A proposed method for capacity expansion planning

using Benders Algorithm and power transfer

distribution factors

Victor Hinojosa y Juan Arriaza

Departamento de Ingeniería Eléctrica
Universidad Técnica Federico Santa María
Valparaíso, Chile
Email:

Abstract—In this paper, it proposes a capacity expansion 𝛽𝑘𝑚,𝑦,𝑡 Dual variable for the disjunctive power flow
planning (CEP) considering the load uncertainty, using a Benders definition (positive) constraint.
decomposition method (BD) and power transfer distribution 𝛽𝑘𝑚,𝑦,𝑡 Dual variable for the disjunctive power flow
factors (PTDF). As antecedent, we have as a background a definition (negative) constraint.
disjunctive formulation, which has the mixed integer-linear
𝜋𝑔,𝑡 Dual variable for the disjunctive maximum power
programing (MILP) with stochastic characteristic, which involves
many variables and restraints. Due to the large size of this constraint of the generating unit g candidate for
problem, it is applied to the iterative BD algorithm and PTDF, investment in period t.
fractionating the complete formulation into a master investment 𝜋𝑔,𝑡 Dual variable for the disjunctive minimum power
problem and at operational subproblem. The first one only takes constraint.
care of the integer or binary variables, that is, in each iteration it 𝜆𝑘 Nodal price for the bus k.
delivers an investment plan, which is sent and evaluated in the 𝜆𝑆𝐿 Nodal price for the slack bus.
linear optimization problem. From this operation, the dual 𝜇̅𝑘𝑚 Dual variable for the power flow constraint
variables are obtained, which are used as economic indicators for (positive) by the k-m corridor of the formulation
the Benders cuts. About validation of the algorithm, this applies
two test systems, Garver and the National Electrical System of
with PTDF.
𝜇𝑘𝑚 Dual variable for the power flow constraint
Chile (SEN), with significant times reductions in solvers and
smaller formulations in the operational subproblems. (negative).
𝑒𝑥
𝜋𝑔 Dual variable for the maximum power constraint
Keywords—Benders Algorithm; Disjunctive Formulation; Power for existing generators.
Transmission Distributions Factors; Capacity Expansion Planning; 𝜋𝑔𝑒𝑥 Dual variable for the minimum power constraint.
Mixed Integer-Linear Programming.
Parameters
NOMENCLATURE 𝐶𝑘𝑚 Investment cost of the k-m broker [USD $]
Variables 𝐶𝐼𝑔 Investment cost of the generator g [USD $ /
𝑃𝑔,𝑠,𝑡,𝑒 Active power dispatched by the unit g in time MW]
block s, year t and scenario e 𝑂&𝑀𝐴𝑔 Cost of operation and maintenance of the
𝑟𝑔,𝑠,𝑡,𝑒 Power dispatched by the virtual unit g generator g [USD $ / MW]
𝑓𝑘𝑚,𝑠,𝑡,𝑒 Transmission power flow through the k-m 𝐹𝐶𝑔 Linear component of the generator cost function g
corridor [USD $ / MWh]
𝑓̂𝑘𝑚,𝑠,𝑡,𝑒 Transmission power flow through the investment ℎ𝑠 Duration in hours of time blocks [h]
candidate 𝑉𝑜𝐿𝐿 Value of load lost [USD$/MWh]
𝛿𝑘,𝑠,𝑡,𝑒 Voltage angle of bus k 𝑑𝑘,𝑠,𝑡,𝑒 Demand in bar k[MW]
𝑋𝑘𝑚,𝑦,𝑡 Binary variable that represents the number of y 𝐴𝑇 Transposed incidence matrix electric system
elements to build in corridor k-m 𝐴̂𝑇 Transposed incidence matrix of the electric
𝑛𝑔,𝑡 Integer variable (accumulated) that represents the system with investment candidate lines
decision to invest in a new generator g 𝑏𝑘𝑚 Susceptance of the k-m corridor
𝛼𝑘𝑚,𝑦,𝑡 Dual variable for the disjunctive maximum power 𝑀 Big M
flow (positive) constraint of corridor k-m and 𝑆𝑅 Percentage of system security reserve
𝑀
circuit y 𝑛𝑔,𝑡 Maximum investment amount
𝑀
𝛼𝑘𝑚,𝑦,𝑡 Dual variable for the disjunctive maximum power 𝑓𝑘𝑚 Maximum flow for the k-m corridor [MW]
flow (negative)
 𝑀
𝑋𝑘𝑚,𝑦,𝑡 Maximum amount of circuit investment for
the k-m corridor
𝑀𝐴𝑋
𝑑𝑡,𝑒 Maximum load
𝛼𝑡 Monetary update factor
𝑃𝑒 Probability of occurrence of the scenario e
𝑃𝑇𝐷𝐹𝑘𝑚,𝑘 Linear power distribution factor of the k-m
corridor, bus k
𝑦𝑏 Diagonal matrix of the primitive admittances
of the electrical system
𝐵𝑟−1 Reduced inverse bus admittance matrix
𝑃𝑔𝑀 Maximum generator power [MW]
𝑆𝐿 Bus slack
Sets
𝑌 Index set of candidate transmission lines
𝛺𝑙 Index set of existing circuits of system
𝛺𝑏 Index set of bus system
𝑆 Index set of blocks time of the load
modeling
𝑇 Index set of planning period
𝐸 Index set uncertainty scenarios
𝐺𝐵 Index set of candidate generators units
𝐺𝐸 Index set of existing generators units
𝐺𝑟 Index set of virtual generators
I. INTRODUCTION
THE capacity expansion planning (CEP) problem is known
as the co-optimization of generation and transmission capacity
expansion planning problem, and it is an issue of determining:
(1) how much capacity to add, (2) when and what types of
generation and transmission are needed, and (3) where to locate
new generating units and transmission lines in order to supply
adequately the load customers for a foreseen future, typically
10-30 years. Because of the long-term horizon associated to
CEP, uncertainty is presented at many different levels in the
decision-making process: load forecasting, hydro energy
availability, fuel prices, emissions price, and renewable energy,
among other variables. Traditionally, the CEP problem has
been solved separately not only because of the infrastructure
involved in each type of decision is different, but also because
of the way each type of investment modifies the structure of the
power flow formulation. While the generation capacity
