2023-06-23 Apresentacao-AndreDiniz OptFest2023 VersaoFinal

Water Values, Optimal Costs and Thermal generation for long term
power generation planning under more restrictive constraints and a

more detailed representation of the hydro plants
André Luiz Diniz, Cristiane B. Cruz, Lílian C. Brandão
Mathematical Optimization meets Energy Industry – June 23th, 2023 – IMPA
Optfest
2023
Water Values, Optimal Costs and Thermal generation for long term
power generation planning under more restrictive constraints and a
more detailed representation of the hydro plants
André Luiz Diniz, Cristiane B. Cruz, Lílian C. Brandão
Mathematical Optimization meets Energy Industry – June 23th, 2023 – IMPA
1 General Context
Water Values, Optimal Costs and Thermal generation

for long term power generation planning under
more restrictive constraints and a more detailed
representation of the hydro plants
CEPEL Power Systems Computational Tools
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
• Access Studies
Short-Circuit and Dynamic Models (SM 3.9) • 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
Mathematical Optimization meets Energy Industry – June 23th, 2023
Brazilian System Centrally Dispatched by the ISO
162 hydro plants /386 termal 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%)
source: www.ons.org.br Mathematical Optimization meets Energy Industry – June 23th, 2023
Power generation planning Models
Long term: optimal policy (FCFs) Mid term: Policy refinement day ahead dispatch/pricing
Stochastic Stochastic
Optimization Hydrothermal unit
CVaR Risk Averse Optimization (DDP)
(SDDP) commitment,
Mechanism
(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
Roling Horizon Scheme
Frequency Horizon Discretization Uncertainty System Modeling Solution
2000
long
Stochastic, Aggregate reservoirs,

Monthly 10 years Monthly tie lines SDDP
2000 FCF CVar
Stochastic, Individual plants,
mid
Weekly 2 months weekly tie lines, DDP

CVar
2020 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
Main References for the Models
Maceira, Penna et al, PSCC 2018
Diniz, Costa et al, PSCC 2018
Helseth, Melo, Sintef Report, 2020

Santos, Diniz et al, EPSR, 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-storage Reservoirs Hydro Plants
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
NEWAVE Solving Strategy – SDDP
Time dependency on random
variables (Par(P)-A)
FORWARD PASS BACKWARD PASS
x t −1 x t −1 x t −1 x t −1 Time-dependency on decision
Scenario 1 1 1 1 1
1 variables (LNG plants, rule
2 2 2 2 2
3
... 3
... 3
... 3
... ...
3 curves)
x t −1 x t −1 x t −1 x t −1 K K K K K
1 1 1 1 1
Scenario 2 2
3
2
3
2
3
2
3
2 Forward resampling
x t −1 x t −1 x t −1 x t −1
...
K
...
K
...
K
...
K
...
3
K
1
Scenario 3 1
2
1
2
1
2
1
2 2
Accelerating techniques (cut
3
... 3
... 3
... 3
... ...
3
selection, warm starts)
. . K K K K K
. x t −1 x t −1 . x t −1 x t −1
. . 1 1 1 1 1 Parallel processing
2 2 2 2 2
Scenario S << KT 3
... 3 ... 3
... 3
...
...
3
K K K K K Stopping criteria: lower
bound stability
 z t ,* 
1 .. 1
.. 1
. K
Benders  t ( x t −1 ) 
cuts:
 p  z t ,* +
x t −1
( x̂ t −1,s* ), x t −1 − x̂ t −1,s* 
Assessment of solution
..
. K .. 1
. K =1,... K  
.
K .. 1
. K
.. 1
. K
.. 1
quality with 2,000 scenarios
.. . K
. .. 1
1 .. 1 . K
..
.
K
. K
.. 1
.. 1
. K
.. 1 OUTPUT: Nonlinear /
Optimal Operation Policy
. K
. K ..
. K 1 Nonconvex terms
t=1 t=2 t=3 ... t=T

Mid-Term Planning Model
Planning Horizon and time discretization Future cost function (FCF) provided by
the long term model (NEWAVE)
➢ Weekly steps for the 1st month
➢ Monthly steps for the following months, with

several water inflow scenarios
cost
System state
➢ Several load blocks for each time step
➢ Coupling with long term model takes into

