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Comparison Between Closed-Loop and Partial Open-Loop Feedback Control Policies in Long Term Hydrothermal Scheduling
L. Martinez and S. Soares
AbstractStochastic dynamic programming has been extensively used in the optimization of long term hydrothermal scheduling problems due to its ability to cope with the nonlinear and stochastic characteristics of such problems, and the fact that it provides a closed-loop feedback control policy. Its computational requirements, however, tend to be heavy even for systems with a small number of hydroplants, requiring some sort of modeling manipulation in order to be able to handle real systems. An alternative to closed-loop optimization is an approach that combines a deterministic optimization model with an inflow forecasting model in a partial open-loop feedback control framework. At each stage in this control policy, a forecast of the inflows during the period of planning is made, and an operational decision for the following stage is obtained by a deterministic optimization model. The present paper compares such closed-loop and partial open-loop feedback control policies in long term hydrothermal scheduling, using a single hydroplant system as a case study to focus the comparison on the feedback control performance. The comparison is made by simulation using data from historical and synthetical inflow sequences in the consideration of three different Brazilian hydroplants located in different river basins. Results have demonstrated that the performance of the partial open-loop feedback control policy is similar to that of the closed-loop control policy, and is even superior in dry streamflow periods. Index TermsDynamic programming, hydroelectric power generation, nonlinear programming, power generation scheduling, stochastic optimal control.

Bounds on minimum and maximum water discharge through the turbines. Water spillage from the reservoir (in cubic hectometers). Constant factor (in MW/hm /month/m). Forebay elevation function (in meters). Tailrace elevation function (in meters). Average penstock head loss (in meters). Incremental water inflow (in cubic hectometers). Expected value. Minimum expected operational cost (in dollars). Probability density function. Large positive constant. Coefficients of the terms with the exponent of the forebay elevation function. Coefficients of the terms with the exponent of the tailrace elevation function. Month. Time [ , with being the year and the month]. Expected value. Standard deviation. Autocorrelation coefficient. Sequence of uncorrelated random variables. I. INTRODUCTION ONG term hydrothermal scheduling is a complex problem due to various aspects of the modeling involved, including the randomness of inflows into the hydroplants, the interconnection of hydroplants located in a cascade, and the nonlinearity of hydro production and thermal cost functions. Dynamic programming (DP) [1] has been extensively used in the optimization of hydrothermal scheduling problems in particular, and water resource systems in general. The popularity and success of this technique can be attributed to the fact that the nonlinear and stochastic features of such problems can be adequately handled by a DP formulation [2]. Moreover, the DP approach is a closed-loop control policy designed for the obtainment of, not optimal numerical values for the decision variables, but rather an optimal rule for selecting, at each stage, the optimal decision for each possible state of the system [3]. The usefulness of the DP technique, however, is limited by the so-called course of dimensionality, since the computational burden increases exponentially with the number of state variables. Various approaches have been suggested to overcome the

NOTATION Index of month. Number of months in the planning period. Non-hydraulic cost function (in dollars). Hydroelectric generation function (in megawatt months). Load demand (in megawatt months). Future operational cost (in dollars). Water storage in the reservoir (in cubic hectometers). Bounds on minimum and maximum reservoir storage in the reservoir. Water discharge through the turbines (in cubic hectometers).
Manuscript received March 6, 2001; revised October 26, 2001. This work was supported by the So Paulo State Foundation for the Support of Research (FAPESP) and the Brazilian National Research Council (CNPq). The authors are with the Department of Engineering Systems, School of Electrical and Computer Engineering, State University of Campinas, Sao Paulo, Brazil (e-mail martinez@densis.fee.unicamp.br; dino@densis.fee.unicamp.br). Publisher Item Identifier S 0885-8950(02)03827-0.

