_____________________________________________________________________________________________________________

Distributed-Dynamic State Estimation with

SCADA and PMU
__________________________________________________________________________________________________________

Master of Science Thesis

Dyah Pietaloka

Department of Electrical Sustainable Energy

Faculty of Electrical Engineering, Mathematics and Computer Science

Delft University of Technology

August 2015

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Abstract
The purpose of this research is mainly to develop a distributed dynamic state estimation with
PMU and SCADA as a response of the challenges in state estimation problems (accuracy,
computational time, the use of new technology along with the ability to keep the existing
traditional measurement).

With the implementation of statistical signal processing technique into state estimation
algorithm, this research conducts two different state estimation algorithms: distributed –
Extended Kalman Filter based Dynamic State Estimation (distributed-EKF based DSE) with
SCADA and PMU; and distributed –Unscented Kalman Filter based Dynamic State Estimation
(distributed-UKF based DSE) with SCADA and PMU. As a comparison, the implementation of EKF-
based DSE and UKF-based DSE in integrated system has also performed. Variations number of
PMU is installed in different buses location to see the effects on the state estimation result of the
particular algorithms.

The performance of the algorithm is studied using computer simulations and the comparisons
are observed and analysed. The result of the simulation has shown that UKF-based DSE is a
promising method in a nonlinear model implementation, although the difference with EKF-based
DSE is small in this research. The result has also shown that more number of PMU installed give
more state estimation accuracy for both algorithms. The concept of distribution state estimation
has improved the performance of the state estimation in terms of efficiency (computational time)
compare to integrated state estimation.

Keywords: state estimation, distributed, dynamic, EKF, UKF, PMU, SCADA,

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Thesis Committee

Dr.ir. M. Popov

Dr.Ing. J. L. Rueda Torres

Dr.ir. L.M. Ramirez Elizondo

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Acknowledgments

First of all I would like to express my deepest thanks to my supervisors Dr. Ir. M. Popov and Dr.
Ing. J. L. Rueda Torres for all the discussions, guidance, valuable suggestions, explanation, and
advice. Thank you for the cooperation and willingness to take over thesis supervisory from my
previous supervisor during your busy schedule. Special thanks to my previous supervisor, Dr.
Madeleine Gibescu for the preliminary discussion that gives me insights on the direction of my
thesis. Many thanks to other thesis committee member, Dr.ir. L.M. Ramirez Elizondo for taking
effort to evaluate my thesis report.

Secondly, my gratitude goes to PT PLN (Persero) for giving me the opportunity and financial
support to study at TU Delft. I am also indebted to all PLN senior and colleague who studied in
TU Delft for all the support and help during my study in TU Delft. Thank you for all my Indonesian
friends, and all Indonesian family in Delft for the help during my stay in Delft. I am also grateful
to the TU Delft psychologist team for all of the assistance during the hard time.

Finally, I would like to thank my beloved family in Indonesia, especially my parents, for their
never ending prayers, and for my brother and sister for their never ending supports. And last but
not least, I would like to thank God, Allah SWT, the Almighty, that it would have not been possible
to accomplish my study in TU Delft without His blessings.

