October 7, 2013 9:19 WSPC/2335-6804 1350014

International Journal of Energy and Statistics

Vol. 1, No. 3 (2013) 205214
c Institute for International Energy Studies
DOI: 10.1142/S2335680413500142
HYDROELECTRIC ENERGY FORECAST
KEILA MARA CASSIANO
,,
, LUIZ ALBINO TEIXEIRA J

UNIOR

,
RAFAEL MORAIS DE SOUZA

, MOIS

ES LIMA DE MENEZES
,
,
JOS

E FRANCISCO MOREIRA PESSANHA

and REINALDO CASTRO SOUZA

Electrical Engineering Dept,

Pontical Catholic University of Rio de Janeiro PUC-Rio,
Rua Marques de S ao Vicente
225, G avea, Rio de Janeiro, RJ, 11451-090, Brazil

Statistics Dept., Institute of Mathematics and Statistics,

Fluminense Federal University UFF,
Rua Mario Santos Braga S/N, Campus Valonguinho,
Niteroi, RJ, 24020-140, Brazil

Latin American Institute of Technology, Infrastructure and Territory,

Federal University of Latin American Integration UNILA,
Av. Tancredo Neves,6731, Bloco 4,
Foz do Igua cu, PR, 85867-970, Brazil

Institute of Mathematics and Statistics,

Rio de Janeiro State University UERJ,
Rua Sao Francisco Xavier, 524, Maracan a,
Rio de Janeiro, RJ, 2055-013, Brazil

keilamath@hotmail.com
Received 5 August 2013
Revised 2 September 2013
Accepted 5 September 2013
Published 28 September 2013
The aim of this paper is to propose a new methodology for hydroelectric energy forecast-
ing. A new approach for selection of the number of eigenvalues in SSA is also proposed.
In this paper it is proposed the hierarchical clustering associated to PCA and integrated
to ARIMA models. The proposed approach is applied to forecast the auent ow in a
hydroelectric plant located at Parana River Basin, Brazil. As a matter of fact, modeling
such series is quite important for the optimal dispatch of the energy generation in Brazil
due to the heavy participation of hydro plants in the country (over 85% of the generated
energy comes from hydro plants).
Keywords: Auent ow; forecast; hierarchical clustering; singular spectrum analysis;
ARIMA.
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October 7, 2013 9:19 WSPC/2335-6804 1350014
206 K. M. Cassiano et al.
Nomenclature
SSA Singular Spectrum Analysis
ARIMA Autoregressive Integrated Moving Average
PCA Principal Component Analysis
BES Brazilian Electric System
HC Hierarchical Clustering
SVD Singular Value Decomposition
L Window length
X Trajectory matrix
MAPE Mean Average Percentage Error
MAE Mean Absolute Error
1. Introduction
The SSA technique is a relatively new and powerful nonparametric tool for time
series analysis and forecasting which continues to experience a rapid increase in
popularity today. Recently, there has been an increased application of SSA in the
eld of energy, providing solutions to many practical problems (see for example,
[14]). Here, we are interested in evaluating the use of SSA in order to improve the
forecasting accuracy of the ow series, among which stand out in this article PCA
and HC. In this paper it is investigated the predictive gain obtained with the two
approaches: (1) HC integrated to ARIMA models; and (2) HC associated to PCA
integrated to ARIMA models is also investigated.
The proposed method is applied to forecast the auent ow in a hydroelectric
plant located at Parana River Basin, Brazil. The choice of this ow is due to the
importance of its forecasting to the context of BES. One of the main features of
BES lies in the fact of its ability to be predominantly of hydro generation. This
feature contributes substantially to the Brazilian energy matrix be considered one
of the worlds most renewable. Nevertheless, due to the uncertainties in the regimes
of natural ows [5], BES has a signicant hydrological risk. To mitigate it, BES has
thermoelectric power plants that complement the hydroelectric generation in the
country.
To achieve sustainable use of these resources, and to contribute to the economy
and security of electricity supply, the operation of thermoelectric and hydroelec-
tric must be performed in a coordinated manner: at every moment, it has to be
determined how to use water reservoirs and/or what level of optimal hydrothermal
generation. It is important to note that a decision today will have consequences in
the future, e.g. in the case of a large hydroelectric order before a dry spell, it will
be required to use thermal energy with higher costs in the future.
Such coordination is accomplished through a chain optimization and simula-
tion models that support the decision-making processes in planning and scheduling
of the National Interconnected System SIN operation [5]. The results of these
models are sensitive to the forecasts of ows in the hydroelectric plants. However,
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October 7, 2013 9:19 WSPC/2335-6804 1350014
A New Approach for Hydroelectric Energy Forecasting 207
these series are characterized by strong seasonality and uncertainties (errors and
inaccuracies) of measurement and a feasible way to cope with such seasonality or
inaccuracies is the use of SSA to remove the noise level from the original series.
Besides the introduction, this paper is structured in the following manner.
Section 2 describes the SSA technique whilst the statistical tools (PCA and HC)
are presented in Section 3. Section 4 introduces the data used to test the pro-
posed method, and Section 5 reports the results from the application. Finally, the
conclusions are presented in Section 6.
2. SSA
The SSA technique has been used in a variety of elds for the analysis and forecast-
ing of time series, particularly in smoothing, ltering and extraction of periodicity
[613]. A detailed description of the theory underlying SSA can be found in [14].
This paper aims to use the SVD expansion and the reconstruction procedure to
obtain a new time series { y
t
}
T
t=1
from {y
t
}
T
t=1
such that { y
t
}
T
t=1
is relatively less
noisy in comparison to the original noisy time series {y
t
}
T
t=1
. According to [6], SSA
has two complementary stages, namely decomposition and reconstruction, each with
two separate steps known as embedding and SVD, and grouping and reconstruction
respectively.
2.1. Decomposition
The decomposition stage involves two steps: Embedding and SVD. Embedding is
a procedure in which an arbitrary time series {y
t
}
T
t=1
R
T
is mapped into a
sequence of multidimensional lagged vectors X = [X
1
, . . . , X
K
]
LK
R
LK
where
X
k
= [y
k
, . . . , y
k+L1
]
T
R
L
, k = 1, . . . , K, where K = T L + 1 and L, which
is an integer that belongs to the interval 2 L T 1. According to [14], if
V
i
is dened such as V
i
= X
T
U
i
/

