed relatively good computational efficiency for operational implementations with a run time for one iteration of the optimization problem of 15 seconds. The model could therefore be used as the foundation for future research within the specific field and for similar control problems considering delayed controls and stochastic demand. Several proposed improvements and suggested areas of future research are proposed. / I den här uppsatsen utforskar vi huruvida det är finansiellt lönsamt att leverera snabbladdning från ett energilager samtidigt som energilagret används för att leverera systemtjänster på ett optimalt sätt. Mer specifikt undersöks ett potentiellt system som levererar frekvensregleringstjänsterna FCR-D Up och FCR-D Down samt energiarbitragehandel. Vi utvecklar en optimeringsmodell som kan implementeras i ett fysiskt system och använder sedan modellen i en Monte-Carlo-simulering för att estimera nuvärdet av fyra olika systemkonfigurationer för tre olika prisscenarion. Den huvudsakliga modelleringsmetoden är att formulera systemet som en tillstånds-rum modell, som sedan används som grund för modellprediktiv styrning, där fördröjningen mellan beslut och leverans av frekvensregleringstjänster inkluderas som en del av systemets tillstånd. Optimeringen av systemet implementeras med en dynamisk programmeringsmetodik med en tidsram på 48 timmar, där valet av tillåtna kontroller optimeras för beräkningseffektivitet. Resultatet visar att systemet kan vara lönsamt under optimal drift, men det är starkt beroende av storleken på nätanslutningen, framtida prisnivåer för systemtjänster och typen av snabbladdningsbehovet. Därför bör lönsamheten utvärderas för varje specifikt fall. Den utvecklade modellen visade relativt god beräkningseffektivitet för praktiskt implementation med en körtid för en enskilt iteration på 15 sekunder. Modellen kan därför användas som grund för framtida forskning inom området och för liknande problem inom optimal styrteori som involverar fördröjda kontroller och stokastisk efterfrågan. Flera föreslagna förbättringar och områden för framtida forskning föreslås.

Le problème de tarification combinatoire (CPP) ou le jeu de tarification de Stackelberg est une classe de problèmes d’optimisation bi-niveaux comprenant deux décideurs dans un ordre séquentiel. Le premier décideur, le leader, maximise ses revenus en contrôlant les prix d’un ensemble de ressources. Le deuxième décideur, le suiveur, réagit aux prix et sélectionne un sous-ensemble de ressources selon un problème d’optimisation combinatoire. Selon le problème du suiveur, le CPP peut être très difficile à résoudre. Cette thèse présente trois articles couvrant plusieurs méthodes de solution exacte pour le CPP. Le premier article aborde la modélisation et le prétraitement pour une spécialisation du CPP : le problème de tarification du réseau (NPP), dans lequel le problème du suiveur est un problème du plus court chemin. Les formulations du NPP sont organisées dans un cadre général qui établit les liens entre elles. Le deuxième article se concentre sur la version à plusieurs marchandises du NPP. À partir des résultats de l’analyse convexe, nous dérivons une nouvelle formulation du NPP et prouvons que le NPP évolue de manière polynomiale par rapport au nombre de marchandises, étant donné que le nombre d’arcs à péage est fixe. Le troisième article nous ramène au CPP général, dans lequel les problèmes du suiveur sont NP-difficiles. En utilisant deux modèles de programmation dynamique différents, les problèmes du suiveur sont convertis en programmes linéaires, auxquels la dualité forte peut être appliquée. En raison de la nature NP-difficile de ces problèmes, des schémas de génération dynamique de contraintes sont proposés. Les méthodes de solution décrites dans chaque article sont étayées par des résultats expérimentaux, montrant leur efficacité en pratique. Cette thèse approfondit notre compréhension de la structure du CPP et introduit des méthodologies innovantes pour y faire face, contribuant ainsi à de nouvelles perspectives pour aborder les problèmes de tarification et bi-niveau en général. / The combinatorial pricing problem (CPP) or Stackelberg pricing game is a class of bilevel optimization problems that consist of two decision makers in sequential order. The first decision maker, the leader, maximizes their revenue by controlling the prices of a set of resources. The second decision maker, the follower, reacts to the prices and selects a subset of resources according to a combinatorial optimization problem. Depending on the follower’s problem, the CPP can be very challenging to solve. This thesis presents three articles covering several exact solution methods for the CPP. The first article addresses the modeling and preprocessing for a specialization of the CPP: the network pricing problem (NPP), in which the follower’s problem is a shortest path problem. The formulations of the NPP are organized in a general framework which establishes the links between them. The second article focuses on the multi-commodity version of the NPP. From the results in convex analysis, we derive a novel formulation of the NPP and with it, we prove that the NPP scales polynomially with respect to the number of commodities, given that the number of tolled arcs is fixed. The third article leads us back to the general CPP, in which the follower’s problems are NP-hard. By utilizing two different dynamic programming models, the follower’s problems are converted into linear programs, to which strong duality can be applied. Due to the NP-hard nature of these problems, dynamic constraint generation schemes are proposed. The solution methods described in each article are backed up with experimental results, showing that they are effective in practice. This thesis deepens our comprehension of the CPP structure and introduces innovative methodologies for addressing it, thereby contributing new perspectives to tackle pricing and bilevel problems in general.