expansion planning (GCEP) [1] problem only modifies the
supply curve locally at each electrical bus; i.e., local
modifications in the operational problem, the transmission
capacity expansion planning (TCEP) problem [2] modifies the
admittance matrix of the associated power flow problems; i.e.,
global modifications in the operational problem.
Widely used in literature for solve CEP, the disjunctive
formulation was proposed for the first time in [2] and it present
like to mixed integer-linear programing problem (MILP). This
model allows to linearize the problem from the classical DC
formulation [3], adding disjunctive restrictions that allow to
represent the operation of the system according to the
investments in transmission and generation. Although, this
formulation presents an improvement in linearity and efficacy
in optimization terms with greater efficiency than in the non-
linear case. This falls on a problem of great size, due to the
disjunctive constraints inclusion and power formulation by bus
angle voltage. In addition, if it is considered the integration of
Renewable Energy Sources (RES) as solar and wind energy
with your respective intermittencies (uncertainties), it obtained
an optimization problem with a size considerable. Then, the
problem resolution it is very difficult with great memory
requirement from solvers, as it can check in [4].
In [5], [6] & [7] it applied decomposition techniques, with
purpose of interpret the optimization as two-stage problem,
specifically the BD technique. This division naturally induces
an iterative resolution algorithm in which the problems
associated with the variables of the first stage (master problem)
and those associated with the variables of the second stage
(subproblem) are solved consecutively. The Benders
decomposition optimality accord to author [8], just can reach a
near-optimal global solution. In this work the optimality is
tested by disjunctive formulation.
Consistent in the previous discussion and literature review it
is proposed the following contributions:
1) The application of the Power Transfer Distribution Factors
(PTDF) widely used in literature [1], [4], [5] & [9], which
have been also used in GCEP & TCEP as an alternative
approach to eliminate the voltage angle from the power
flow formulation replacing by only one equation without
sacrificing optimality. Accordingly, the size of the PTDF
formulation in terms of number of variables and
constraints, becomes much smaller than that in the
conventional angle-based formulation (disjunctive model).
2) In this study, the uncertainty of the input variables will be
modeled using the two-stage stochastic mixed-integer
problem (SMIP) [10] based on the node-variable-
formulation [11]. The first stage variables (investment
decisions of new power units and new transmission
elements) will be the decisions to make under uncertainty,
and these variables are the same for all different
realizations of the uncertain parameter (in this case long-
term load forecasting). The second stage variables (in this
case the power generation of each unit) must supply the
load customers for each scenario considering a DC-OPF
problem [12].
3) It is proposed to apply a Benders decomposition algorithm
to solve the stochastic CEP problem (SC-CEP) using only
the PTDF to model both existing and candidate/future
transmission power flows. Therefore, the main
contribution of this idea is related to obtain the Benders
cuts for the candidate transmission lines and units
generators using the local marginal prices without
including the law voltage Kirchhoff (LVK) disjunctive
constraints; i.e., the Lagrange multipliers for the LVK
disjunctive constraints are computed based on the only
application of the marginal price for the Slack bus and the
PTDF.
The rest of the paper is organized as follows. In Section II
the stochastic co-optimization expansion planning, disjunctive ∀𝑦, ∀𝑘𝑚, ∀𝑠, ∀𝑡, ∀𝑒
formulation is formulated. In Section III the Benders
decomposition is applied to disjunctive formulation CEP. In 0 ≤ 𝑃𝑔,𝑠,𝑡,𝑒 ≤ 𝑃𝑔𝑀 ∙ 𝑛𝑔,𝑡
𝑀
; ∀𝑔 ∈ 𝐺 𝐵 , ∀𝑠, ∀𝑡, ∀𝑒 ()
Section IV it is presented the proposed formulation. In the
section V the model proposed is tested in two power electric 0 ≤ 𝑃𝑔,𝑠,𝑡,𝑒 ≤ 𝑃𝑔𝑀 ; 𝐸
∀𝑔 ∈ 𝐺 , ∀𝑠, ∀𝑡, ∀𝑒 ()
system. The paper conclusions are summarized in Section VI.
II. STOCHASTIC CO-OPTIMIZATION EXPANSION PLANNING, |𝑓𝑘𝑚,𝑠,𝑦,𝑡,𝑒 | ≤ 𝑓𝑀 ; ∀𝑠, ∀𝑡, ∀𝑒 ()
𝑘𝑚
DISJUNCTIVE FORMULATION
In this study, it is assumed that (1) the electricity market is |𝑓̂ 𝑘𝑚,𝑠,𝑦,𝑡,𝑒 | ≤ 𝑋𝑘𝑚,𝑦,𝑡 ∙ 𝑓𝑀 ; ∀𝑦, ∀𝑘𝑚, ∀𝑠, ∀𝑡, ∀𝑒 ()
𝑦,𝑘𝑚
centrally operated -the Chilean situation- and (2) the generation
companies do not have the ability to accomplish local market 𝜋 ()
power. Therefore, the CEP optimization problem is formulated |𝛿𝑚,𝑠,𝑡,𝑒 | ≤ ; ∀𝑠, ∀𝑡, ∀𝑒
2
as the minimization of the following costs: (i) investment costs
𝑀
0 ≤ ∑ 𝑋𝑘𝑚,𝑦,𝑡 ≤ 𝑡 ∙ 𝑋𝑘𝑚,𝑦,𝑡 ; ∀𝑦, ∀𝑡 ()
and (ii) variable costs (operation) [13]. The investment problem
considers integer and binary decision variables. On the 𝑘𝑚∈Ω𝑙
contrary, the operational problem is modeled using an optimal 0 ≤ 𝑛𝑔,𝑡 ≤ 𝑡 ∙ 𝑛𝑔𝑀 ; ∀𝑔 ∈ 𝐺 𝐵 , ∀𝑡 ()
power flow (OPF) [12]. This optimization problem commonly
is formulated thought of the disjunctive model [2], as follows: 𝑋𝑘𝑚,𝑦,𝑡 ≥ 𝑋𝑘𝑚,𝑦,𝑡−1 ; , ∀𝑦, ∀𝑘𝑚, ∀𝑡 ∈ 𝑇/𝑡 > 1 ()

