In this paper, we have proposed the multistep ahead
prediction of electric power systems by using multiple
Gaussian process models. The multistep ahead prediction
has been carried out directly by using multiple Gaussian
process models as every step ahead predictors. Through
the numerical simulations for the simplified electric
power system, it has been experimentally demonstrated
that the proposed direct method is very accurate even in
the presence of measurement noise. Therefore, the
proposed prediction method has high potential for MPC.
Developing MPC algorithm based on this prediction
del is one of the future work
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Multistep Ahead Prediction of Electric Power
Systems Using Multiple Gaussian Process
Models
Tomohiro Hachino, Hitoshi Takata, Seiji Fukushima, Yasutaka Igarashi, and Keiji Naritomi
Kagoshima University, Kagoshima, Japan
Email: {hachino, takata, fukushima, igarashi}@eee.kagoshima-u.ac.jp, k0519282@kadai.jp
Abstract—This paper focuses on the problem of multistep
ahead prediction of electric power systems using the
Gaussian process models. The Gaussian process model is a
nonparametric model and the output of the model has
Gaussian distribution with mean and variance. The
multistep ahead prediction for the phase angle in transient
state of the electric power system is accomplished by using
multiple Gaussian process models as every step ahead
predictors in accordance with the direct approach. The
proposed prediction method gives the predictive values of
the phase angle and the uncertainty of the predictive values
as well. Simulation results for a simplified electric power
system are shown to illustrate the effectiveness of the
proposed prediction method.
Index Terms—multistep ahead prediction, Gaussian process
model, direct method, electric power system
I. INTRODUCTION
In recent years, model predictive control (MPC) has
received much attention in both process control and servo
control [1]-[5]. The performance of MPC greatly depends
on the accuracy of the model used for prediction.
Therefore, to improve the performance of MPC, it is
urgent to develop an accurate predictor. The Gaussian
process (GP) model is one of the attractive models for
multistep ahead prediction. The GP model is a
nonparametric model and fits naturally into Bayesian
framework [6]-[8]. This model has recently attracted
much attention for system identification [9], [10], time
series forecasting [11]-[13], and predictive control [3],
[14], [15]. Since the GP model gives us not only the mean
value but also the variance of the conditionally expected
value of the output, it is useful for MPC considering the
uncertainty of model. Moreover, the GP model has far
fewer parameters to describe the nonlinearity than the
parametric models such as radial basis function (RBF)
model, neural network model, and fuzzy model.
There are two approaches to multistep ahead prediction.
One is the direct method that makes multistep ahead
prediction directly by using a specific step ahead
predictor. The other is the iterated method that repeats
one-step ahead prediction up to the desired step. The
Manuscript received June 3, 2014; revised September 18, 2014.
iterated multistep ahead predictions with propagation of
the prediction uncertainty based on the GP model were
presented in [11], [12]. Although the computational
burden of this approach is not so heavy during the
training phase, unacceptable prediction errors are
gradually accumulated as the prediction horizon increases
especially in the presence of measurement noise.
Therefore, with the aim of MPC, this paper proposes
the direct method for multistep ahead prediction of the
electric power systems in the GP framework. Multistep
ahead prediction for the phase angle in transient state of
the electric power system is directly performed by using
the multiple trained GP models as every step ahead
predictor. The proposed direct method uses not only one-
step ahead predictor but also all-step ahead predictors.
Therefore, although each step ahead predictor has a
systematic error, the prediction errors are not
accumulated so much as the prediction horizon increases.
The proposed direct method gives the predictive values of
the phase angle and uncertainty of the predictive values
as well. The uncertainty of the predictive values is
usually not obtained by the non GP-based direct methods
such as the RBF-based direct method.
This paper is organized as follows. In section II, the
problem of multistep ahead prediction is formulated for
an electric power system. In section III, the multiple GP
prior models are derived for every step ahead predictors
and the training method of the GP prior models is briefly
described. In section IV, the direct multistep ahead
prediction is carried out using the GP posterior
distribution. In section V, simulation results are shown to
illustrate the effectiveness of the proposed prediction
method. Finally, conclusions are given in section VI.
