Modeling multivariate dependence by nonparametric pair-copula construction in composite system reliability evaluation

摘要

The correlated variation of bus loads, wind powers, etc., has a significant impact on the power system operation risk. The construction of the accurate dependence model becomes vital in the field of power system reliability evaluation. Most currently used methods in estimating the multivariate joint probability density function (PDF) may encounter obstacles such as modeling accuracy and the curse of dimensionality, especially in the high dimensional case. To address such problems, a nonparametric pair-copula construction (NPCC), which decomposes the joint PDF into a product of marginal PDFs and a set of bivariate copula (also called pair-copula) densities based on graph theoretic algorithm, is used in this paper to achieve an accurate modeling of the multivariate correlation. To construct a unified framework of nonparametric estimation, the marginal PDFs and the bivariate copula densities are both estimated in a data-driven mode. Moreover, a PDF transformation method is also proposed in estimating the bivariate copula densities, aiming to avoid the problem that the distribution range of the transformed variables in the pair-copula densities exceeds its feasible domain. The performance of the proposed NPCC is verified by a modified version of IEEE-RTS79 with complex correlation among bus loads and wind powers.