i
, where i = 1, ..., d, then SVD of X can be
written as
X =
d

i=1
E
i
, (1)
where E
i
=

i
U
i
V
T
i
.
2.2. Reconstruction
Once the expansion (1) has been obtained, it is performed a procedure to dene the
optimal value r, where r < d, such that, from component r + 1, in (1), the matri-
ces in SVD generate (through reconstruction procedure) only temporal subseries,
whose sum results in other temporal subseries with statistical properties of noise
(i.e., temporal signals without linear or nonlinear temporal dependence). There
exists varying approaches for the selection of r (see, for example,[15][17]). Here,
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October 7, 2013 9:19 WSPC/2335-6804 1350014
208 K. M. Cassiano et al.
we use the BDS test [18]. The following expansion is produced until the optimal r
is obtained:

X =
r

i=1
E
i
, (2)
where,

X is called approximated trajectory matrix. The procedure to select the
optimumr is realised through trial and error method based on the BDS test. Finally,
using the diagonal averaging procedure [8] we transform each matrix E
i
, in Eq. (2),
into a temporal subseries {y
(i)
t
}
T
t=1
, for every i. In other words, the map F
1
:
R
LK
R
T
is used to transform each matrix E
i
R
LK
into a temporal subseries
{y
(i)
t
}
T
t=1
R
T
, for every i. Therefore, F
1
(E
i
) = {y
(i)
t
}
T
t=1
, for every i, and then
F
1
(

X) = { y
t
}
T
t=1
, given the identity (4) shown below, and the fact of F
1
is a
linear bounded transformation [19].
3. Statistical Tools
This section shows the statistical tools used is this paper and it is divided in two
parts: (1) PCA; and (2) HC.
3.1. PCA
In order to obtain better results in modeling, statistical tools are used. At the
grouping step in SSA, there are many tools to separate the components. Here,
HC and PCA are used to determine r < d such that the expansion in (1) can be
rewritten as

X =
d

i=1
E
i
=
r

i=1
E
i
+
d

i=r+1
E
i
, (3)
by means of the diagonal averaging process it is obatained:
F
1
(X) = F
1

i=1
X
i

= F
1

i=1
X
i

+F
1

i=r+1
X
i
.