II. STATEMENT OF THE PROBLEM
Consider a single machine power system described by
{
̃ ̈( ) ̃ ̇( )
( ( )) ( )
( ) ( ) ( )
(1)
where ( ) phase angle, ( ): phase angle corrupted
by the measurement noise ( ), ( ): increment of
316©2015 Engineering and Technology Publishing
Journal of Automation and Control Engineering Vol. 3, No. 4, August 2015
doi: 10.12720/joace.3.4.316-321
excitation voltage, ̃ : inertia coefficient, ̃ : damping
coefficient, : generator output power, : turbine
output power, : excitation voltage, : infinite bus
voltage, and : system impedance. The measurement
noise ( ) is zero mean white Gaussian noise with
variance It is assumed that the input ( )
( ) and the noisy measurement of the output
( ) ( ) at are available when the
multistep ahead predictors are trained, where is the
sampling period. The problem of multistep ahead
prediction is usually to estimate the future outputs given
the past input and output data. The optimal predictor can
be written as
̂( ) [ ( ) ( )] (2)
where [ ] is the expectation operator, and
( ) [ ( ) ( ) ( )
( ) ( ) ( )]
(3)
Which is the state vector consisting of the past outputs
and inputs up to the prespecified lags and . Actually,
with the GP framework, not only estimates ̂( ) but
also its uncertainty, i.e., the variance ̂ ( ) are
estimated. Therefore, the problem of this paper is to
construct the following probability distributions for the
multistep ahead prediction
( ) ( ) ( ̂( ) ̂ ( ))
( )
(4)
And to carry out multistep ahead prediction up to
step based on these distributions, by using the GP
framework.
III. GP PRIOR MODEL
A. Derivation of GP Prior Models
Consider a -step ahead predictor as
( ) ( ( )) ( )
( )
(5)
where ( ) is a function which is assumed to be
stationary and smooth. ( ) is zero mean Gaussian noise
with unknown variance
. In this paper, this predictor is
constructed in the GP framework.
Putting on (5) yields
(6)
where
[ ( ) ( )
( )]
[ ( ) ( ) ( )]
[ ( ) ( ) ( )]
[ ]
[ ( ) ( ) ( )]
(7)
and are the vector of model outputs and the vector
of function values for the j-step ahead predictor,
respectively. is the model input matrix and is common
for every step ahead predictors. { } is the training
input and output data for the j-step ahead predictor.
A GP is a Gaussian random function and is completely
described by its mean function and covariance function.
We can regard it as a collection of random variables
which has joint multivariable Gaussian distribution.
Therefore, the vector of function values can be
represented by the GP as
( ( ) ( )) (8)
where ( ) is the N-dimensional mean function vector
and ( ) is the N-dimensional covariance matrix
evaluated at all pairs of the training input data. Equation
(8) means that has a Gaussian distribution with the
mean function vector ( ) and the covariance matrix
( ).
The mean function is often represented by a
polynomial regression [8]. In this paper, the mean
function vector ( ) is expressed by the first order
polynomial, i.e., a linear combination of the model input:
( ) [ ( ) ( ) ( )]
̃ (9)
where ̃ [ ] and [ ] is the N-
dimensional vector consisting of ones, and
[ ( )]
is the unknown weighting
parameter vector of the mean function to be trained. The
determination of will be discussed in the next
subsection.
The covariance matrix ( ) is constructed as
( ) [
( ) ( )
( ) ( )
] (10)
where the element ( ) ( ( ) ( ))
( ) is a function of and Under the
assumption that the process is stationary and smooth, the
following Gaussian kernel is utilized for ( ) :
( ) ( )
(
‖ ‖
)
(11)
where
is the signal variance, is the length scale,
and denotes the Euclidean norm. The free parameters
and of (11) and the noise standard deviation are
called hyperparameters and construct the hyperparameter
vector [ ]
can control the overall
variance of the random function ( ) and determines the
magnitude of the function ( ) can change the
characteristic length scale so that the axis about the model
input changes. If is set to be smaller, the function
( ) becomes more oscillatory. Therefore, the
hyperparameter vector should be appropriately
determined according to the training data for precise
317©2015 Engineering and Technology Publishing
Journal of Automation and Control Engineering Vol. 3, No. 4, August 2015
prediction. This parameter selection will be also
presented in the next subsection.
