Synthetic scenario generation of monthly streamflows conditioned to the El Niño–Southern Oscillation: application to operation planning of hydrothermal systems

The Brazilian Interconnected Power System is hydro dominated and characterized by large reservoirs presenting multi-year regulation capability, arranged in complex cascades over several river basins. In this way, the expansion and operation planning should take into account the uncertainties about the future inflows to hydroplants reservoirs. Currently, a stochastic model for synthetic scenarios generation of monthly streamflow, based on Periodic Auto-Regressive formulation, is used to address the uncertainty. This is the official model used in the Brazilian energy operation planning by the Ministry of Mines and Energy, the National Operator of Electrical System, the Chamber of Electric Energy Commercialization and the Energy Planning Company. Recently, a great scientific effort has been made to include relevant climatic information in stochastic streamflow models. Among several important climatic phenomena in the Brazilian hydrological cycles, El Niño–Southern Oscillation has been pointed as one of the most important. Although the stochastic models that include exogenous variables or that use wavelets present good results, they have limitations for long-term horizon projections or are not suitable for applications that use stochastic dual dynamic programming, which is the case of the Brazilian electrical system. This work proposes an improvement to the current scenario generation model, in order to consider the climate information, but still being suitable to be applied in SDDP algorithms. To achieve this goal, a Markov-Switching Periodic Auto-Regressive model is presented. It is demonstrated that the methodology is able to generate synthetic scenarios which better resembles the observed streamflow, mainly during periods when the streamflow are below-average.