Accelerating System Adequacy Assessment using the Multilevel Monte Carlo Approach

Simon Tindemans; Goran Strbac

doi:10.1016/j.epsr.2020.106740

Home/Archive/arXiv

arXiv · 1910.13013

Accelerating System Adequacy Assessment using the Multilevel Monte Carlo Approach

Simon Tindemans·Goran Strbac

View original source ↗Read source document ↗Export metadata ↓

Abstract

Accurately and efficiently estimating system performance under uncertainty is paramount in power system planning and operation. Monte Carlo simulation is often used for this purpose, but convergence may be slow, especially when detailed models are used. Previously published methods to speed up computations may severely constrain model complexity, limiting their real-world effectiveness. This paper uses the recently proposed Multilevel Monte Carlo (MLMC) framework, which combines outputs from a hierarchy of simulators to boost computational efficiency without sacrificing accuracy. It explains which requirements the MLMC framework imposes on the model hierarchy, and how these naturally occur in power system adequacy assessment problems. Two adequacy assessment examples are studied in detail: a composite system and a system with heterogeneous storage units. An intuitive speed metric is introduced for easy comparison of simulation setups. Depending on the problem and metric of interest, large speedups can be obtained.

Explore related subjects

stat.CO cs.SY eess.SY

Keep this discovery

BibTeX RIS

Simon Tindemans, Goran Strbac. 2019-10-29. Accelerating System Adequacy Assessment using the Multilevel Monte Carlo Approach. https://doi.org/10.1016/j.epsr.2020.106740

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Extended One-Liners for the Gamma, Poisson, and Binomial Distributions

We demonstrate explicit transformations of three independent uniforms with exact Gamma$(a,1)$, $a>0$, Poisson$(\lambda)$, $\lambda>0$, and Binomial$(N,p)$, $N\geq 1$, $0\leq p \leq 1$ laws using only elementary operations.

stat.CO↗

arXiv2026

Estimating Hierarchically Rank Structured Covariance Matrices

We consider the problem of estimating a high-dimensional covariance matrix from a very limited number of samples. This problem is ubiquitous in computational fluid dynamics, where a small number of fluid snapshots must be used to construct a Gramian matrix determining a reduced-order model, as well as in computational geoscience, where a small ensemble of Earth system forecasts must be used to estimate the covariance matrix associated with the forecast uncertainty. It is common practice to regularize the small-sample covariance by imposing a "localization" structure that enforces a physically realistic correlation length scale, imposing a sparsity constraint, "shrinking" towards a prescribed target, or attenuating small correlations. We propose an alternate technique that regularizes the small-sample covariance by imposing hierarchical rank structure. Compared to regularization methods that assume sparsity such as spatial localization, hierarchical rank structure accommodates a wider range of covariance matrices, roughly corresponding to situations where long-range correlations vary more smoothly than short-range ones. It also results in a data-sparse matrix format that permits highly efficient matrix-vector products. We present theory and algorithms which show how to efficiently estimate a high-dimensional, hierarchically rank structured covariance matrix from limited samples. Through an error analysis and numerical experiments with a variety of model problems, we demonstrate that these techniques are effective at reducing sampling errors, and that in many cases they achieve smaller estimation error than conventional techniques.

stat.CO↗

arXiv2026

Optimal Slice-Adaptive Tuning of Hybrid Slice Sampling

Slice sampling is a Markov chain Monte Carlo algorithm that draws its next state uniformly from a "slice"---a super-level set of the target density function---at each iteration, thereby providing automatic local adaptivity to the scale of the target. In practice the exact slice is not known, so general-purpose implementations use an approximate slice that is grown from a starting interval of length $w>0$, with a computational cost that depends on $w$. This work presents an analysis of the average per-iteration number of target density evaluations, as a function of $w$, of hybrid slice sampling with various slice-finding schemes for targets with contiguous slices. The paper uses the results of the analysis to develop automated, slice-adaptive tuning schemes along with suboptimality bounds and asymptotic convergence guarantees. Simulations demonstrate that the tuning schemes reliably yield near-optimal slice-adaptive tuning with essentially no dependence on the initial setting of $w$.

stat.CO↗