account history of the system
1 week horizon DECOMP FCF

2 Specific Context

More detailed representation of hydro plants
Individualized/Hybrid modeling of Hydro Plants in the NEWAVE model
➢ Better manage the trade-off between: MME Public consultation nº 151/2023
✓ Detailed system modeling
✓ Representation of uncertainty
✓ Quality of the solution policy
https://www.gov.br/mme/pt-br/assuntos/noticias/consulta-publica-recebera-contribuicoes-
para-aprimorar-modelos-computacionais-do-setor-eletrico
CEPEL Technical Report 1002/2022
long-run FCF
https://www.cepel.br/produtos/documentacao-tecnica/
More restrictive constraints
Physical Environmental Socioeconomic /
Constraints Constraints Political Constraints
Min. Target
Hydro Cascades 0
M J J A S O N
𝑮𝑯(𝑽, 𝑸, 𝑺)
hup Minimum/maximum Minimum Storage
𝑽
𝑺 outflow constraints (security of supply)
hdw
𝑄
𝑮𝑯
Hydro Production
Maximum Storage
(Flood Control) Multiple uses of water
Evaporation in Dams

Motivating Results for this (ongoing) research
➢ Some Expected Results for total costs…
Running DECOMP model with the SAME NEWAVE Future Cost function
but with or without hydro constraints
➢ Official run: 55,873,279.2 × 10−3

➢ More restricted case: 55,956,178.8 × 10−3

➢ Other counterintuitive results Equivalent Reservoir Model

for NEWAVE
Individualized Model for
NEWAVE w/o hydro constraints
Individualized Model for NEWAVE
WITH hydro constraints
long-run FCF
System Storage Energy for the same constraints and
modeling for the DECOMP model but using
different NEWAVE Future Cost Functions
Source: CPAMP Technical Report
➢ Other counterintuitive results Equivalent Reservoir Model

for NEWAVE
Thermal
Generation WITH hydro constraints
Hydro
Generation

➢ and some surprising results ! Equivalent Reservoir Model

for NEWAVE
WITH hydro constraints
System Marginal Costs ($/MWh)

3 Purpose of the Talk

Ongoing Work
Cost Information for Decision Making
THERMAL PLANTS Cost
$ (R$)
➢ Explicit representation of thermal generation 𝑀𝑊ℎ
costs, as well as startup/shutdown costs generation (MWh)
HYDRO PLANTS
➢ Combination of water values and plant efficiency yields hydro generation costs
=  Water consumption 𝒉𝒎𝟑

Generation Water $ 𝑴𝑾𝒉
Costs Value 𝒉𝒎𝟑 for generation
Future GH
𝜕𝐺𝐻
$ Cost ($)
𝜕$ Future Cost
𝜕𝑄
Function
𝑴𝑾𝒉 𝜕𝑉
Storage V Q
NEW RENEWABLES ADDITIONAL SYSTEM COMPONENTS

(WIND, SOLAR...) Mitigate the uncertainty/intermittency of new renewable
Generation to maximize available energy
Taking advantage as much as
possible of “free” generation
Wind, PV/CSP
power plants Dispositivos de Usinas Reversíveis Resposta da Demanda
armazenamento
Impact of Hydro Constraints on Total
and System Marginal Costs
Constraints that Reduces the net demand to Decrease in

ENFORCES a generation be met by cheaper generators marginal costs
Ex: Minimum Generation, minimum outflow, maximum storage
Constraints that AVOID Increases the demand to be met Increase in

a generation by more expensive generators Marginal Costs
Ex: Maximum Generation, maximum outflow, minimum storage
Inclusion of new or more restrictive constraints

ALWAYS INCREASE TOTAL COSTS
Impact of Hydro Constraints on Water Values

What is the water value?
Current Decision Future Inflows Outcome
Decision
maker´s
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax

Decision use Hydro Generation (lower costs)

maker´s
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax

Low Higher costs, rationing

maker´s
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


maker´s
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax

Decision use Hydro Generation (lower costs) High Economic operation

maker´s
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


maker´s
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


maker´s
dilemma
Use Thermal Generation (higher costs)
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


maker´s Low Economic operation
dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


dilemma
Use Thermal Generation (higher costs) high Unnecessary spillage
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


dilemma
Future
cost ($)
Storages in the
Reservoirs (𝑉)
Vmax


dilemma
Future
cost ($) high Water values are the
derivatives of the FCF
average low
Storages in the
Reservoirs (𝑉)
Vmax


➢ No Hydro Constraints
𝑡=1 𝑡=2
Supertoy Problem
Future Cost
Function
1st stage
Storage at the
end of the 1st stage

➢ with MINIMUM outflow constraints – 2nd stage 𝑡=1 𝑡=2
Supertoy Problem
Future Cost
Function
1st stage
Storage at the