Since is noisy observation, we have the following
GP model for j-step ahead prediction from (6) and (8) as
( ( ) ( )) (12)
where
( ) ( )
(13)
In the following, ( ) and ( ) are written as
and , respectively.
B. Training of GP Prior Models
To perform multistep ahead prediction, the proposed
direct approach needs 1 to step ahead prediction
models as shown in Fig. 1. The accuracy of prediction
greatly depends on the unknown parameter vector
[
]
and therefore has to be optimized. This
training is carried out by minimizing the negative log
marginal likelihood of the training data:
( ) ( | )
| |
( ( ))
( ( ))
( )
| |
( ̃ )
( ̃ )
( )
(14)
Since the cost function ( ) generally has multiple
local minima, this training problem becomes a nonlinear
optimization one. However, we can separate the linear
optimization part and the nonlinear optimization part for
this optimization problem. The partial derivative of (14)
with respect to the weighting parameter vector of the
mean function is as follows:
( )
̃
̃
̃ (15)
Note that if the hyperparameter vector of the
covariance function is given, then the weighting
parameter can be estimated by the linear least-squares
method putting ( ) ⁄ :
( ̃
̃)
̃
(16)
However, even if the weighting parameter vector is
known, the optimization with respect to hyperparameter
vector is a complicated nonlinear problem and might
suffer from the local minima problem. Therefore, the
unknown parameter vector is determined by the
separable least-squares (LS) approach combining the
linear LS method and the genetic algorithm (GA) [16], as
[ ] [ [ ]
[ ]
]
[ [ ]
[ ] [ ] [ ]]
Figure 1. The proposed multistep ahead prediction scheme.
IV. MULTISTEP AHEAD PREDICTION BY GP POSTERIOR
In section III, we have already obtained the GP prior
models for ( ) step ahead predictors. In
the proposed direct approach, multistep ahead prediction
up to step is carried out directly using every GP prior
models as shown in Fig. 1.
For a new given test input
( ) [ ( ) ( ) (
) ( ) ( ) ( )]
And corresponding test output ( ) (
) , we have the following the joint Gaussian
distribution:
[
( )
]
([
( )
( )
] [
( )
( ) ( ) [ ]
])
( )
(17)
where is the starting step for prediction, and
( )
( ) is the N-dimensional covariance
vector evaluated at all pairs of the training and test data.
( ) is the variance of the test data. ( ) and
( ) are calculated by the trained covariance
function.
From the formula for conditioning a joint Gaussian
distribution [17], the posterior distribution for a specific
test data is
( ) ( ̂ ( ) ̂
( ))
( )
(18)
where
̂ ( ) ( )
( )
( ( ))
(19)
318©2015 Engineering and Technology Publishing
Journal of Automation and Control Engineering Vol. 3, No. 4, August 2015
̂
( ) ( )
( )
( ) [ ]
Which are the predictive mean and the predictive
variance at the j-step ahead, respectively. It is noted that
the nonlinearity of the predictive mean can be expressed
by the trained hyperparameters even if the prior mean
function is set to be a linear combination of the model
input as (9).
V. NUMERICAL SIMULATIONS
Consider a simplified electric power system [18]
described by
{
̃ ̈( ) ̃ ̇( )
( ( )) ( )
( ) ( ) ( )
(20)
where ̃ ̃
and These are all per unit values.
The training data are sampled with sampling period
as ( ) ( ) and ( ) ( ) at
The measurement noise ( ) is zero mean
Gaussian noise with standard deviation
(noise to signal ratio (NSR): 1%), (NSR:
3%), or (NSR: 5%). The lags for the state
vector (3) are chosen as and in the case
of and in the case of
and and in the case of
respectively. The number of the training
input and output data is taken to be for training
each ( ) step ahead predictor.
To validate the results of training, the prediction results
for 1, 10 and 20 step ahead predictors in the case of
are shown in Figs. 2-4. In these figures, the
circles with lines show the predictive mean ̂ ( ), the
crosses show the measurements (test output) ( ),
and the shaded areas give the double standard deviation
confidence interval (95.5% confidence region). From
these figures, we can confirm that the error between the
test data and the predictive mean is quite small for every
step ahead predictors and it does not become so large as
the prediction horizon increases.