0885-8950/02$17.00 2002 IEEE

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problem of dimensionality, including the aggregation of the hydroelectric system through a composite representation [4][9] and the use of stochastic dual dynamic programming, based on Benders decomposition [10][12]. An alternative approach to such closed-loop optimization combines a deterministic optimization of the hydrothermal scheduling problem with inflows furnished by a forecasting model. At each stage of the planning period this feedback control scheme determines an optimal decision based on the current forecast of future values, and this decision is utilized until a new forecast becomes available, this again based on the latest available information in the system. When this new forecast becomes available, a new optimal decision is determined within the framework of partial open-loop feedback control [3]. This partial open-loop approach is based on a deterministic optimization model [13][15], thus permitting the representation of the hydro system in detail, with the consideration of each hydro plant individually, including its operational constraints and nonlinear production characteristics. Moreover, the stochastic model considered for the representation of the inflows can be quite general, based on any methodology, and specific for each hydro plant in the system. But the main feature of this approach is that it can be applied without simplifications to multiple hydro plant systems. Evaluations of the adequacy of the partial open-loop feedback control policy for the hydroelectric systems of Turkey [16], New Zealand [17], and Brazil [18] have been carried out. The first of these showed that the reservoir trajectory resulting from successive updates of forecasted inflows was similar to that obtained when assuming perfect foresight of the inflows during the planning period, thus indicating an efficient performance of the partial open-loop approach. The second study, using the New Zealand system, again obtained results not differing significantly from those obtained by stochastic DP. A different conclusion was reached for Brazil [18], suggesting that the performance of the partial open-loop approach might be dependent on the specific hydro system considered. This work, however, did not constitute a complete comparison, since the open-loop feedback control scheme was implemented through the same stochastic dynamic programming model, where the inflow in each stage is represented by its expected value instead of by its conditional probability distribution. The goal of the present paper is to compare these closed-loop and partial open-loop feedback control policies in long term hydrothermal scheduling, using the Brazilian system as a case study. The comparison involves systems composed of a single hydro plant since the idea is to focus on the effectiveness of the different feedback control policies in coping with the randomness of inflow. Therefore, the modeling manipulations usually necessary to implement a closed-loop approach for multiple hydro plant systems is not required. The comparison was made for three hydro plants, each located in a separate Brazilian river basin. These plants were selected because they have large plurianual reservoirs and are located in the upstream part of the river basins, thus being especially important hydro plants in the operation of the cascades to which they belong.

A lag-one parametric autoregressive model, PAR(1), was adjusted to the historical inflow records and used in the feedback control policies, both that of the closed-loop control policy for providing the conditional probability density functions, and that of the partial open-loop one for providing the inflow forecasting. The approaches were then compared by simulation using historical and synthetical inflow sequences generated by the same PAR(1) model. Deterministic optimization assuming perfect foresight of inflow during the period of planning was also considered. The effectiveness of the approaches was measured using the mean and standard deviation values for hydro generation and operational costs during the planning period. The paper is structured as follows. Section II presents the formulation of the long term hydrothermal scheduling problem. Sections III and IV present the closed-loop and partial open-loop feedback control policies, respectively. Section V presents the comparison between the approaches and Section VI presents the conclusions of the study. II. PROBLEM FORMULATION The deterministic version of the long term hydrothermal scheduling of a single hydroelectric plant can be formulated as the following nonlinear programming problem

(1) subject to (2) (3) (4) (5) (6) given (7) The objective function (1) is composed of two terms which represent the operational costs during the planning period and the future costs associated with the final storage in the reservoir. The operational cost represents the minimum cost from complementary nonhydraulic sources such as thermoelectric generation, imports from neighboring systems, and load shortage. As is a convex decreasing a consequence of this minimization, function of the hydro generation and depends on the system is a terminal condition load demand ; the function which represents future operational cost as a function of the final reservoir storage. This term is essential for the equilibrium between the use of water during the planning period and its use afterwards. Hydro generation in stage is a nonlinear function repreis the water storage in the reservoir, sented by (2), where is the water discharge through the turbines, and the water spillage from the reservoir. The constant is the product of