Objective Function: 𝑛𝑔,𝑡 ≥ 𝑛𝑔,𝑡−1 ; ∀𝑡 ∈ 𝑇/𝑡 > 1 ()

()
Min ∑ αt [CI TRANS + CI GEN + ∑ ∑ 𝑃𝑒 ∙ ℎ𝑠 ∙ 𝐶 𝑂𝑃𝐸 ] Equation (6) represents the nodal power balance equality
t∈T e∈E s∈S constraints. Also, in (8) is included the classical DC power flow
definition. In (7), the planning reserve margin is designed to
where: measure the amount of generation capacity available to meet
() expected demand in the planning horizon. The constraints (9)
𝐶𝐼 𝑇𝑅𝐴𝑁𝑆 = ∑ 𝐶𝑘𝑚 ∑(𝑋𝑘𝑚,𝑦,𝑡 − 𝑋𝑘𝑚,𝑦,𝑡−1 ) (big M [6]) y (13) are called disjunctive constraints for the
𝑘𝑚∈Ω 𝑦∈𝑌 investment transmission planning problem, while (10) is the
disjunctive constraints for the investment generation planning
𝐶𝐼 𝐺𝐸𝑁 = ∑ (𝐶𝐼𝑔 (𝑛𝑔,𝑡 − 𝑛𝑔,𝑡−1 ) + 𝑂&𝑀𝐴𝑔 ∙ 𝑛𝑔,𝑡 )𝑃𝑔𝑀 () problem. Finally, constraints (15) - (18) are used to limit and
ensure coherence in investments for both transmission and
𝑔∈𝐺 𝐵
generation problems.

𝐶 𝑂𝑃𝐸 = ∑ 𝐹𝐶𝑔 ∙ 𝑃𝑔,𝑠,𝑡,𝑒 + ∑ 𝐹𝐶𝑔 ∙ 𝑃𝑔,𝑠,𝑡,𝑒 ()

III. BENDERS DECOMPOSITION, CLASSIC FORMULATION APPLIED
𝑔∈𝐺 𝐸 𝑔∈𝐺 𝐵 TO CEP
+ 𝑉𝑜𝐿𝐿 ∑ 𝑟𝑔,𝑠,𝑡,𝑒 ) In this section, the Benders decomposition technique is used
𝑔∈𝐺 𝑟 [7] in order to decompose the complete problem (CP)
It can be seen that the investment variables are common for presenting in the previous section in two subproblems: a master
the whole set of uncertainty scenarios E. This is included using problem entrusted of the integer variables (investment plan)
the node-variable-formulation [14], instead of the non- and the operational subproblem, which deals with the real
anticipativity constraints. variables presented previously. The Benders algorithm
Constraints: performs an iterative process, in which integers variables
information is send from the master problem (MP) to the
𝛿𝑘,𝑒 = 0; 𝑘 → 𝑆𝐿, ∀𝑒 () subproblem (SP) for solve the operational problem, and that
continue up to reach a convergence. In Fig. 1Fig. 1 the
∑ 𝑃𝑔,𝑠,𝑡,𝑒 + ∑ 𝑃𝑔,𝑠,𝑡,𝑒 + ∑ 𝑟𝑔,𝑠,𝑡,𝑒 + 𝐴𝑇 𝑓𝑘𝑚,𝑠,𝑡,𝑒 () simplified Benders algorithm is shown.
𝑔∈𝐺 𝐵 𝑔∈𝐺 𝐸 𝑔∈𝐺 𝑟
0
+ 𝐴𝑇 𝑓𝑘𝑚,𝑠,𝑡,𝑒
= 𝑑𝑘,𝑠,𝑡,𝑒 ; ∀𝑘𝑚, ∀𝑠, ∀𝑡, ∀𝑒
()
∑ 𝑃𝑀𝑔 ∙ 𝑛𝑔,𝑡 ≥ 𝑑𝑀𝐴𝑋
𝑡 ∙ 𝑆𝑅 − ∑ 𝑃𝑀
𝑔 ; ∀𝑡
𝑔∈𝐺𝐵 𝑔∈𝐺𝐸

