Correlations among random variables make significant impacts on probabilistic load flow(PLF)calculation results.In the existing studies,correlation coefficients or Gaussian copula are usually used to model the correla...Correlations among random variables make significant impacts on probabilistic load flow(PLF)calculation results.In the existing studies,correlation coefficients or Gaussian copula are usually used to model the correlations,while vine copula,which describes the complex dependence structure(DS)of random variables,is seldom discussed since it brings in much heavier computational burdens.To overcome this problem,this paper proposes an efficient PLF method considering input random variables with complex DS.Specifically,the Rosenblatt transformation(RT)is used to transform vine copula⁃based correlated variables into independent ones;and then the sparse polynomial chaos expansion(SPCE)evaluates output random variables of PLF calculation.The effectiveness of the proposed method is verified using the IEEE 123⁃bus system.展开更多
基于Rosenblatt积分变换,针对Roberto De Matteis等人提出Copula参数估计拟合检验的缺陷加以改进,提出一种新的拟合优度检验方法——两步拟合优度检验法。即第一步进行W(X,Y)是否服从U[0,1]分布假设检验,第二步进行T(X,Y)是否服从χ2(4...基于Rosenblatt积分变换,针对Roberto De Matteis等人提出Copula参数估计拟合检验的缺陷加以改进,提出一种新的拟合优度检验方法——两步拟合优度检验法。即第一步进行W(X,Y)是否服从U[0,1]分布假设检验,第二步进行T(X,Y)是否服从χ2(4)分布假设检验。展开更多
As wind farms are commonly installed in areas with abundant wind resources,spatial dependence of wind speed among nearby wind farms should be considered when modeling a power system with large-scale wind power.In this...As wind farms are commonly installed in areas with abundant wind resources,spatial dependence of wind speed among nearby wind farms should be considered when modeling a power system with large-scale wind power.In this paper,a novel bivariate non-parametric copula,and a bivariate diffusive kernel(BDK)copula are proposed to formulate the dependence between random variables.BDK copula is then applied to higher dimension using the pair-copula method and is named as pair diffusive kernel(PDK)copula,offering flexibility to formulate the complicated dependent structure of multiple random variables.Also,a quasi-Monte Carlo method is elaborated in the sampling procedure based on the combination of the Sobol sequence and the Rosen-blatt transformation of the PDK copula,to generate correlated wind speed samples.The proposed method is applied to solve probabilistic optimal power flow(POPF)problems.The effectiveness of the BDK copula is validated in copula definitions.Then,three different data sets are used in various goodness-of-fit tests to verify the superior performance of the PDK copula,which facilitates in formulating the dependence structure of wind speeds at different wind farms.Furthermore,samples obtained from the PDK copula are used to solve POPF problems,which are modeled on three modified IEEE 57-bus power systems.Compared to the Gaussian,T,and parametric-pair copulas,the results obtained from the PDK copula are superior in formulating the complicated dependence,thus solving POPF problems.展开更多
Regular vine copula provides rich models for dependence structure modeling.It combines vine structures and families of bivariate copulas to construct a number of multivariate distributions that can model a wide range ...Regular vine copula provides rich models for dependence structure modeling.It combines vine structures and families of bivariate copulas to construct a number of multivariate distributions that can model a wide range dependence patterns with different tail dependence for different pairs.Two special cases of regular vine copulas,C-vine and D-vine copulas,have been extensively investigated in the literature.We propose the Python package,pyvine,for modeling,sampling and testing a more generalized regular vine copula(R-vine for short).R-vine modeling algorithm searches for the R-vine structure which maximizes the vine tree dependence in a sequential way.The maximum likelihood estimation algorithm takes the sequential estimations as initial values and uses L-BFGS-B algorithm for the likelihood value optimization.R-vine sampling algorithm traverses all edges of the vine structure from the last tree in a recursive way and generates the marginal samples on each edge according to some nested conditions.Goodness-of-fit testing algorithm first generates Rosenblatt’s transformed data E and then tests the hypothesis H^(∗)_(0):E∼C_(⊥)by using Anderson–Darling statistic,where C_(⊥)is the independence copula.Bootstrap method is used to compute an adjusted p-value of the empirical distribution of replications of Anderson–Darling statistic.The computing of related functions of copulas such as cumulative distribution functions,Hfunctions and inverse H-functions often meets with the problem of overflow.We solve this problem by reinvestigating the following six families of bivariate copulas:Normal,Student t,Clayton,Gumbel,Frank and Joe’s copulas.Approximations of the above related functions of copulas are given when the overflow occurs in the computation.All these are implemented in a subpackage bvcopula,in which subroutines are written in Fortran and wrapped into Python and,hence,good performance is guaranteed.展开更多
基金Fundamental Research Funds for the Central Universities,China(No.2232020D⁃53)。
文摘Correlations among random variables make significant impacts on probabilistic load flow(PLF)calculation results.In the existing studies,correlation coefficients or Gaussian copula are usually used to model the correlations,while vine copula,which describes the complex dependence structure(DS)of random variables,is seldom discussed since it brings in much heavier computational burdens.To overcome this problem,this paper proposes an efficient PLF method considering input random variables with complex DS.Specifically,the Rosenblatt transformation(RT)is used to transform vine copula⁃based correlated variables into independent ones;and then the sparse polynomial chaos expansion(SPCE)evaluates output random variables of PLF calculation.The effectiveness of the proposed method is verified using the IEEE 123⁃bus system.