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water density, gravity acceleration and average turbine/generis the forebay elevation as a function of ator efficiency, is the tailrace elevation as a function of total water storage, is the average penstock head loss. water release, and The equality constraints in (3) represent the water balance in the reservoir at each stage , where is the incremental water inflow. Other terms such as evaporation and infiltration have not been considered for the sake of simplicity. Lower and upper bounds on variables, expressed by constraints (4)(6), are imposed by the physical operational constraints of the hydro plant, as well as other constraints associated with the multiple uses of water, such as irrigation, navigation, and flood control. In the following sections, the closed-loop and partial open-loop feedback control policies in the long term hydrothermal scheduling problem (1)(7) are presented. III. CLOSED-LOOP FEEDBACK CONTROL Closed-loop optimization is the central characteristic of the stochastic dynamic programming technique. The goal of the closed-loop feedback control (CLFC) policy is to determine a rule for decision-making at each stage of the planning period which provides the optimal decision for each possible state of the system. Mathematically, the CLFC finds a sequence of decision functions mapping the states into decisions so as to minimize the expected costs. In some applications, the system state is constituted only by the storage variable, which is the case when the stochastic variable is considered independent in time. In other situations, however, when the stochastic variable is modeled by autoregressive models, the system state must be increased to include the water inflows from previous stages in order to represent the time dependence of the inflows, a procedure which makes the course of dimensionality even more crucial to this approach. It is assumed, in this paper, that the stochastic variable representing the inflow in stage depends only on the inflow from . This means that the inflows are reprethe previous stage sented by a PAR(1) model, describing the stochastic process of the hydrologic variable as a Markov chain [3]. For reservoir operation, the state variables are the water stored in the reservoir and the water inflow during at the beginning of each stage which represents the hydrological trend. the previous stage The control variables are the amount of water discharged and spilled from the reservoir during the time stage . The long term hydrothermal scheduling problem, in its stochastic version, can be formulated as (8)

curred at time accumulates over time. According to Bellmans Optimality Principle [1], the optimal decision is obtained by solving the following recursive equation

(9) with

where /subject to (2)(6) ; represents the minimum expected operational cost from stage till the end of the planning period , assuming that the system is at the ); state ( probability density function of the inflow in stage conditioned by the inflow in the pre. vious stage The resolution of (9) requires the discretization of the state and control variables and the conditioned probability density function of the inflows, which leads to the course of dimensionality in DP, as already commented. IV. PARTIAL OPEN-LOOP FEEDBACK CONTROL In the partial open-loop feedback control (OLFC) approach, the randomness of inflows is implicit when stochastic variables are assigned to their expected values, which are provided by inflow forecasting models. The deterministic version of the problem is then solved by a deterministic optimization model, and the optimal decision variable associated with the first stage is then implemented. In order to avoid error propagation, the scheme must be repeated at each stage throughout the planning period. One major issue in the design of the OLFC approach is the terof the deterministic optimization model. minal condition The terminal condition is known to establish a trade-off between the benefits associated with the use of water for hydro generation during the planning period and the expectation of future benefits deriving from storage at the end of the planning period, both measured in terms of nonhydraulic generation economy. Therefore, the terminal condition is a critical aspect of the OLFC approach and has a great influence on the overall performance; moreover, an adequate terminal condition is a necessity for implementing efficient OLFC approaches. One way of overcoming the problem of obtaining a proper terminal condition is to extend the end of the planning period so on the decision during the first stage that the influence of becomes negligible. This turns out to be rather inconvenient, however, since the extension of the planning period increases the errors in inflow forecasting, thus reducing the performance of the OLFC approach. On the other hand, establishing a shorter planning period so that the forecasting model will be able to improve its performance would require a precise estimation of the expected future

is the subject to the constraints in (2)(6), where expected value with respect to the inflow during stage condi. tioned by the inflow during stage At each stage, decisions are ranked based on the minimization of the sum of the present cost plus that of the expected future cost, assuming optimal decision-making for all subsequent stages. This cost function is additive in the sense that the cost in-

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TABLE I HYDRO PLANT CHARACTERISTICS

Fig. 1. Water level curve for reservoir storage in end of April.

