Model specification tests in nonparametric stochastic regression models

In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example. (C) 2002 Elsevier Science (USA).

Predictor-corrector methods of Runge-Kutta type for stochastic differential equations

In this paper we construct predictor-corrector (PC) methods based on the trivial predictor and stochastic implicit Runge-Kutta (RK) correctors for solving stochastic differential equations. Using the colored rooted tree theory and stochastic B-series, the order condition theorem is derived for constructing stochastic RK methods based on PC implementations. We also present detailed order conditions of the PC methods using stochastic implicit RK correctors with strong global order 1.0 and 1.5. A two-stage implicit RK method with strong global order 1.0 and a four-stage implicit RK method with strong global order 1.5 used as the correctors are constructed in this paper. The mean-square stability properties and numerical results of the PC methods based on these two implicit RK correctors are reported.

A variable stepsize implementation for stochastic differential equations

Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path.

The use of stochastic dynamic programming in optimal landscape reconstruction for metapopulations

A decision theory framework can be a powerful technique to derive optimal management decisions for endangered species. We built a spatially realistic stochastic metapopulation model for the Mount Lofty Ranges Southern Emu-wren (Stipiturus malachurus intermedius), a critically endangered Australian bird. Using diserete-time Markov,chains to describe the dynamics of a metapopulation and stochastic dynamic programming (SDP) to find optimal solutions, we evaluated the following different management decisions: enlarging existing patches, linking patches via corridors, and creating a new patch. This is the first application of SDP to optimal landscape reconstruction and one of the few times that landscape reconstruction dynamics have been integrated with population dynamics. SDP is a powerful tool that has advantages over standard Monte Carlo simulation methods because it can give the exact optimal strategy for every landscape configuration (combination of patch areas and presence of corridors) and pattern of metapopulation occupancy, as well as a trajectory of strategies. It is useful when a sequence of management actions can be performed over a given time horizon, as is the case for many endangered species recovery programs, where only fixed amounts of resources are available in each time step. However, it is generally limited by computational constraints to rather small networks of patches. The model shows that optimal metapopulation, management decisions depend greatly on the current state of the metapopulation,. and there is no strategy that is universally the best. The extinction probability over 30 yr for the optimal state-dependent management actions is 50-80% better than no management, whereas the best fixed state-independent sets of strategies are only 30% better than no management. This highlights the advantages of using a decision theory tool to investigate conservation strategies for metapopulations. It is clear from these results that the sequence of management actions is critical, and this can only be effectively derived from stochastic dynamic programming. The model illustrates the underlying difficulty in determining simple rules of thumb for the sequence of management actions for a metapopulation. This use of a decision theory framework extends the capacity of population viability analysis (PVA) to manage threatened species.

Stochastic effects in a seasonally forced epidemic model

The interplay of seasonality, the system's nonlinearities and intrinsic stochasticity, is studied for a seasonally forced susceptible-exposed-infective-recovered stochastic model. The model is explored in the parameter region that corresponds to childhood infectious diseases such as measles. The power spectrum of the stochastic fluctuations around the attractors of the deterministic system that describes the model in the thermodynamic limit is computed analytically and validated by stochastic simulations for large system sizes. Size effects are studied through additional simulations. Other effects such as switching between coexisting attractors induced by stochasticity often mentioned in the literature as playing an important role in the dynamics of childhood infectious diseases are also investigated. The main conclusion is that stochastic amplification, rather than these effects, is the key ingredient to understand the observed incidence patterns.

Virtual power players demand response programs management based on locational marginal prices

Power systems have been suffering huge changes mainly due to the substantial increase of distributed generation and to the operation in competitive environments. Virtual power players can aggregate a diversity of players, namely generators and consumers, and a diversity of energy resources, including electricity generation based on several technologies, storage and demand response. Resource management gains an increasing relevance in this competitive context, while demand side active role provides managers with increased demand elasticity. This makes demand response use more interesting and flexible, giving rise to a wide range of new opportunities.This paper proposes a methodology for managing demand response programs in the scope of virtual power players. The proposed method is based on the calculation of locational marginal prices (LMP). The evaluation of the impact of using demand response specific programs on the LMP value supports the manager decision concerning demand response use. The proposed method has been computationally implemented and its application is illustrated in this paper using a 32 bus network with intensive use of distributed generation.