After training, the multistep ahead prediction up to
step is carried out, where the starting step is set
to be as an example. Figs. 5-7 show the results
of the multistep ahead prediction by the proposed method.
In these figures, the dotted lines show the true output
( ). The predictive means ̂ ( ) are quite close to the
true output ( ) for all noise levels. Moreover, the
probability that the true measurements ( ) are included
in the double standard deviation confidence interval is
totally 96.7%, which is very close to the expected value
95.5%. This indicates that the proposed prediction
method gives the reasonable uncertainty (predictive
variance). Therefore, we can say that the proposed
multistep ahead prediction can be carried out successfully
even in the presence of measurement noise.
Figure 2. Prediction result for 1 step ahead predictor ( ).
Figure 3. Prediction result for 10 step ahead predictor ( ).
Figure 4. Prediction result for 20 step ahead predictor ( ).
Figure 5. The result of multistep ahead prediction ( ).
319©2015 Engineering and Technology Publishing
Journal of Automation and Control Engineering Vol. 3, No. 4, August 2015
Figure 6. The result of multistep ahead prediction ( ).
Figure 7. The result of multistep ahead prediction ( ).
VI. CONCLUSIONS
In this paper, we have proposed the multistep ahead
prediction of electric power systems by using multiple
Gaussian process models. The multistep ahead prediction
has been carried out directly by using multiple Gaussian
process models as every step ahead predictors. Through
the numerical simulations for the simplified electric
power system, it has been experimentally demonstrated
that the proposed direct method is very accurate even in
the presence of measurement noise. Therefore, the
proposed prediction method has high potential for MPC.
Developing MPC algorithm based on this prediction
model is one of the future works.
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Tomohiro Hachino received the B.S., M.S.
and Dr. Eng. degrees in electrical engineering
from Kyushu Institute of Technology in 1991,
1993, and 1996, respectively. He is currently
an Associate Professor at the Department of
Electrical and Electronics Engineering,
Kagoshima University. His research interests
include nonlinear control and identification,
signal processing, and evolutionary
computation. Dr. Hachino is a member of
IEEJ, SICE, and ISCIE.
Keiji Naritomi received the B.S. degree in
electrical and electronics engineering from
Kagoshima University in 2014. He is currently
a master’s student at the Department of
Electrical and Electronics Engineering,
Kagoshima University. His research interests
include nonlinear control and identification.
Hitoshi Takata received the B.S. degree in
electrical engineering from Kyushu Institute
of Technology in 1968 and the M.S. and Dr.
Eng. degrees in electrical engineering from
Kyushu University in 1970 and 1974,
respectively. He is currently a Professor
Emeritus and a part-time lecturer at
Kagoshima University. His research interests
include the control, linearization, and
320©2015 Engineering and Technology Publishing
Journal of Automation and Control Engineering Vol. 3, No. 4, August 2015
identification of nonlinear systems. Dr. Takata is a member of IEEJ and
RISP.
Seiji Fukushima received the B.S., M.S., and
Ph.D. degrees in electrical engineering from
Kyushu University in 1984, 1986, and 1993,
respectively. He is currently a Professor at the
Department of Electrical and Electronics
Engineering, Kagoshima University. His
research interests include photonics/radio
hybrid communication systems and their
related devices. Dr. Fukushima is a member
of IEICE, IEEE/Photonics Society, Japan
Society of Applied Physics, Japanese Liquid Crystal Society, and
Optical Society of America.
Yasutaka Igarashi received the B.E., M.E.,
and Ph.D. degrees in information and
computer sciences from Saitama University
in 2000, 2002, and 2005, respectively. He is
currently an Assistant Professor at the
Department of Electrical and Electronics
Engineering, Kagoshima University. His
research interests include optical CDMA
communication systems and the
cryptanalysis of symmetric-key cryptography.
Dr. Igarashi is a member of IEICE and RISP.
321©2015 Engineering and Technology Publishing
Journal of Automation and Control Engineering Vol. 3, No. 4, August 2015
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