TABLE II HYDRO GENERATION CHARACTERISTICS

operational cost, since in this case the influence of the terminal condition on the decision of the first stage is crucial. To resolve the conflict between the terminal condition and the optimization horizon in the OLFC design, it is suggested here that the reservoir should be as full as possible at the beginning of the dry season. This decision is supported by the fact that the optimal deterministic solution for the historical inflow records indicates that the storage of the hydro plant should almost always be at maximum level at the beginning of the dry season. Indeed, the deterministic optimization based on historical inflow records (1931 to 2000) for the three Brazilian hydro plants considered in this paper, shows that the reservoirs are generally full at the end of April, the beginning of the dry season, as can be seen in the duration curves of reservoir storage in Fig. 1. Based on these results, the OLFC approach proposed here will try to maintain the storage reservoir of the hydro plant full at the beginning of May, which is the beginning of the dry season. For this reason, the optimization horizon should be variable throughout the planning period so that the final stage will always be April. For example, the OLFC decision for the month of September is obtained by optimizing the operation for a period of eight months, whereas in the month of January, the OLFC decision is obtained by optimizing the operation for a period of four months. The average optimization horizon in this scheme will be six months, which is a reasonable period for inflow forecasting. Assuming that represents the next month of April, the solution of the problem (1)(7) is obtained by considering the ter, where is a positive minal condition constant large enough to ensure that the terminal condition prevails over the remaining objective function. In this paper, the deterministic solution of the optimization problem is obtained by a nonlinear network flow algorithm specially developed for hydrothermal scheduling [15] and the inflow forecasting model is the PAR(1) model. V. TEST RESULTS This section provides a comparative analysis of CLFC and OLFC policies in long term hydrothermal scheduling through simulation. The two approaches have been applied to the specific case of systems comprising a single hydro plant. The three different hydro plants located in different Brazilian river basins selected for the study were Furnas, located on the

Grande river, Emborcao on the Paranaiba river, and Sobradinho on the So Francisco river. The main operational characteristics of these hydro plants are given in Table I. As is standard for planning studies in the Brazilian power and the tailrace elevation system, the forebay elevation are fitted by fourth degree polynomial functions of the and water storage and discharge in the reservoir, where are the coefficients of the terms with the exponent of each polynomial function, respectively. Table II gives the polynomial coefficients, the value of the constant , given in (MW/(hm /month)m), and the average penstock head loss, in meters, respectively, for each hydro plant considered. is, in general, obtained by the opThe operational cost timal dispatch of the nonhydraulic sources available. Optimization ranks these sources according to their marginal costs, which results in a convex increasing operational cost function. For the nonhydraulic aspects of the Brazilian system, an estimate of the operational cost is given by the following quadratic function (10) in (10) was considered both constant The load demand during the planning period and equal to the installed capacity of the hydro plant. This assures a balanced hydrothermal system since, for these three hydro plants, the firm energy is approximately 50% of the installed capacity. These assumptions (load demand and operational cost), although arbitrary, do not change the essential nature of the conclusions, since optimal scheduling tries to distribute the hydro generation throughout the planning period in order to equalize the marginal operational costs, whatever they may be. As it is shown in [19], different forms of composite thermal marginal costs will lead to the same hydro production scheduling, being sufficient to consider a linear thermal marginal cost as suggested

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in (10). A linear hydro marginal profit would also be sufficient for obtaining the optimal hydro production scheduling, which means that the control policies here compared would be appropriated for owners of independent hydro plants under both deregulation and competition environment. For both control policies analyzed, the coordination between long and short term hydrothermal scheduling is established by generation targets imposed to each hydro plant in the short term horizon. These targets are the hydro generation decisions of the long term model for the first time interval. The comparison between CLFC and OLFC policies has been made using a simulation model which reproduces the behavior of the hydrothermal system. This simulation model provides the response of the system for specific inflow sequences, according to the control policy adopted, thus allowing the comparison of the two techniques for the same computational environment. Two different scenarios, in terms of inflow sequences, were simulated. The first corresponded to a synthetic inflow sequence of 1000 years, generated by a PAR(1) model, and the second corresponded to the historical inflow records for the 70 years between 1931 and 2000. The PAR(1) model was applied to the actual historical inflow records after normalization of the series by subtracting the expected value and dividing by the standard deviation. As a result, the PAR(1) model is represented by (11) where inflow at time , with being the year and the month; expected value of the inflow for month ; standard deviation of the inflow for month ; autocorrelation coefficient of the normalized series; sequence of uncorrelated random variables with dis, . tribution periodic function have been A number of estimates for the suggested by statisticians [20]. In this work, the Maximum Likelihood Estimate method was used to determine the autocorrelation function in the PAR(1) model [21]. Table III shows the aufor the hydro plants under tocorrelation coefficients consideration. The two control policies were simulated, the first (CLFC) adopting the PAR(1) model for providing the conditional probability density functions of the inflows, while the second (OLFC) adopting the same PAR(1) model for forecasting of the inflows. In this way, the comparison of the two approaches in the synthetical scenario, also generated by the same model, focus on the effectiveness of the feedback control schemes under ideal conditions where both approaches have the same, and exact, interpretation of the stochastic behavior of the inflow. In the CLFC policy, the probability matrix of the inflow is estimated from the synthetical inflow sequence generated by the PAR(1) model. The state variable is discretized into ten possible intervals and the transition probability of each state is calculated by computing the frequency of occurrence of the inflow of each month, as a function of the inflow of the previous month. The probability transition matrix for Furnas hydro plant, for the