𝑓𝑘𝑚,𝑠,𝑡,𝑒 = 𝑏𝑘𝑚 (𝛿𝑘,𝑠,𝑡,𝑒 − 𝛿𝑚,𝑠,𝑡,𝑒 ); ∀𝑘𝑚, ∀𝑠, ∀𝑡, ∀𝑒 ()

Fig. 1 Simplified operation of Benders algorithm.
|𝑓̂ 𝑘𝑚,𝑠,𝑦,𝑡,𝑒 − 𝑏𝑘𝑚 (𝛿𝑘,𝑠,𝑡,𝑒 − 𝛿𝑚,𝑠,𝑡,𝑒 )| ≤ 𝑀(1 − 𝑋𝑘𝑚,𝑦,𝑡 ); ()
 where 𝑢(𝑙) is the vector of dual variables or also called 𝐿𝐵𝑙 = OFPM ()
Lagrange multipliers and 𝑥 ∗ is the vector of investment plan
according to the MP solution. 𝑈𝐵𝑙 = 𝑂𝐹𝑙𝑂𝑃𝐹 + ( OFPM − 𝜃𝑙 ) ()
A. Master problem formulation The algorithm in details is presented in Fig. 2Fig. 2 Con formato: Fuente: Sin Cursiva
The objective function can be formulated as follows:

OFPM = Min ∑ αt [CI TRANS + CI GEN ] + θ ()

t∈T
where 𝜃 is so-called resource function and is a free variable
(∈ 𝑅), which represents the objective function of the SP based
on the MP investment decisions.

Subject to:
• Constraint (7).
• Constraints (15)-(18).
Benders cuts corresponding to each iteration (𝑙) are defined
as follows:
𝑙 𝑙
𝜃 + [(𝛼𝑘𝑚,𝑦,𝑡 + 𝛼𝑘𝑚,𝑦,𝑡 𝑀
)𝑓𝑘𝑚,𝑦 ()
𝑙 𝑇
𝑙
− (𝛽𝑘𝑚,𝑦,𝑡 + 𝛽𝑘𝑚,𝑦,𝑡 ) 𝑀] 𝑋𝑘𝑚,𝑦,𝑡
𝑙 𝑇
𝑙
+ (𝜋𝑔,𝑡 + 𝜋𝑔,𝑡 ) 𝑃𝑔𝑀 𝑛𝑔,𝑡
𝑙
≥ 𝑂𝐹𝑂𝑃𝐹
𝑙 𝑙 𝑀
+ [(𝛼𝑘𝑚,𝑦,𝑡 + 𝛼𝑘𝑚,𝑦,𝑡 )𝑓𝑘𝑚,𝑦
𝑙 𝑇
𝑙
− (𝛽𝑘𝑚,𝑦,𝑡 + 𝛽𝑘𝑚,𝑦,𝑡 𝑙
) 𝑀] 𝑋𝑘𝑚,𝑦,𝑡 Fig. 2 Benders algorithm.