Delft, August 2015

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Table of Contents
Abstract .................................................................................................................................................. iii
Thesis Committee .................................................................................................................................. iv
Acknowledgments................................................................................................................................... v
List of Figures .......................................................................................................................................... v
List of Tables .......................................................................................................................................... vi
Introduction ............................................................................................................................................ 4
1. 1 Motivation .................................................................................................................................... 4
1. 2 Literature Review ......................................................................................................................... 5
1. 3 Research overview ....................................................................................................................... 6
1. 4 Thesis Layout ................................................................................................................................ 6
The Development of Power Systems State Estimation Technique ......................................................... 8
2.1 Measurement Structure................................................................................................................ 8
2.2 Static State estimation .................................................................................................................. 9
2.3 Dynamic State Estimation ........................................................................................................... 11
2.4 Distributed State Estimation ....................................................................................................... 13
2.5 The inclusion of Phasor Measurement Unit in Power System State Estimation ........................ 22
Dynamic State Estimation Using Kalman Filter Variant ........................................................................ 28
3.1 Comparison of Dynamic State Estimator Approach ................................................................... 28
3.1.1 Extended Kalman Filter (EKF) ............................................................................................... 28
3.1.2 Unscented Kalman Filter (UKF) .......................................................................................... 29
3.2 Modelling the EKF-based Dynamic State Estimation .................................................................. 33
3.2.1 Mathematical Modelling ...................................................................................................... 33
3.2.2 Identification of Parameter Matrix ...................................................................................... 34
3.2.3 Prediction of System States ................................................................................................. 34
3.2.4 Filtering of System States..................................................................................................... 34
3.3 Modelling the UKF-based Dynamic State Estimation ................................................................. 41
3.3.1 Mathematical Modelling ...................................................................................................... 41
3.3.2 Parameter Identification ...................................................................................................... 42
3.3.3 State Prediction /Forecasting............................................................................................... 42
3.3.4 State Correction /Filtering ................................................................................................... 43
The Formulation of Distributed-Dynamic State Estimation.................................................................. 47
4. 1 The structure of the network ..................................................................................................... 47

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 4.2 First level state estimation / Local State estimation................................................................... 48
4.3 Second Level State Estimation / Coordinator Level State estimation ........................................ 49
4.3.1 Coordinator vector ............................................................................................................... 49
4.3.2 The borders state ................................................................................................................. 49
4.3.3 The construction of Jacobian matrix at Coordination level ................................................. 51
4.4 Distributed –Dynamic State Estimation ...................................................................................... 54
Simulation and Result ........................................................................................................................... 56
5. 1 Test Network and Measurement Placement ............................................................................. 56
5.2 Results ......................................................................................................................................... 59
5.2.1 EKF-based DSE in Integrated System and Split/Distributed System .................................... 59
5.2.2 UKF-based DSE in Integrated System and Split/Distributed System ................................... 63
5.2.3 EKF-based DSE vs UKF-based DSE ........................................................................................ 66
Conclusion and Future Works ............................................................................................................... 69
6. 1 Conclusion .................................................................................................................................. 69
6.2 Recommendation for future works ............................................................................................ 69
References ............................................................................................................................................ 71
Appendix A: Data Sheet IEEE 14 bus System ........................................................................................ 74

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List of Figures
Figure 2- 1 Non-overlapping areas ....................................................................................................................... 13
Figure 2- 2 Border bus overlapping areas ............................................................................................................. 13
Figure 2- 3 Tie-line overlapping areas .................................................................................................................. 14
Figure 2- 4 Extended overlapping areas ............................................................................................................... 14
Figure 2- 5 Hierarchical architecture .................................................................................................................... 14
Figure 2- 6 Decentralized distributed architecture ............................................................................................... 15
Figure 2- 7 Distributed State Estimator Scheme ................................................................................................... 18
Figure 2- 8 Substation B and its neighbours [22] .................................................................................................. 21
Figure 2- 9 PMU at typical bus [1] ........................................................................................................................ 23
Figure 2- 10 (a) Add phasor measurements to traditional measurements and using a non-linear iterative
procedure. (b) Adding Phasor Measurements through a Post-processing Linear Step [7] ................................... 25

Figure 3- 1 The EKF linearization .......................................................................................................................... 28

Figure 3- 2 Unscented Transformation ................................................................................................................. 29
Figure 3- 3 The UKF propagation .......................................................................................................................... 30
Figure 3- 4 Example of mean and covariance propagation .................................................................................. 32
Figure 3- 5 Flowchart EKF-based DSE ................................................................................................................... 36
Figure 3- 6 Flowchart operation of UKF ................................................................................................................ 45