TABLE III COEFFICIENTS  =

Fig. 2. Decision table of Furnas hydro plant for January.

month of January, is presented in Table IV. The state variable is discretized into 100 possible values. The optimal decision rule is the result of decision tables which provide the optimal hydro generation decision and the future expected operational cost for each possible state of the system. Fig. 2 shows the decision table for the month of January obtained by the CLFC policy for this plant, obtained through the resolution of the recursive equation (9), with 100 states for the reservoir storage and ten states for the last month inflow. Assuming that the inflows are known exactly for the planning period, the deterministic optimization of the scheduling of the system is also conducted [optimal solution (OS)]. The statistics of interest for the simulations and OS are the values of the mean and standard deviation of hydroelectric generation and operational cost. The results obtained in the simulations using synthetical and historical inflow scenarios for the three hydro plants of Furnas, Emborcao, and Sobradinho are presented in Tables VVII, respectively. The results revealed higher average hydroelectric generation with the use of the OLFC for all simulations and all hydroelectric plants considered. The standard deviation, however, is also higher, which indicates greater fluctuation in hydro generation. Since operational costs are convex and increasing, such fluctuations provoke cost increases which, not being compensated for by a slightly higher average generation, lead to higher final operating costs. Overall, the CLFC policy was more efficient for the case of the Furnas plant, but this efficiency diminished somewhat for the

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TABLE IV INFLOW TRANSITION PROBABILITY MATRIX FOR FURNAS, DECEMBER THROUGH JANUARY

TABLE V HYDROELECTRIC GENERATION AND OPERATIONAL COST HYDRO PLANT

OF

FURNAS

TABLE VI HYDROELECTRIC GENERATION AND OPERATIONAL COST OF EMBORCAO HYDRO PLANT

Fig. 3.

Storage level trajectories of Furnas plant from 1950 to 1960.

TABLE VII STATISTICS OF SIMULATIONS FOR SOBRADINHO HYDRO PLANT

Emborcao plant, and even more for that of Sobradinho. The advantages observed with the synthetical simulations, however, reduced with the historical simulations, when the two control policies led to almost equivalent performances. Indeed, for historical simulations, the two control policies were equivalent for the Emborcao and Sobradinho plants (differences less than 1%), while for the Furnas plant the CLFC was more efficient (around 4%). The superior performance of the CLFC policy in the case of synthetical simulations confirms the optimality of such control policy when the stochastic process of inflows is exactly represented by a PAR(1) model. In the real case, however, when inflows behave as in the historical records, the two control policies

produce similar results, indicating that the stochastic process of inflows is not adequately represented by the PAR(1) model. It can thus be concluded that the two control policies produce similar results in the real case when using the same PAR(1) model. If, however, more efficient techniques are used for forecasting the inflows, such as models based on neurofuzzy networks [22], the performance of the OLFC policy may surpass that of the CLFC, since the latter is limited to autoregressive models and the course of dimensionality does not allow the use of models of a superior order. Fig. 3 shows the trajectories of water storage in the reservoirs obtained by the two feedback control policies in the simulation of the Furnas hydroelectric plant during the period of 1950 to 1960. It can be noted that in years with average streamflow such as 1950/1951, 1951/1952, and 1959/1960, the differences between CLFC and OLFC policies are reduced, in contrast to the large difference verified for the critical period of 1952 to 1956, when water was scarcer and the OLFC approach was superior. This can be explained by the fact that although the inflow is critical and that the PAR(1) model cannot correctly estimate it in both control policies, the terminal condition considered in the OLFC policy is responsible for maintaining a higher level of storage in the reservoir, thus leading to higher values for the water head, which increases the productivity of the plant and therefore improves its efficiency. This is an interesting feature of the OLFC policy since dry streamflow periods are those of higher operational costs and shortage risks and so more important for operation planning purposes. This paper has shown that it is possible to implement efficient OLFC schemes which similar performance compared to tradi-