𝑙 𝑇
𝑙 𝑙
+ (𝜋𝑔,𝑡 + 𝜋𝑔,𝑡 ) 𝑃𝑔𝑀 𝑛𝑔,𝑡
IV. PROPOSED FORMULATION
This paper aims to represent the transmission system by the
where 𝑂𝐹𝑙𝑂𝑃𝐹 is the operation SP function objective in the
PTDF matrix [15], eliminating the voltage angle from the
iteration l; on the other hand 𝛼𝑘𝑚,𝑦,𝑡 , 𝛼𝑘𝑚,𝑦,𝑡 , 𝛽𝑘𝑚,𝑦,𝑡 , 𝛽𝑘𝑚,𝑦,𝑡 , power flow formulation. In addition, it is included the Benders
𝜋𝑔,𝑡 , 𝜋𝑔,𝑡 are the dual variables from disjunctive constraints of decomposition applied to the whole problem already presented
the operational SP (constraints (13), (9) and (10) respectively. in the previous section. However, with this new formulation it
These multipliers are two for each constraint due to the is proposed to obtain the dual variables without the needed to
absolute value function). include the disjunctive transmission constraints.
B. Operation subproblem formulation A. Subproblem representation
The function objective can be formulated as follows: By the dual representation of the operational SP, the
following relationships are obtained with respect to the dual
() transmission and generation variables ((24) y (25)),
OFOPF = Min ∑ αt [∑ ∑ 𝑃𝑒 ∙ ℎ𝑠 ∙ 𝐶 𝑂𝑃𝐸 ] respectively:
t∈T e∈E s∈S 𝜆𝑘 − 𝜆𝑚 + 𝛼𝑘𝑚,𝑦 − 𝛼𝑘𝑚,𝑦 + 𝛽 − 𝛽𝑘𝑚,𝑦 = 0 ()
𝑘𝑚,𝑦
Subject to:
• Constraints (5) y (6). 𝐹𝐶𝑔 − 𝜆𝑘 + 𝜋𝑔 − 𝜋𝑔 = 0 ()
• Constraints (8)-(14).
It is worth to emphasizing that depending on the MP
The vector of dual variables must be obtained from each investment decisions and the saturation level in the new
iteration of the SP (𝑢(𝑣) : 𝛼𝑘𝑚,𝑦,𝑡 , 𝛼𝑘𝑚,𝑦,𝑡 , 𝛽𝑘𝑚,𝑦,𝑡 , 𝛽𝑘𝑚,𝑦,𝑡 , transmission lines, a new equivalence could be obtained for the
Benders cuts. In TABLE 1TABLE 1 is summarized the Con formato: Fuente: 10 pto
𝜋𝑔,𝑡 , 𝜋𝑔,𝑡 ). different cases for the transmission investments. For more
information, authors recommend to review in detail [5].
C. Convergence criterium
For the convergence, two bounds are defined, the upper and
the lower bounds:
 TABLE 1: Benders cuts according to the investment and maximum ()
power flow for the candidate lines. ∑ 𝑃𝑇𝐷𝐹𝑘𝑚,𝑘 (𝑃𝑔,𝑠,𝑒 − 𝑑𝑘,𝑠,𝑒 ) ≥ −𝑓𝑀𝑘𝑚 ; ∀𝑘𝑚, ∀𝑠, ∀𝑒
𝑘∈Ω𝑏
Investment and
saturation case Dual multipliers − ∑ 𝑃𝑇𝐷𝐹𝑘𝑚,𝑘 (𝑃𝑔,𝑠,𝑒 − 𝑑𝑘,𝑠,𝑒 ) ()
Benders cuts
of the candidate equivalence 𝑘∈Ω𝑏
line 𝑀
𝑙 𝑇 ≥ −𝑓𝑘𝑚 ; ∀𝑘𝑚, ∀𝑠, ∀𝑒
𝛽𝑘𝑚,𝑦,𝑡 = 0; 𝜃 + [|𝜆𝑙𝑘 − 𝜆𝑙𝑚 |𝑓𝑘𝑚,𝑦
𝑀
] 𝑋𝑘𝑚,𝑦,𝑡
𝑇 0 ≤ 𝑃𝑔,𝑠,𝑒 ≤ 𝑃𝑔𝑀 ; ∀𝑔, ∀𝑠, ∀𝑒 ()
𝑙−1
𝑙
𝛽𝑘𝑚,𝑦,𝑡 = 0; + (𝜆𝑙𝑘
− 𝐹𝐶𝑔 ) 𝑛𝑔,𝑡 𝑃𝑔𝑀
𝑋𝑘𝑚,𝑦,𝑡 =0 𝑙
𝑙−1 𝑀 => ≥ 𝑂𝐹𝑂𝑃𝐹 On the other hand, if we take advantage again of the dual
𝑓𝑘𝑚,𝑦 < 𝑓𝑘𝑚,𝑦 𝑙 𝑙 𝑙 𝑀 𝑇 𝑙
𝑙
𝛼𝑘𝑚,𝑦,𝑡 − 𝛼𝑘𝑚,𝑦,𝑡 + [|𝜆𝑘 − 𝜆𝑚 |𝑓𝑘𝑚,𝑦 ] 𝑋𝑘𝑚,𝑦,𝑡 formulation of the subproblem but with the PTDF factors, we
𝑇
= |𝜆𝑙𝑘 − 𝜆𝑙𝑚 | + (𝜆𝑘 − 𝐹𝐶𝑔 ) 𝑃𝑔𝑀 𝑛𝑔,𝑡
𝑙
can reach the following expression:
𝑙
𝛼𝑘𝑚,𝑦,𝑡 = 0; 𝑇
𝑙
𝜃 + [|𝜆𝑙𝑘 − 𝜆𝑙𝑚 |𝑀] 𝑋𝑘𝑚,𝑦,𝑡
𝑙−1
𝑋𝑘𝑚,𝑦,𝑡 =1
𝛼𝑘𝑚,𝑦,𝑡 = 0;
+ (𝜆𝑙𝑘 − 𝐹𝐶𝑔 )
𝑇
𝑃𝑔𝑀 𝑛𝑔,𝑡 𝐹𝐶𝑔 − 𝜆𝑆𝐿 + 𝜇̅𝑘𝑚 ∑ ∑ 𝑃𝑇𝐷𝐹𝑘𝑚,𝑘 ()
𝑙−1 𝑀
=> 𝑇
|𝑓𝑘𝑚,𝑦 | < 𝑓𝑘𝑚,𝑦 𝑙
𝑙
𝑙
≥ 𝑂𝐹𝑂𝑃𝐹 + [|𝜆𝑙𝑘 − 𝜆𝑙𝑚 |𝑀] 𝑋𝑘𝑚,𝑦,𝑡
𝑙
𝑘∈Ω𝑏 𝑘𝑚∈Ω𝑙
𝛽𝑘𝑚,𝑦,𝑡 − 𝛽𝑘𝑚,𝑦,𝑡 𝑇
+ (𝜆𝑘 − 𝐹𝐶𝑔 ) 𝑃𝑔𝑀 𝑛𝑔,𝑡
𝑙 𝑒𝑥
= |𝜆𝑙𝑘 − 𝜆𝑙𝑚 | − 𝜇𝑘𝑚 ∑ ∑ 𝑃𝑇𝐷𝐹𝑘𝑚,𝑘 + 𝜋𝑔
𝜃 𝑘∈Ω𝑏 𝑘𝑚∈Ω𝑙
𝑙 𝑙
+ [(𝛼𝑘𝑚,𝑦,𝑡 + 𝛼𝑘𝑚,𝑦,𝑡 𝑀
)𝑓𝑘𝑚,𝑦 − 𝜋𝑔𝑒𝑥 = 0
𝑙
− (|𝜆𝑙𝑘 − 𝜆𝑙𝑚 | + 𝛼𝑘𝑚,𝑦 Now, if we use (25) to obtain an expression from which we
𝑙 𝑙 𝑇
𝛼𝑘𝑚,𝑦,𝑡 𝑜𝑟 𝛼𝑘𝑚,𝑦,𝑡 𝑙
− 𝛼𝑘𝑚,𝑦 )𝑀] 𝑋𝑘𝑚,𝑦,𝑡 can obtain the nodal price (𝜆𝑘 ) and replace it in (31), we can
≠0; 𝑇
𝑙−1
𝑋𝑘𝑚,𝑦,𝑡 =1 + (𝜆𝑙𝑘 − 𝐹𝐶𝑔 ) 𝑃𝑔𝑀 𝑛𝑔,𝑡 arrive to the following relation:
𝑎𝑛𝑑
𝑙−1
|𝑓𝑘𝑚,𝑦 𝑀
| = 𝑓𝑘𝑚,𝑦 𝑙
𝑙
𝛽𝑘𝑚,𝑦,𝑡 − 𝛽𝑘𝑚,𝑦,𝑡
𝑙
≥ 𝑂𝐹𝑂𝑃𝐹
𝜆 = 𝜆 − 𝜇̅ ∑ ∑ 𝑃𝑇𝐷𝐹 ()
𝑙 𝑙
+ [(𝛼𝑘𝑚,𝑦,𝑡 + 𝛼𝑘𝑚,𝑦,𝑡 𝑀
)𝑓𝑘𝑚,𝑦 𝑘 𝑆𝐿 𝑘𝑚 𝑘𝑚,𝑘
= |𝜆𝑙𝑘 − 𝜆𝑙𝑚 | 𝑙 𝑘∈Ω𝑏 𝑘𝑚∈Ω𝑙
− (−|𝜆𝑙𝑘 − 𝜆𝑙𝑚 | + 𝛼𝑘𝑚,𝑦
𝑇
𝑙
− 𝛼𝑘𝑚,𝑦 𝑙
)𝑀] 𝑋𝑘𝑚,𝑦,𝑡 + 𝜇𝑘𝑚 ∑ ∑ 𝑃𝑇𝐷𝐹𝑘𝑚,𝑘
𝑇
+ (𝜆𝑙𝑘 − 𝐹𝐶𝑔 ) 𝑃𝑔𝑀 𝑛𝑔,𝑡
𝑙 𝑘∈Ω𝑏 𝑘𝑚∈Ω𝑙
This demonstrates that it is possible to obtain the LMP of
Note that the dual variables associated with the disjunctive bus k using the PTDF and the Lagrange multipliers. Therefore,
constraints of generation are not included. According to [5] it is the Benders cuts can be obtained without the needed to
concluded that for any case of investment in generation and formulate the disjunctive constraints.
level of saturation in the dispatch, the Benders cuts does not V. STUDY CASES
present variations.