(4)
Consequently {y
t
}
T
t=1
= { y
t
}
T
t=1
+{R
t
}
T
t=1
implying { y
t
}
T
t=1
= {y
t
}
T
t=1
{R
t
}
T
t=1
,
where {R
t
}
T
t=1
is the noise removed from the time series and { y
t
}
T
t=1
is less noisy
than {y
t
}
T
t=1
.
3.2. HC
Clustering algorithms take spatial data (from two or more dimensions) as input and
return a set of clusters such that all elements within a cluster are similar to each
other element of this cluster and less similar to elements of other clusters. There
are four main categories of clustering algorithms: partitioning, hierarchical, density-
based and grid-based. The method used in this work to separate three types of series
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October 7, 2013 9:19 WSPC/2335-6804 1350014
A New Approach for Hydroelectric Energy Forecasting 209
is the algorithm of HC approach with an agglomerative (bottom-up) strategy that
begins with multiple clusters, each object (in this case the time series) is assigned
to its own cluster (singleton cluster) and the algorithm proceeds interactively and
repeatedly joining the two most similar clusters until the stopping criterion (usually
the desired number of cluster k) is reached. At each stage, the distance between
clusters is recomputed by the updated Lance-Williams dissimilarity according to
the single linkage method and it adopts a strategy of clustering friends of friends
(more details, see[20]).
The HC algorithm is popular in scientic elds where the data to be clustered
contains subgroups within major cluster algorithms for hierarchical tree that can
create groupings dendrogram, which shows the order in which clusters are merged.
This dendrogram can be used to view dierent sets of granularities cluster and to
discover relationships among the data that could be lost in just one grouping level
(single set of clusters). Thus, as it is said in [21], advantages of the HC algorithm
include the ability to produce a dendrogram containing sets of clusters for various
values of k and the fact that the measure of similarity or distance between points
or clusters is extremely exible, which is responsible for a large number of HC
algorithms existing.
4. Application to Auent Flow
The Hydroelectric Plant Governor Bento Munhoz da Rocha Netto (G. B. Munhoz)
is located in the Paran a River Basin along the Igua cu River in the city of Pinh ao. It
is 5 km downstream from the mouth of the Areia River and 240 km from Curitiba.
It was built from 1975 to 1980 and it is the largest power plant of Power Supply
Company of Paran a State (Companhia Paranaense de Energia) with a generation
capacity of 1,676 MW distributed in four generating units of 419 MW. The plants
dam is compacted rockll concrete face, with 160m high and 828 m long. The
spillway is like trench excavated open pit and is located on the left bank, having
been designed for a maximum discharge of 11, 000m
3
/s [22].
Due to its relevance, G. B. Munhoz was used in this article. The time series
relative to this power plant is monthly average daily ow with cardinality equal to
924 months (January 1936 to December 2012) and it is shown in Fig. 1. The time
series is transformed by natural logarithm to become stationary.
5. Results and Comments
All the results and comments are displayed in this section. Firstly, SSA using HC
is applied; then, SSA using HC associated to PCA is applied. Lastly, ARIMA and
the other two methods mentioned above are performed and a comparison is carried
out between the three models with the metrics MAPE dened by the formula,
MAPE =
1
n
n

t=1

y
t
y
t
y
t

, (5)
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October 7, 2013 9:19 WSPC/2335-6804 1350014
210 K. M. Cassiano et al.
Fig. 1. Logarithms of Monthly Auent ow Time Series.
and MAE dened by the formula,
MAE =
1
n
n