Figure 4- 1 Boundary buses and internal buses .................................................................................................... 48

Figure 4- 2 π equivalent of tie line connecting boundary nodes n_bi and n_bj ................................................... 53
Figure 4- 3 Flowchart of the simulation program ................................................................................................. 55

Figure 5- 1 IEEE 14 bus system as the test network .............................................................................................. 56

Figure 5- 2 The partition of IEEE 14 bus systems into 2 subsystems ..................................................................... 57
Figure 5- 3 Percentage of Error State utilizing EKF-based DSE ............................................................................. 60
Figure 5- 4 Single State Variable (with PMU) vs state estimator output EKF-based DSE ..................................... 61
Figure 5- 5 Single State Variable (non PMU) vs state estimator output EKF-based DSE ...................................... 62
Figure 5- 6 Percentage of Error State utilizing UKF-based DSE ............................................................................. 63
Figure 5- 7 Single State Variable (with PMU) vs state estimator output UKF-based DSE ..................................... 64
Figure 5- 8 Single State Variable (no PMU) vs state estimator output UKF-based DSE ........................................ 65

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List of Tables
Table 1- 1 Combination method steps applied in DSE in Literature ...................................................................... 12

Table 5- 1 Bus Measurement Location ................................................................................................................. 58

Table 5- 2 Performance Indices (PI) Value ............................................................................................................ 67

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 Chapter 1
Introduction

1. 1 Motivation

State estimation plays an important role in power system control centre. The state of the
power system is defined by the voltage magnitudes and angles at all buses. The state
estimator determines that state based on a set of redundant measurement.

The traditional static state estimator (SSE) cannot capture the dynamic changes in power
systems. Therefore a method called Dynamic State Estimator (DSE) was developed, which
can calculate the state of the system by modelling the time varying behaviour of the
power systems. The merits of DSE above SSE are twofold. First of all with the DSE it is
possible to predict the state one step ahead. Secondly, the knowledge of the time-
evolution of the state can be used as extra information to make better estimation. This
feature of predicting the state one step ahead is very valuable in the control centre for
instance as an input to automatic control, diagnostic stability, and post mortem analysis.
Therefore, DSE has the ability to play a significant role in control centre. Hence, any
improvement in the performance of the DSE can take a major role in the improvement of
the overall operation and control of the energy management systems. The drawback of
DSE is in the computational time. In order to speed up the computation and deal with the
wide/large area power systems case, the Distributed State Estimation can be used.

Apart from that, the accuracy of state estimation is determined by the measurements. The
widely used of Phasor Measurement Units (PMU) in power systems nowadays has offered
some benefits in the measurement. This units use the time reference signal from the
Global Positioning System (GPS), which make the magnitude and phase angle of voltages
and currents can be determined accurately. Consequently the inclusion of PMU in
distributed dynamic state estimator will increase its accuracy.

With its higher quality measurement, there will be some challenges when combining the
PMU with the traditional measurement using Supervisory Control and Data Acquisition
(SCADA) in order to obtain an optimal state estimation. This includes the computational
burden due to the increased vector or matrices, the different sampling rates and accuracy
between those two measurements, and also some considerations on the state estimation
modification due to the difficulties and cost. Since the increasing number of PMU will be
installed in the future grid, it is also important to develop a state estimation method that
taking account those issues. Distributed State Estimation has a feature on giving less

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computation time in the execution. Incorporating this method will contribute on the
better state estimation result.

1. 2 Literature Review

The static state estimator or classic state estimator is widely used. Reference [1] is
considered as an important publication which becomes the root articles on state
estimation. The classic estimator has been described on several textbooks [2]-[5] and
some contribution on it has also been made [6]-[11].