It can be said that if there is no saturation in the new The proposed formulation is evaluated using two electrical
transmission element independently of the building decision, power systems. The 6-bus Garver and the Chilean National
the dual multipliers could be computed using the difference of Electrical System (SEN) modified 156-bus. The mathematical
the nodal prices between buses k and m. In the same Table, it is formulation is modeled in MATLAB and the optimization
shown the proposed equivalence. problem is solved using Gurobi on a 64-bit operating system
Now the problem lies in how to obtain the dual variables computer with 128 GB RAM and an Intel Xeon 2.2 GHz
corresponding to the nodal prices. Because the formulation processor.
with PTDF only formulates a multinodal balance from which A. The Garver system
only the nodal price of the slack bus is obtained.
The Garver 6-bar [16] system was tested as the first case
B. Local marginal prices (LMP) using the PTDF formulation study. The transmission data are obtained from [13], while the
generator data are shown in TABLE 2TABLE 2.
According to [15], the PTDF formulation for the TABLE 2: Generator data for Garver system.
operational problem has the following mathematical Max. power CI OM&A FC
Bus
formulation: [MW] [USD/MWh] [USD/MW] [USD/MWh] Con formato: Fuente: 8 pto
1 3x30 - - 14.08
() 1 1x60 - - 22.11 Con formato: Fuente: 8 pto
FOOPF = Min ∑ αt [∑ ∑ 𝑃𝑒 ∙ ℎ𝑠 ∙ 𝐶 𝑂𝑃𝐸 ] 3 2x60 - - 25.95
Con formato: Fuente: 8 pto
t∈T e∈E s∈S 3 2x120 300 000 9 000 20.41
Subject to: 6 1x120 250 000 7 500 25.95 Con formato: Fuente: 8 pto
6 2x240 350 000 10 500 14.08
Con formato: Fuente: 8 pto
()
∑ 𝑃𝑔,𝑠,𝑒 + ∑ 𝑟𝑔,𝑠,𝑒 = ∑ 𝑑𝑘,𝑠,𝑡,𝑒 ; ∀𝑠, ∀𝑒 For all results, the reserve used is 20% and a VoLL cost of Con formato: Fuente: 8 pto
𝑔∈𝐺𝑟
10,000 [USD / MWh].
𝑔∈𝐺𝐸 𝑘∈Ω𝑏
Con formato: Fuente: 8 pto
 In order to check, the performance of the proposed If we compare the statistics of the two formulations, there is
formulation (PF), we compare the results considering the a very important reduction in the number of variables and
disjunctive problem (CP). constraints close to 88% and 93% respectively applying the PF.
Also, it is been highlight the reduction in the solver time as
1) Static stochastic case: shown in TABLE 5TABLE 5. Con formato: Fuente: Sin Cursiva
Three uncertainty scenarios are formulated with their
respective probability of occurrence and demand factors. These TABLE 5: Simulation statistics for the multi-stage problem.
are shown in TABLE 3TABLE 3.
Solver
Con formato: Fuente: Sin Cursiva
Formulation Variables Constraints calculation
TABLE 3: Uncertainty scenarios. time [s]
CP 378 570 1 351 243 8093
Probability of
Scenarios Load factors Master PF 181 532 755 in 360
occurrence [%]
Subproblem PF 45 360 95 760 iterations
Low 0.9 30
Average 1 60
High 1.1 10 The convergence criterion for Benders algorithm of FP is
equal to 0.001%. While the PC solution is set to a gap of
The results are the same to the presented in [9] and [4] for 0.001%.
both formulations (CP & PF). The solution considers one On the other hand, the results in the investment plans have
circuit 3-5 and three circuits 4-6. The statistics in terms of differences between both formulations. In this case, it can be
computational simulation time are shown in TABLE 4. said that the PF presents optimal local solutions but not global
optimality, this is discussed in [18]. Contrary to what happens
TABLE 4: Results static stochastic Garver. with the solutions delivered by the CP. This problems about
optimality disclose the PF sensibility with respect to dual
Solver time variables in large scale optimization problems. TABLE 6 and
Formulation Variables Constraints
[s]
CP 132 269 0.47
TABLE 7TABLE 7 show these differences for investment in Con formato: Fuente: Sin Cursiva
Master PF 19 2 0.6 in 14 generation and transmission respectively.
Subproblem PF 7 27 iterations
TABLE 6:Generation investment multi-stage Garver system.
The proposed formulation (PF) decreases the number of
Gen/Year 1 2 3 4 5
variables and constraints is evident (81% & 90% respectively).
G3 120 MW 0 0 0 0 1
However, there is an increase in the simulation time with
CP