➢ with MINIMUM outflow constraints – 2nd stage (𝒈𝒉 ≥ 𝟐𝟎𝟎) 𝑡=1 𝑡=2
Supertoy Problem
Future Cost Cost (Penalty for

constraint violation)
Function
1st stage
Storage at the

➢ with MINIMUM outflow constraints – 2nd stage (𝒈𝒉 ≥ 𝟐𝟎𝟎) 𝑡=1 𝑡=2
Supertoy Problem
Water value
Future Cost
Function
1st stage
Storage at the

𝑡=1 𝑡=2
Supertoy Problem
Future Cost
Function
1st stage
Storage at the

➢ with MAXIMUM Outflow Constraints – 2nd Stage (𝒈𝒉 ≤ 𝟑𝟓𝟎) 𝑡=1 𝑡=2
Supertoy Problem
Future Cost
Function
1st stage
Storage at the

Supertoy Problem
Future Cost
Function
1st stage
cost (thermal Generation)
Storage at the

Supertoy Problem
Future Cost
Function
1st stage water values
Storage at the

➢ with MINIMUM outflow constraints – 2nd stage (𝒈𝒉 ≥ 𝟐𝟎𝟎)

𝑡=1 𝑡=2
➢ with MAXIMUM Outflow Constraints – 2nd Stage (𝒈𝒉 ≤ 𝟑𝟓𝟎)
Supertoy Problem
Future Cost
Function
1st stage
Storage at the


𝑡=1 𝑡=2
Supertoy Problem
Water value
Future Cost
Function
water values
1st stage
Storage at the


𝑡=1 𝑡=2
Supertoy Problem
Future Cost Water values

greater or equal
Function Water values
lower or equal
1st stage
Storage at the

Impact of Hydro Constraints on Thermal Generation
➢ Thermal Generation goes on the opposite way as hydro generation
Increase in Minimum
⇒ Less room for
thermal generation ⇒ Lower thermal
generation
Hydro generation
Who Wins???
⇒ Hydro plants become ⇒

Higher water Higher thermal
less competitive
values generation

What happens in a multi-stage setting?
𝒈𝒉𝒎𝒂𝒙 = 𝟐𝟎𝟎
𝒈𝒉𝒎𝒊𝒏 = 𝟏𝟎𝟎

𝒈𝒉𝒎𝒂𝒙 = 𝟐𝟎𝟎
𝒈𝒉𝒎𝒊𝒏 = 𝟏𝟎𝟎

𝒈𝒉𝒎𝒂𝒙 = 𝟑𝟎𝟎
𝒈𝒉𝒎𝒊𝒏 = 𝟐𝟓𝟎


Water at higher storages gains more value

(they can better accommodate maximum
generation constraints)
𝒈𝒉𝒎𝒂𝒙

𝒈𝒉𝒎𝒊𝒏
Water at lower storages become more expensive 𝒈𝒉𝒎𝒊𝒏 = 𝟐𝟓𝟎
(it is more difficult to meet minimum generation
constraints at all future time steps

Impact of Minimum Outflow Constraints in
the future in Initial Storage at time step 𝒕
𝑄𝑚𝑖𝑛
Deterministic Case 𝑉 𝑡−1
𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2
𝑄𝑚𝑖𝑛

𝑄𝑚𝑖𝑛
𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2
𝑉 𝑡−1 ≥ 𝑄𝑚𝑖𝑛 − 𝐼 𝑡
𝑄𝑚𝑖𝑛

𝑄𝑚𝑖𝑛 𝑄𝑚𝑖𝑛
𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2
𝑄𝑚𝑖𝑛

𝑄𝑚𝑖𝑛 𝑄𝑚𝑖𝑛
𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) + (𝑄𝑡 − 𝐼 𝑡+1 )
𝑄𝑚𝑖𝑛

𝑄𝑚𝑖𝑛 𝑄𝑚𝑖𝑛 𝑄𝑚𝑖𝑛
𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) + (𝑄𝑡 − 𝐼 𝑡+1 )
𝑄𝑚𝑖𝑛

𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) + (𝑄𝑡 − 𝐼 𝑡+1 )
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) +
(𝑄𝑡 +𝑄𝑡+1 ) − (𝐼 𝑡+1 + 𝐼 𝑡+2 )
𝑄𝑚𝑖𝑛

𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2

Intersection of all
constraints
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) + (𝑄𝑡 − 𝐼 𝑡+1 )
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) +
(𝑄𝑡 +𝑄𝑡+1 ) − (𝐼 𝑡+1 + 𝐼 𝑡+2 )
𝑄𝑚𝑖𝑛
IF all constraints can be met, they enforce HIGHER STORAGES in the reservoirs in previous time steps (as compared to
the case without minimum constraints), leading to higher thermal generation (as would be expected). However…