Dynamic State Estimator consists of two stages: the prediction/forecasting stage and
estimation/filtering stage. The differences on the existing Dynamic State Estimator
algorithms found in literature laid in the method used on those two steps. Some
alternatives pairs of the prediction - estimation stage are noise model-Kalman Bucy filter
[12], current state and change at neighbours-M estimation[13], Noise model-Extended
Kalman Filter[14], Linear exponential smoothing-Weight Least Square[15], Dynamic
Generator Equations-Kalman Filter[16], Noise Model-Kalman Filter[17], Linear
Exponential Smoothing-Extended Kalman Filter with anomaly suppression [18], and
ANN based busload prediction – Extended Kalman Filter[19].

Reference [20] provides a critical survey on distributed state estimators developed up to

1983. There are two kinds of approaches found in literature: classical distributed state
estimation [19], [21] and agent-based distributed state estimation as in [22].

In the standard IEEE for PMU measurement the data reporting rates required for 50 Hz
and 60 Hz are listed [23]. In [24] the comparison between PMU and SCADA is described
based on: measurement type, resolution, observability, monitoring capability, and
capability on measuring the phasor angle.

Several attempts have been made to include PMU in dynamic state estimator. In [25] a
technique is presented by using the PMU in the estimation process along with normal
SCADA data, but with higher weights. It also presents the case of using single and multiple
PMU in a bus system. Another proposed method is using the improved fast-decoupled
method based on PMU data together with SCADA data, as shown in [26].

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1. 3 Research overview

The objectives of this research are:

 To investigate the requirement for a Distributed-Dynamic State Estimator with

PMU and SCADA
 To develop a distributed dynamic state estimator with PMU and SCADA
 To implement the method in Matlab.
 To verify the developed distributed dynamic state estimator with SCADA and PMU
using test network.

1. 4 Thesis Layout

In this sub chapter, the research approach is described in addressing the research sub-
questions. This thesis is organized in the following way:

Chapter I: Introduction

This chapter encloses the background consideration that motivates this research area. It
is followed by literature review on the technique growth in state estimation, the use of
Phasor Measurement Unit. Then it continues with research objectives and finally ends up
with outlining with the structure of the thesis.

Chapter II: The Development of Power System State Estimation Technique

This chapter illustrates some basic general theory related to Power System State
Estimation Technique. Mainly this chapter explains some general knowledge that shows
the evolution of state estimation in power system. It starts from static state estimation,
dynamic state estimation, distributed state estimation to Phasor Measurement Unit and
SCADA related to this research.

Chapter III: Dynamic State Estimation using Kalman Filter Variant

This chapter explains the modelling for the Dynamic State Estimation as a part of the
Distributed Dynamic State Estimation. Two algorithms will be used: The Extended
Kalman Filter-based DSE and the Unscented Kalman Filter-based DSE.

Chapter IV: Formulation of Distributed Dynamic State Estimation Method

This chapter describes the structure of the Distributed Dynamic State Estimation to be
simulated. Besides, the method for handling some local state estimation into one whole
system is also explained.

Chapter V: Simulation and Result

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This chapter performs the implementation of the integrated dynamic state estimation
and distributed dynamic state estimation with PMU and SCADA, using two different
approaches from Kalman Filter variant in the test network and evaluates its performance.

Chapter VI: Conclusion and future work

This chapter describes the conclusion of the thesis and summarizes the work completed.
This chapter also gives recommendation for future work.

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 Chapter 2
The Development of Power Systems State
Estimation Technique

2.1 Measurement Structure

The system state 𝐱 is associated to the measurements by a set of nonlinear expression

called measurement function 𝐡(𝐱).

The state vector 𝐱 is composed of the voltage magnitudes and voltage phase angles of
each bus in the system. There are N bus voltage magnitudes and N-1 phase angles. One
phase angle of a bus is called a reference bus or slack bus, which is assumed to be
identified and set to a value such as 0. By assuming the first bus as a reference bus, thus
the state vector has the form:

𝐱 = [𝜃2 , 𝜃3 , … , 𝜃𝑁 , 𝑉1 , … , 𝑉𝑁 ]𝑇 (2.1)

Where 𝜃𝑛 is the voltage phase angles and 𝑉𝑛 is the voltage magnitudes of bus n-th.