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tional stochastic dynamic programming, even though restricted to the use of the same stochastic inflow model. VI. CONCLUSION This paper has compared the partial open-loop and closed-loop feedback control policies in long term hydrothermal scheduling for hydrothermal systems composed of a single hydro plant. The idea was to focus the comparison on the effectiveness of the two feedback control policies for coping with the randomness of inflow. The comparison was made through simulation using historical inflow records, as well as synthetical inflow sequences generated by a lag-one parametric autoregressive model. The same model was used in the simulations with both feedback control policies, in the closed-loop one for providing the conditional probability density functions of the inflows, and in the partial open-loop one for providing the forecasting of the inflows. The simulations were made considering three hydro plants located in different Brazilian river basins. The results revealed that the partial open-loop feedback control policy provided somewhat higher average and standard deviation for hydroelectric generation in all simulations performed. The higher standard deviation provided, however, not being compensated for by a slightly higher average generation, lead to higher final operating costs. The closed-loop feedback control policy was more efficient in the synthetical simulations. This advantage, however, reduced with the historical simulations, when the different control policies led to almost equivalent performances. In dry streamflow periods, which are important for operation planning purposes, the partial open-loop feedback control policy revealed to be more efficient than the closed-loop feedback control policy. In this critical situation, where water supply is very limited and the stochastic model cannot correctly estimate it, the partial open-loop approach was more efficient on account of the terminal condition considered in the deterministic optimization model used to provide the control policy. Other possible benefits associated with the partial open-loop feedback control should be resulting from a detailed system representation in the case of multiple hydro plant systems and the use of models more efficient than the lag-one parametric autoregressive model to represent the actual stochastic process of the inflows. These benefits should make the performance of the partial open-loop control policy surpass that of the closed-loop control policy, since the latter cannot cope with these kind of representations on account of the course of dimensionality associated with its feedback control policy. REFERENCES
[1] R. Bellman, Dynamic Programming. Princeton, NJ: Princeton Univ. Press, 1962. [2] W. W. G. Yeh, Reservoir management and operations models: A state-of-the-art review, Water Resources Res., vol. 21, no. 12, pp. 17971818, Dec. 1985. [3] D. P. Bertsekas, Dynamic Programming and Optimal Control. Belmont, MA: Athena, 1995. [4] N. V. Arvanitids and J. Rosing, Composite representation of multireservoir hydroelectric power system, IEEE Trans. Power Apparat. Syst., vol. PAS-89, pp. 319326, Feb. 1970.

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L. Martinez was born in Brazil in 1971. She received the B.Sc. degree in mathematics and the M.Sc. degree in computational mathematics both from the State University of So Paulo (USP), So Paulo, Brazil, in 1994 and 1996, respectively. She is currently pursuing the Ph.D. degree in electrical engineering from the State University of Campinas, Sao Paulo, Brazil. Her area of research interest is power systems planning and operation research.

S. Soares was born in Brazil in 1949. He received the B.Sc. degree in mechanical engineering from the Aeronautics Institute of Technology (ITA), Brazil, and the M.Sc. and Ph.D. degree in electrical engineering from the State University of Campinas, Sao Paulo, Brazil, in 1972, 1974, and 1978, respectively. He joined the staff at UNICAMP in 1976. From 1989 to 1990, he was with the Department of Electrical Engineering at McGill University in Montreal, QC, Canada, in a post-doctoral program. Currently, he is a Professor with the Faculty of Electrical Engineering at UNICAMP. His area of research interest is planning and operation of electric energy systems.