𝑉 𝑡−1 𝑡 𝑡+1 𝑡+2

Intersection of all
constraints
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) + (𝑄𝑡 − 𝐼 𝑡+1 )
𝑉 𝑡−1 ≥ (𝑄𝑚𝑖𝑛 − 𝐼 𝑡 ) +
(𝑄𝑡 +𝑄𝑡+1 ) − (𝐼 𝑡+1 + 𝐼 𝑡+2 )
𝑄𝑚𝑖𝑛
IF all constraints can be met, they enforce HIGHER STORAGES in the reservoirs in previous time steps (as compared to
the case without minimum constraints), leading to higher thermal generation (as would be expected). However…
HOW CAN THIS BE POSSIBLE IF PREVIOUS TIME STEPS ALSO HAVE THEIR OWN MINIMUM OUTFLOW CONSTRAINTS??
Some Thoughts...
➢ It is IMPOSSIBLE to meet all hydro constraints in NEWAVE model

✓ How to handle penalization for constraint violation
✓ Penalization of constraints in time step 𝑡 is different from
time step 𝑡 + 𝑘
➢ Discount rates have some impact
➢ Variation of efficiency of the hydro plants with the water head also
impacts operation
➢ Quality of the operation policy built up to the 𝑘 𝑡ℎ SDDP iteration

affects the analysis of the results

Technical Reference of CEPEL models
Public Access through CEPEL´s website www.cepel.br
➢ Manuals and Technical Reports for all models
http://www.cepel.br/produtos/otimizacao-
energetica/documentacao-tecnica/
Methodological contents of the features of the models

(work-in-progress) and input/output of some recent
features developed under the LIBs environment
➢ Turbine-generator efficiency factors and penstock losses
➢ Scenarios for wind uncertainty (NEWAVE, DECOMP)
➢ Improved hydraulic constraints on water and energy
➢ Piecewise-linear Hydro and thermal constraints
https://see.cepel.br/manual/libs/

Thanks!!
(21) 2598-6046 / 6587 / 6416
company/cepel @cepeloficial @cepeloficial

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Water Values, Optimal Costs and Thermal generation for long term

power generation planning under more restrictive constraints and a

Water Values, Optimal Costs and Thermal generation

Electrical Models Energy Models

• Elaboration of PDE Plan

• Scheduled Outage Assessement • Price Formation (PLD)

GAS/LNG OIL/DIESEL COAL NUCLEAR

BIOMASS+ OTHERS (8.9%)

Hydrothermal Flood Prevention Daily/Weekly

Stochastic, Aggregate reservoirs,

Weekly 2 months weekly tie lines, DDP

Daily 7 days Deterministic DC Power Flow MILP

d1-d7 d8-d14 d15-d21 d22-d28 d29-d35 d36-d42 d43-d49 d50-d56 d57-d63

Thermal units Hydro Plants New Renewable generation

Maceira, Penna et al, PSCC 2018

Diniz, Costa et al, PSCC 2018

Helseth, Melo, Sintef Report, 2020

➢ Pumping stations ➢ Intermittent generation

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

Mathematical Optimization meets Energy Industry – June 23th, 2023

➢ Monthly steps for the following months, with

➢ Coupling with long term model takes into

1 week horizon DECOMP FCF

Mathematical Optimization meets Energy Industry – June 23th, 2023

Water Values, Optimal Costs and Thermal generation

CEPEL Technical Report 1002/2022

Mathematical Optimization meets Energy Industry – June 23th, 2023

➢ Some Expected Results for total costs…

➢ Official run: 55,873,279.2 × 10−3

Mathematical Optimization meets Energy Industry – June 23th, 2023

➢ Other counterintuitive results Equivalent Reservoir Model

➢ Other counterintuitive results Equivalent Reservoir Model

Source: CPAMP Technical Report

➢ and some surprising results ! Equivalent Reservoir Model

System Marginal Costs ($/MWh)

Water Values, Optimal Costs and Thermal generation

=  Water consumption 𝒉𝒎𝟑

NEW RENEWABLES ADDITIONAL SYSTEM COMPONENTS

Constraints that Reduces the net demand to Decrease in

Ex: Minimum Generation, minimum outflow, maximum storage

Constraints that AVOID Increases the demand to be met Increase in

Ex: Maximum Generation, maximum outflow, minimum storage

Inclusion of new or more restrictive constraints

Mathematical Optimization meets Energy Industry – June 23th, 2023

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs)

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs)

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs)

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs) High Economic operation

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs) High Economic operation

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs) High Economic operation

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs) High Economic operation

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs) High Economic operation

Mathematical Optimization meets Energy Industry – June 23th, 2023

Decision use Hydro Generation (lower costs) High Economic operation