t=1
|y
t
y
t
| , (6)
where y
t
is the real value and y
t
is the forecast value.
5.1. SSA using HC
By using L equal to 461, HC using 3 clusters have showed the following three
components in Fig. 2. The rst component formed from the sum of 206 components
is the trend series (upper); the second component formed from the sum of 140
components is the harmonic series (center); and the third component formed from
the sum of 115 components is the noise series (lower).
Table 1 shows the results of the BDS test [18] applied to the third component
obtained using HC. The results of this test shows that this component has structure
of noise. It is possible to see in Table 1 that the null hypothesis of the BDS test
(independence of the time series) is not rejected at 5% of signicance level until the
dimension 6. Thus, the noisy component was extracted and the approximate time
series was obtained by the sum of trend component and harmonic component.
5.2. SSA using HC associated to PCA
This approach uses rst PCA in the SVD phase of SSA. The optimum L value
obtained was 461 and the optimum value found from PCA was 230. The 230 rst
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October 7, 2013 9:19 WSPC/2335-6804 1350014
A New Approach for Hydroelectric Energy Forecasting 211
Fig. 2. The three components obtained using HC in grouping phase.
Table 1. BDS Test for the Time Series of the third component
Obtained from SSA Method using HC.
Dimension BDS statistics s.e Z-score p-value
2 0.000452 0.002203 0.205221 0.8374
3 0.005432 0.003485 1.558617 0.1191
4 0.005050 0.004130 1.222682 0.2214
5 0.003708 0.004283 0.865615 0.3867
6 0.004008 0.004110 0.975179 0.3295
Table 2. BDS Test applied to 231 last components from PCA.
Dimension BDS statistics s.e Z-score p-value
2 0.003541 0.002150 1.646527 0.0997
3 0.005472 0.003411 1.604283 0.1087
4 0.006514 0.004053 1.607059 0.1080
5 0.005736 0.004215 1.360773 0.1736
6 0.004330 0.004055 1.067807 0.2856
components with their more signicant eigenvalues were considered like the approx-
imate time series via SSA-PCA and the 231 others eigenvalues were considered noisy
and then extracted. Table 2 shows the BDS test applied to this noisy time series.
As Table 1, in Table 2 the null hypothesis of the BDS test (independence of
the noise time series) is not rejected at 5% of signicance level until the dimension
6. Thus, the noisy component was extracted and the approximate time series was
obtained by the 230 rst components.
The second step consists in applying HC using 3 components to the approxi-
mate time series obtained on the rst step above. The resulting components are in
Fig. 3. The rst component formed from the sum of 69 components is the trend
series (upper); the second component formed from the sum of 43 components is
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October 7, 2013 9:19 WSPC/2335-6804 1350014
212 K. M. Cassiano et al.
Fig. 3. The three components obtained using hierearchical clustering in grouping phase after
ltering series via SSA using PCA.
Table 3. The BDS Test applied to the third component from
HC associated to PCA.
Dimension BDS statistics s.e Z-score p-value
2 0.001066 0.002170 0.491329 0.6232
3 0.005559 0.003445 1.613392 0.1067
4 0.006116 0.004098 1.492651 0.1355
5 0.005090 0.004265 1.193565 0.2326
6 0.006143 0.004107 1.495965 0.1347
the harmonic series (center); and the third component formed from the sum of 118
components is the noise series (lower).
The BDS test [18] applied to the third component shows that this component is
a noise series. Table 3 shows the results of the BDS test. The null hypothesis of the
BDS test (independence of the noise time series) is not rejected at 5% of signicance
level until the dimension 6. Therefore, the noisy component was extracted and the
approximate time series was obtained by the sum of trend component and harmonic
component.
5.3. Adherence Statistics
The MAPE and the MAE statistics were calculated to the training sample, vali-
dation sample and test sample by ARIMA, SSA-ARIMA using HC method (SSA-
ARIMA I) and SSA-ARIMA using HC associated to PCA method (SSA-ARIMA
II). Table 4 shows these results. By observing Table 4 it is possible to see that the
performance by the SSA-ARIMA using HC associated to PCA was better than the
others methods.
Table 5 shows the MAPE to out of sample from the three methods tested 3, 6,
9, 12, 15, 18, 21 and 24 steps ahead. It can be seen that in all steps the proposed
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October 7, 2013 9:19 WSPC/2335-6804 1350014
A New Approach for Hydroelectric Energy Forecasting 213
Table 4. Adherence Statistics to verify the hardness of methods.
Statistics Area ARIMA SSA-ARIMA I SSA-ARIMA II
Training 7.19% 6.80% 6.37%
MAPE Validation 7.80% 5.46% 4.19%
Test 7.18% 5.60% 4.43%
Training 0.439 0.421 0.389
MAE Validation 0.503 0.383 0.318
Test 0.429 0.368 0.269
Table 5. Adherence Statistics MAPE to verify the hardness
of methods out of sample multi-steps ahead.
Steps ahead ARIMA SSA-ARIMA I SSA-ARIMA II
3 12.24% 9.84% 8.10%
6 7.56% 6.21% 5.07%
9 8.07% 6.98% 6.46%
12 8.80% 8.01% 7.85%
15 9.21% 8.74% 8.30%
18 12.92% 12.21% 11.84%
21 14.59% 14.10% 13.70%
24 13.39% 12.89% 12.51%
method (modeling ARIMA to a time series ltered via SSA using HC associated to
PCA) showed itself better than the others.
6. Conclusions
In this paper we compared the performances of three forecasting methods: ARIMA,
SSA-ARIMA using HC and SSA-ARIMA using HC associated to PCA. The SSA
method with the proposed approach was seen to be ecient in extracting noise from
the original time series, and appropriate to generate an approximate time series (less
noisy regarding to the original time series). Moreover, the proposed methodology
was found to be better for time series forecasting than the other methods considered
in this paper. This claim was proven by MAPE statistics which were analysed for
dierent forecast horizons.
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