The measurements measured by conventional measurement devices usually consist of:

(1). Real and reactive power injections.

The correlation of the real power injection Pi and the reactive power injection Qi at bus i
to the state variables Vn and 𝜃𝑛 can be defined as
𝑁𝑏𝑢𝑠

𝑃𝑖 = 𝑉𝑖 ∑ 𝑉𝑚 (𝐺𝑖𝑚 𝑐𝑜𝑠𝜃𝑖𝑚 + 𝐵𝑖𝑚 𝑠𝑖𝑛𝜃𝑖𝑚 ) (2.2)

𝑚=1

𝑁𝑏𝑢𝑠

𝑄𝑖 = 𝑉𝑖 ∑ 𝑉𝑚 (𝐺𝑖𝑚 𝑐𝑜𝑠𝜃𝑖𝑚 − 𝐵𝑖𝑚 𝑠𝑖𝑛𝜃𝑖𝑚 ) (2.3)

𝑚=1

(2). Real and reactive power flow.

The real power flow and reactive power flow from bus i to bus j respectively are:

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 𝑃𝑖𝑗 = 𝑉𝑖 2 (𝑔𝑠𝑖 + 𝑔𝑖𝑗 ) − 𝑉𝑖 𝑉𝑗 (𝑔𝑖𝑗 𝑐𝑜𝑠𝜃𝑖𝑗 + 𝑏𝑖𝑗 𝑠𝑖𝑛𝜃𝑖𝑗 ) (2.4)

𝑄𝑖𝑗 = −𝑉𝑖 2 (𝑏𝑠𝑖 + 𝑏𝑖𝑗 ) − 𝑉𝑖 𝑉𝑗 (𝑔𝑖𝑗 𝑠𝑖𝑛𝜃𝑖𝑗 + 𝑏𝑖𝑗 𝑐𝑜𝑠𝜃𝑖𝑗 ) (2.5)

2.2 Static State estimation

As explained before, in an N-bus system, the (2N-1) x 1 state vector possesses a form:

𝐱 = [𝜃2 , 𝜃3 , … , 𝜃𝑁 , 𝑉1 , … , 𝑉𝑁 ]𝑇

For the purpose of estimating 𝐱 , a set of measurements Z is gathered. The measurements

are attained within SCADA systems, and consist of active and reactive power flows, bus
injections, and voltage magnitudes at the buses.

The measurement model is

𝐙 = 𝐡(𝐱) + 𝐞 (2.6)

Where

𝒁 = measurements

𝒙 = states of the systems

𝒉 = the non-linear equation

𝒆 = measurement noise

It should be noted that the number of measurements 𝑁𝑚 should be larger or the same as
the number of states to be estimated 𝑁𝑠 . In other words, the system should be
observable. If 𝑁𝑚 > 𝑁𝑠 the measurement becomes redundant. Moreover the
measurement should be placed around the system with a good judgment.

In order to estimate the states, an objective function is formulated that should be

minimized. This objective function is the weighted sum of the square of the residues, that
is defined as
𝑁𝑚

𝐽(𝑥̂) = ∑ 𝜔𝑖 𝑟𝑖 2 = 𝐫 𝐓 𝐖𝐫 (2.7)
𝑖=1
𝐽 = function to be minimized

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𝐖 = diagonal matrix with weight factors inversely proportional to the square of the
measurement accuracy ( 𝜔𝑖,𝑖 = 1⁄𝜎𝑖 2 )

By setting the gradient of the objective function to zero, the estimate of the states can be
attained:

𝛁𝐉(𝐱) = ⏟ ⏟ − 𝐡(𝐱̂)) = 𝐇𝐱 𝐖 . (𝐳
𝛁𝐡(𝐱)|𝐱̂ 𝐖. (𝐳 ⏟ − 𝐡(𝐱̂)) = 𝟎 (2.8)
𝐇𝐱 𝐫(𝐱̂) 𝐫(𝐱̂)

|𝐱̂ = means the estimated states should be used;

