TEN YEARS OF APPLICATION OF STOCHASTIC DUAL DYNAMIC PROGRAMMING IN OFFICIAL AND AGENT STUDIES IN BRAZIL - DESCRIPTION OF THE NEWAVE PROGRAM

摘要

The Brazilian generating system is hydro dominated and characterized by large reservoirs presenting multi-year regulation capability, arranged in complex cascades over several river basins. For these reasons, the hydrothermal coordination in Brazil ranges from long term multi-year reservoir optimization to short term hourly dispatch. Since 1993, CEPEL, the Brazilian Electric Energy Research Center started the implementation of stochastic dual dynamic programming based algorithms in a computational program called NEWAVE, to solve this large scale long term hydrothermal coordination problem for the Brazilian system. For 10 years now, the NEWAVE program has been intensively and ordinarily applied in official studies, comprising a set of five major electrical sector activities: (i) ten-year generation expansion plan, (ii) calculation of power plant assured energy (the maximum volume of energy that it is allowed to trade in long-term contracts); (iii) computation of figures of merit for public electrical energy buying auctions;, (iv) dispatching of hydro and thermal generation and energy interchanges in operation planning studies; and (v) calculation of spot prices in wholesale energy market. This papers outlines the status of NEWAVE methodological developments and present some examples of its practical applications.