Data mining techniques contributions to support electrical vehicle demand response

The introduction of Electric Vehicles (EVs) together with the implementation of smart grids will raise new challenges to power system operators. This paper proposes a demand response program for electric vehicle users which provides the network operator with another useful resource that consists in reducing vehicles charging necessities. This demand response program enables vehicle users to get some profit by agreeing to reduce their travel necessities and minimum battery level requirements on a given period. To support network operator actions, the amount of demand response usage can be estimated using data mining techniques applied to a database containing a large set of operation scenarios. The paper includes a case study based on simulated operation scenarios that consider different operation conditions, e.g. available renewable generation, and considering a diversity of distributed resources and electric vehicles with vehicle-to-grid capacity and demand response capacity in a 33 bus distribution network.

Study of distribution network demand response events in the Portuguese system

In competitive electricity markets with deep concerns for the efficiency level, demand response programs gain considerable significance. As demand response levels have decreased after the introduction of competition in the power industry, new approaches are required to take full advantage of demand response opportunities. Grid operators and utilities are taking new initiatives, recognizing the value of demand response for grid reliability and for the enhancement of organized spot markets’ efficiency. This paper proposes a methodology for the selection of the consumers that participate in an event, which is the responsibility of the Portuguese transmission network operator. The proposed method is intended to be applied in the interruptibility service implemented in Portugal, in convergence with Spain, in the context of the Iberian electricity market. This method is based on the calculation of locational marginal prices (LMP) which are used to support the decision concerning the consumers to be schedule for participation. The proposed method has been computationally implemented and its application is illustrated in this paper using a 937 bus distribution network with more than 20,000 consumers.

A simulation tool for demand response programs implementation

The design and development of simulation models and tools for Demand Response (DR) programs are becoming more and more important for adequately taking the maximum advantages of DR programs use. Moreover, a more active consumers’ participation in DR programs can help improving the system reliability and decrease or defer the required investments. DemSi, a DR simulator, designed and implemented by the authors of this paper, allows studying DR actions and schemes in distribution networks. It undertakes the technical validation of the solution using realistic network simulation based on PSCAD. DemSi considers the players involved in DR actions, and the results can be analyzed from each specific player point of view.

Using demand response to deal with unexpected low wind power generation in the context of smart grid

Demand response is assumed an essential resource to fully achieve the smart grids operating benefits, namely in the context of competitive markets. Some advantages of Demand Response (DR) programs and of smart grids can only be achieved through the implementation of Real Time Pricing (RTP). The integration of the expected increasing amounts of distributed energy resources, as well as new players, requires new approaches for the changing operation of power systems. The methodology proposed aims the minimization of the operation costs in a smart grid operated by a virtual power player. It is especially useful when actual and day ahead wind forecast differ significantly. When facing lower wind power generation than expected, RTP is used in order to minimize the impacts of such wind availability change. The proposed model application is here illustrated using the scenario of a special wind availability reduction day in the Portuguese power system (8th February 2012).

Energy and reserve provision dispatch considering distributed generation and demand response

In competitive electricity markets with deep concerns at the efficiency level, demand response programs gain considerable significance. In the same way, distributed generation has gained increasing importance in the operation and planning of power systems. Grid operators and utilities are taking new initiatives, recognizing the value of demand response and of distributed generation for grid reliability and for the enhancement of organized spot market´s efficiency. Grid operators and utilities become able to act in both energy and reserve components of electricity markets. This paper proposes a methodology for a joint dispatch of demand response and distributed generation to provide energy and reserve by a virtual power player that operates a distribution network. The proposed method has been computationally implemented and its application is illustrated in this paper using a 32 bus distribution network with 32 medium voltage consumers.

Particle swarm optimization applied to integrated demand response resources scheduling

The concept of demand response has a growing importance in the context of the future power systems. Demand response can be seen as a resource like distributed generation, storage, electric vehicles, etc. All these resources require the existence of an infrastructure able to give players the means to operate and use them in an efficient way. This infrastructure implements in practice the smart grid concept, and should accommodate a large number of diverse types of players in the context of a competitive business environment. In this paper, demand response is optimally scheduled jointly with other resources such as distributed generation units and the energy provided by the electricity market, minimizing the operation costs from the point of view of a virtual power player, who manages these resources and supplies the aggregated consumers. The optimal schedule is obtained using two approaches based on particle swarm optimization (with and without mutation) which are compared with a deterministic approach that is used as a reference methodology. A case study with two scenarios implemented in DemSi, a demand Response simulator developed by the authors, evidences the advantages of the use of the proposed particle swarm approaches.