𝐇𝐱 = 𝛁𝐡(𝐱)|𝐱̂ = gradient of 𝐡(𝐱)

𝐫(𝐱̂) = measurement residues for estimate 𝐱̂

The above description approach is called the Weighted Least Square (WLS) estimation.
This equation is solved iteratively with the Newton-Raphson method. First 𝐡(𝐱) is
linearized around the initial point 𝑥 (0) by using a first order Taylor expansion. This yields
the general equation:

∆𝐱 (𝐤) = 𝐱 (𝐤+𝟏) − 𝐱 (𝐤) = 𝐆𝐱 −𝟏 𝐇𝐱 𝐓 𝐖(𝐳 − 𝐡(𝐱 (𝐤) )) (2.9)

∆𝐱 (𝐤) = correction of the state variable;

(𝐤) = number of iteration

𝐇𝐱 = gradient of 𝐡(𝐱)

𝐆𝐱 = 𝐇𝐱 𝐓 𝐖 𝐇𝐱 = 𝐑−𝟏 = gain matrix

𝐑 = covariance matrix of the estimate 𝐱̂

The number of iteration for 𝐇𝐱 and 𝐆𝐱 is left out in the notation. At each iteration, 𝐇𝐱 𝐆𝐱
and 𝐡(𝐱 (𝐤) ) are supposed to be recalculated and equation (2.9) should be repeated until
reaching convergence, thus until for a certain tolerance band |𝑥𝑖 (𝑘+1) − 𝑥𝑖 (𝑘) | < 𝜖 . If
convergence is achieved, the estimate is being the calculated state at the last
iteration(𝑥̂ = 𝑥 (𝑘+1) ). It should be noted that the measurement errors are spread over
the states.

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2.3 Dynamic State Estimation

The estimation techniques discussed previously, are called static state estimation
techniques, as they calculate the state of a power system at an instant of time, by
processing the measurements obtained at that instant of time. But as we know, power
system is a quasi-static system and hence changes slowly with time. Therefore this
necessitates a more accurate model to describe the time varying nature of the power
system and in turn a more accurate state estimation technique. This led to the
development of the dynamic state estimation techniques.

Dynamic state estimation uses the present (and sometimes previous) state of the power
system along with the knowledge of the system’s physical model, to predict the state
vector for the next time instant. Then, once the new measurements at the next instant of
time arrive, the predicted values are filtered to obtain a more accurate estimate of the
states. This prediction feature of the DSE provides vital advantages in system operation,
control, and decision making. It allows the operator more time to act in cases of
emergency, helps in detection of anomalies, bad data etc.

In order to describe the system, two equations are used in Dynamic State Estimation
(DSE): Firstly, the equation which relates the states to the measurements in (2.6).
Secondly, an equation that gives the time-evolution of the state:

𝐱̅ 𝐭+𝟏 = 𝛟𝐭→(𝐭+𝟏) (𝐱 𝐭 ) + 𝐯𝐭 (2.10)

𝐱̅ 𝐭+𝟏 : forecasted states for time instant t+1;

𝛟𝐭→(𝐭+𝟏) : function describing the evolution of the system in time;

𝐱 𝐭 : states at time instant t;

𝐯𝐭 : error in prediction time evolution (white noise variable with covariance Qt)

Dynamic State Estimation (DSE) is composed of two stages: prediction and estimation.

2.3.1 Step: Prediction (Forecasting)

In this step, the prediction of the current state is made based on the dynamic of the system
and the last estimate. Obtaining the mathematical equation for the time evolution of the
state is crucial in order to develop a dynamic state estimator. It is also difficult to be done
because the model must have the correct knowledge on the future behavior of the loads,
generator etc. Some of the methods used in the prediction steps are: dynamic model
generator, load forecasting, linear exponential smoothing, etc.