G6 120 MW 0 0 0 0 0
respect to the CP formulation. G6 240 MW 0 1 0 0 0
For compare both formulations, CP & PF in gap terms. The G3 120 MW 0 0 0 1 0
PF

G6 120 MW 0 0 0 0 1
F

CP is solved by Branch-and-cut [17], which converges with a

G6 240 MW 0 1 0 0 0
gap between relaxed and not relaxed solution in relation with
the integer variables. While the FP gap is related to MP and SP. Gen/Year 6 7 8 9 10
In the TABLE 4TABLE 4, do not shows the Branch-and-cut G3 120 MW 0 1 0 1 1
CP

iterations, but Benders iterations it is show. G6 120 MW 1 0 0 0 1

2) The multi-stage stochastic problem: For this case, we G6 240 MW 0 0 0 0 0
have considered a demand formulation with 168 hours; i.e., one G3 120 MW 0 1 1 0 0
PF

G6 120 MW 0 0 0 0 1
average week type, as shown in ¡Error! No se encuentra el G6 240 MW 0 0 0 0 0
origen de la referencia.Fig. 3Fig. 3 This demand factor is
utilized in all buses from Garver system and it scaled by the
maximun value of every load. TABLE 7: Transmission investment multi-stage Garver system.
1
Circuit/Year 1 2 3 4 5
2-3 0 0 0 0 0
0.9
CP

3-5 0 0 0 0 0
0.8 4-6 0 2 0 0 0
Factor de Demanda [-]

2-3 0 0 0 1 0
PF

0.7 3-5 0 0 0 0 1
4-6 0 1 1 0 0
0.6

Circuit/Year 6 7 8 9 10
0.5
2-3 0 0 1 0 0
CP

0.4
3-5 1 0 0 1 0
4-6 0 0 0 0 0
2-3 1 0 0 0 0
PF

0 20 40 60 80 100 120 140 160 180

Bloque Horario [h] 3-5 0 0 0 1 0
4-6 0 0 0 0 0
Fig. 3 Load curve, week type.
 In terms of costs, the PC provides a total investment cost of 6¡Error! No se encuentra el origen de la referencia.
$ 540 304 762, while the FP provides a cost of $ 562 768 077 respectively.
representing a higher cost of 13.6%. 1,5

Load factor [-]

In the total number of inversions in both generation and
transmission equal amounts are presented. The difference 1
occurs in the years in which it is decided to invest.
One of the reasons that these discrepancies may be due to 0,5
the results is related to the tolerances in the convergence with 0
the Benders algorithm, as indicated in [19]. Another important 1 3 5 7 9 11 13 15 17 19 21 23
factor that explains this local optimality is related to the
following points: Time block [h]
• Method of solving the subproblem by primal or dual
simplex [20]. Fig. 5 Residential bus load Modeling.
• Formulation of the subproblem, if it is through its dual
or primal representation. 1,05
Load factor [-]

