Modeling and forecast of Brazilian reservoir inflows via dynamic linear models under climate change scenarios
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The hydrothermal scheduling problem aims to determine an operation strategy that produces generation targets for each power plant at each stage of the planning horizon. This strategy aims to minimize the expected value of the operation cost over the planning horizon, composed of fuel costs to operate thermal plants plus penalties for failure in load supply. The system state at each stage is highly dependent on the water inflow at each hydropower generator reservoir. This work focuses on developing a probabilistic model for the inflows that is suitable for a multistage stochastic algorithm that solves the hydrothermal scheduling problem. The probabilistic model that governs the inflows is based on a dynamic linear model. Due to the cyclical behavior of the inflows, the model incorporates seasonal and regression components. We also incorporate climate variables such as precipitation, El Ni\~no, and other ocean indexes, as predictive variables when relevant. The model is tested for the power generation system in Brazil with about 140 hydro plants, which are responsible for more than 80\% of the electricity generation in the country. At first, these plants are gathered by basin and classified into 15 groups. Each group has a different probabilistic model that describes its seasonality and specific characteristics. The inflow forecast derived with the probabilistic model at each stage of the planning horizon is a continuous distribution, instead of a single point forecast. We describe an algorithm to form a finite scenario tree by sampling from the inflow forecasting distribution with interstage dependency, that is, the inflow realization at a specific stage depends on the inflow realization of previous stages.