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2.3.2 Step: Estimation (Filtering)

In this step, the estimation of the current state is made based on the measurement and
the predicted state. Mostly the Kalman Filter (KF) approach is used in this step. Extended
Kalman Filter (EKF) is used in DSE due to the non-linear relationship between voltage
and power. The objective function of the discrete time EKF is:
𝐓
𝐉𝐭+𝟏 (𝐱 𝐭+𝟏 ) = (𝐳𝐭+𝟏 − 𝐡𝐭+𝟏 (𝐱 𝐭+𝟏 )) 𝐑−𝟏
𝐭+𝟏 (𝐳𝐭+𝟏 − 𝐡𝐭+𝟏 (𝐱 𝐭+𝟏 )) +
−𝟏 (2.11)
(𝐱 𝐭+𝟏 − 𝐱̅ 𝐭+𝟏 )𝐓 (𝛟𝐭→(𝐭+𝟏) 𝐏𝐭 𝛟𝐓𝐭→(𝐭+𝟏) + 𝐐𝐭 ) (𝐱 𝐭+𝟏 −𝐱̅𝐭+𝟏 )

𝐏𝐭 : Predicted estimate covariance matrix

Some combinations of prediction step and estimation step methods used in previous
literature are summarized in Table 1

Table 1- 1 Combination method steps applied in DSE in Literature

Ref Prediction/Forecasting Step Estimation/Filtering Step

[12] Noise Model Kalman-Bucy filter

[13] Current State and change at M-estimation

neighbors

[14] Noise Model Extended Kalman Filter

[15] Linear Exponential Smoothing WLS algorithm

[16] Dynamic Generator Equations Kalman Filter Variant

[17] Noise Model Kalman Filter

[18] Linear Exponential Smoothing Extended Kalman Filter with anomaly

suppression

[19] ANN based busload prediction Extended Kalman Filter

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2.4 Distributed State Estimation
Processing a measurement set in a single state estimator gives optimal estimate, this
method called integrated. But there are some features that integrated state estimator
cannot perform better, such as computational efficiency. The distributed state estimation
is used to reduce the computation time of the state estimation. The classification of
Distributed State Estimation can be differentiated into several criteria [28]:

Overlapping Area Level

The system decomposition in distributed state estimation into interconnected areas can
be divided into:

(1). Non-overlapping areas.

As seen on figure 2-1, this decomposition model has no bus and no branch in common.
The connection is carried out through tie-line ending at border buses. These tie-lines
define the interconnection area.

Figure 2- 1 Non-overlapping areas

(2). Border-bus overlapping areas

The border-bus overlapping areas are adjacent areas overlapping over just one layer of
border buses. This model has no tie-line connect two areas.

Figure 2- 2 Border bus overlapping areas

(3). Tie-line overlapping areas share tie-lines

This model shares tie-lines and the corresponding border buses as shown in Figure 2-3.

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 Figure 2- 3 Tie-line overlapping areas

(4). Extended (or deep) overlapping areas

Figure 2-4 illustrates that this type of decomposition shares several layers of neighbors
of border buses.

Figure 2- 4 Extended overlapping areas

The computing architecture

(1). Hierarchical architecture

A master processor distributes the work among slave computers performing local area
state estimation, and coordinates the local estimates. Slave processors, whether located
remotely (distributed architecture) or at the same place (parallel architecture),
communicates only with the central computer.

Figure 2- 5 Hierarchical architecture

(2). Decentralized architecture

This scheme has no central computer, each local processor communicates only with the
processors of neighboring areas to exchange border information. The iterative algorithm
relying on this architecture usually does not involve any coordination phase.

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 Figure 2- 6 Decentralized distributed architecture

The coordination methods

The coordination methods consist of

(1). Coordination at the State Estimation level

In this scheme, each area submits its results to the central processor after full
convergence of its local state estimation.