• Another determining factor is the price of energy not 1

supplied (VoLL), since when there is a load cut, the nodal 0,95
prices are determined by this price. Defining the nodal price 0,9
differences between adjacent buses. 0,85
As a point in favor of the FP, in simulations with a few 1 3 5 7 9 11 13 15 17 19 21 23
years of planning horizon (no more than 2). he expected results Time block [h]
are matched to those delivered by the PC, as it is described in
[5].
Fig. 6 Mine/Industrial bus load modeling.
B. National electric system of Chile (SEN)
The transmission and generation expansion alternatives are
The National Electric System of Chile was formed after the
determined according to the 2017 transmission expansion plan
interconnection between the Central Interconnected System
by the National Energy Commission (CNE), according to [21].
(SIC) and the Interconnected System of the Great North
The percentage of reserve and cost of the VoLL of the Garver
(SING). This interconnection was carried out to prevent the
case is conserved.
high amounts of RES shedding that was happening in the
In relation to the investment results, discrepancies between
country's northern area.
The reduced SEN contains 159 buses with voltage levels
the two formulations (CP & PF) again appear, this time with a Comentado [VH1]: Esto debemos conversar. Mi idea que
10% higher in the investment cost for the PF. For the te propuse es hacer que el CP no pueda formularse, para que
between 110 and 500 [kV], a maximum demand of 9 175
transmission proposals made by the CNE, in both formulations la única alternativa pueda ser el PF. Se logró hacer esto?
[MW] and a maximum generation of 21,840 [MW]. The
they agree on the construction of the following alternatives:
transmission system contains 327 lines. For more detail of all
Polpaico-Alto Jahuel, Polpaico-Los Almendros and Cardones-
the components of the system, resort to [5].
Maitencillo. The first two new transmission lines allow
Thermal, hydraulic, photovoltaic and wind generation
supplying the large consumption center that occurs in the
technologies are considered. The solar and wind profiles are
central area of the SEN, providing 3400 [MW] of capacity.
assumed already known and can be consulted in [5].
While the last option decongests the northern zone of the
The long-term planning of the SEN considers 20 years as a
country, achieving the evacuation of large energy blocks from
horizon, with a growth in load according to Fig. 4Fig. 4¡Error!
NCRE sources, with 1700 [MW] of nominal capacity. What
No se encuentra el origen de la referencia.
2
x 10
4

20
has to do with the reinforcement of the existing zonal system is
1.8
Crecimiento Demanda
18 the expansion of the Crucero-Chuquicamata, Crucero-
1.6 16 Encuentro and Domeyko-Sulfuro sections, due to the high
1.4 14
energy demand from mining companies, which have flat
Crecimiento [%]
Demanda [W]

1.2 12

1 10 demand profiles. It also emphasizes the expansion of the zonal

0.8 8 system in the north of the country with the reinforcement of the
0.6 6

0.4 4
San Luis-Quillota and Polpaico-Quillota stretches.
0.2 2 According to the results of the generation expansion, a high Con formato: No conservar con el siguiente
0
0 5 10
Año de planificación
15 20
0 RES penetration is foreseen for future years. To analyze the
consequences in the operation of the SEN in the future, Fig.
Fig. 4 Projection maximum load and annual growth for the SEN.
7Fig. 7¡Error! No se encuentra el origen de la referencia.
On the other hand, the modeling of demand is based on 24-time and Fig. 8Fig. 8¡Error! No se encuentra el origen de la
blocks. This corresponds to a type day of the year. This referencia. show the sum of the shipments of conventional
modeling is divided into two types for residential bars and units and RES for the 24 modeled time blocks. For the years
industrial / mining bars. This is observed in Fig. 5Fig. 5¡Error! 2026 and 2036 respectively.
No se encuentra el origen de la referencia. and Fig. 6Fig.

Fig. 7 Conventional v/s RES dispatch year 2026.
Fig. 8 Conventional v/s RES dispatch year 2036.
For years 2026 and 2036 the high penetration of RES
increases considerably, obtaining a constant generation profile
between 7 and 19 hours, which causes steep slopes and drops
for conventional units. Specifically load release between 7 and
9 hours with a slope around 1000 [MW / h], while taking cargo
in the hours of dusk, between 18 and 19 hours with a slope of
900 [MW / h]. This is detrimental to the operation of the
system, due to the large ramps that must be overcome in a short
time.
In relation to the behavior of the upper and lower limits of
the Benders algorithm, ¡Error! No se encuentra el origen de
la referencia.Fig. 9Fig. 9 shows the performance of the limits
of the iteration to iteration algorithm. The increasing behavior
of the lower limit and the random behavior of the upper limit
are observed. It should be mentioned that the optimal solution
was found in iteration 121 of a total of 125 iterations.
Fig. 9 Bounds performance of the Benders algorithm, SEN case.
VI. CONCLUSIONS
In this paper, a new formulation is proposed to solve the
problem of joint stochastic planning in electrical systems (SC-
CEP), using the decomposition algorithm of Benders and
PTDF. The feasibility of the new formulation was validated in
small-scale problems, such as the static Garver. While in larger
problems such as multi-period SEN, optimal local solutions
were obtained, which presented higher costs than those
obtained from the CP. Based on this, it is concluded that the
Benders decomposition method is very sensitive in its
decisions, in relation to the dual variables that the subproblem
gives it. That is why for planning of many years and large
systems, the accuracy of the decomposition method is
deteriorated, obtaining feasible local solutions, but not optimal
in terms of minimizing operating and investment costs. On the
other hand, there are notable improvements in the reduction of
the number of variables and restrictions, as well as in the
calculation times by the CF with respect to the CP.
Part of the future work that emerges from this work is
related to include uncertainty in the generation RES, including
restrictions of Unit Commitment (UC) considering the high
penetration RES in the near future and add hydrothermal
coordination and security analysis in the algorithm.
ACKNOWLEDGMENT
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