基金supported by Key-Area Research and Development Program of Guangdong Province(No.2020B010166004)the National Natural Science Foundation of China(No.52077081).
文摘As wind farms are commonly installed in areas with abundant wind resources,spatial dependence of wind speed among nearby wind farms should be considered when modeling a power system with large-scale wind power.In this paper,a novel bivariate non-parametric copula,and a bivariate diffusive kernel(BDK)copula are proposed to formulate the dependence between random variables.BDK copula is then applied to higher dimension using the pair-copula method and is named as pair diffusive kernel(PDK)copula,offering flexibility to formulate the complicated dependent structure of multiple random variables.Also,a quasi-Monte Carlo method is elaborated in the sampling procedure based on the combination of the Sobol sequence and the Rosen-blatt transformation of the PDK copula,to generate correlated wind speed samples.The proposed method is applied to solve probabilistic optimal power flow(POPF)problems.The effectiveness of the BDK copula is validated in copula definitions.Then,three different data sets are used in various goodness-of-fit tests to verify the superior performance of the PDK copula,which facilitates in formulating the dependence structure of wind speeds at different wind farms.Furthermore,samples obtained from the PDK copula are used to solve POPF problems,which are modeled on three modified IEEE 57-bus power systems.Compared to the Gaussian,T,and parametric-pair copulas,the results obtained from the PDK copula are superior in formulating the complicated dependence,thus solving POPF problems.
基金This work was supported by the NNSF of China(Nos.11371340,71871208).
文摘Regular vine copula provides rich models for dependence structure modeling.It combines vine structures and families of bivariate copulas to construct a number of multivariate distributions that can model a wide range dependence patterns with different tail dependence for different pairs.Two special cases of regular vine copulas,C-vine and D-vine copulas,have been extensively investigated in the literature.We propose the Python package,pyvine,for modeling,sampling and testing a more generalized regular vine copula(R-vine for short).R-vine modeling algorithm searches for the R-vine structure which maximizes the vine tree dependence in a sequential way.The maximum likelihood estimation algorithm takes the sequential estimations as initial values and uses L-BFGS-B algorithm for the likelihood value optimization.R-vine sampling algorithm traverses all edges of the vine structure from the last tree in a recursive way and generates the marginal samples on each edge according to some nested conditions.Goodness-of-fit testing algorithm first generates Rosenblatt’s transformed data E and then tests the hypothesis H^(∗)_(0):E∼C_(⊥)by using Anderson–Darling statistic,where C_(⊥)is the independence copula.Bootstrap method is used to compute an adjusted p-value of the empirical distribution of replications of Anderson–Darling statistic.The computing of related functions of copulas such as cumulative distribution functions,Hfunctions and inverse H-functions often meets with the problem of overflow.We solve this problem by reinvestigating the following six families of bivariate copulas:Normal,Student t,Clayton,Gumbel,Frank and Joe’s copulas.Approximations of the above related functions of copulas are given when the overflow occurs in the computation.All these are implemented in a subpackage bvcopula,in which subroutines are written in Fortran and wrapped into Python and,hence,good performance is guaranteed.