The central level coordinates local estimates by computing the coordinator variables. For
a single coordination, this method leads to suboptimal estimates, but usually gives
acceptable accuracy; communication bandwidth requirements are kept low by limiting
the data exchanges between the central and the local processors.

(2). Coordination at the iteration level

In this scheme, the results are submitted for coordination after finishing each iteration of
the local state estimation.

With its repeated coordination feature, this method allows faster convergence to the
optimal solution than in the previous scheme. However there is an increase in data
exchange between the central and the local computers or between neighboring areas in
the decentralized architecture. This scheme requires the implementations of more
complex code, and does not allow keeping the existing state estimation algorithms.

(3) Hybrid Coordination

This scheme is a combination between the two previous schemes, in which several local
iterations are performed before coordination.

15
Measurement Synchronization

If we only consider the conventional measurement, the synchronization between areas

can be a concern. When we look for similar accuracy to an integrated scheme, it is
essential to synchronize the measurement gatherings so the hierarchical scheme does not
add to time skew present in conventional data acquisition. When we accept some sub
optimality, the synchronization requirement will not be a problem.

If PMU measurement is incorporated, it will give new prospect for measurement

synchronization.

Process Synchronization

Local processors run in asynchronous or asynchronous mode. For decentralized

architecture, the process is asynchronous, in which each local processor performs
iterations at its own rate, using the best information available from its neighbors. For the
hierarchical scheme, two synchronization modes are possible.

For the coordination at state estimation level scheme, imposing the synchronous local
estimation is not needed, thus each local processor usually run its state estimation at its
own pace. The central processor will always utilize the last estimate supplied by each
area, even though those local estimates do not refer to the same time instant. This time
skew among local estimates perhaps have an effect on the final solution accuracy.

For the coordination at the iteration level, the central computer could run in a
synchronous or asynchronous manner. Before coordinating the solution it may or may
not wait for the slowest local processor to complete the current iteration.

Examples

As an example, two general approaches of Distributed State Estimation from the

literature will be explained.

Classical Distributed State Estimation

This scheme consists of a decomposition and an aggregation method. The system is

decomposed into sub-systems. These subsystems can be chosen based on geographical
economic, political, or functional (transmission nets and distribution nets)
considerations. In each sub system a slack bus is defined. First for each sub-system the
state is calculated. Then the aggregated state is calculated for the whole system.

There are two approaches for the classical form. The first approach assumes that only the
boundary buses are influenced by the neighboring sub-systems. The other approach
assumes that not only boundary buses are influenced by the neighboring sub system.

16
An example of the approach that assumes that only the boundary buses are influenced by
the neighboring sub systems is the method of [27]. For typical sub system I we
distinguish:

 Internal buses : all buses to which this type of bus is connected belong to the same
sub system with states 𝑋𝑖𝐼 and measurement 𝑍𝑖𝐼
 Boundary buses : this type of bus is connected to both, buses that belong to the
same sub system and buses that belong to other sub systems, 𝑋𝑖𝐵 𝑍𝑖𝐵

Some vectors are defined:

𝑥𝑖 = [𝑥𝑖𝐼𝑇 , 𝑥𝑖𝐵𝑇 ]𝑇

𝑥 𝐵 = [𝑥1𝐵𝑇 , 𝑥2𝐵𝑇 , … , 𝑥𝑘𝐵𝑇 ]𝑇

𝛿 = [𝛿1𝑇 , 𝛿2𝑇 , … , 𝛿𝑘𝑇 ]𝑇 (2.12)

𝑇
𝑧 = [𝑧1𝑇 , 𝑧2𝑇 , … , 𝑧𝑘𝑇 , 𝑧𝑡𝑖𝑒𝑙𝑖𝑛𝑒 ]𝑇

𝑧𝑡𝑖𝑒𝑙𝑖𝑛𝑒 : are the tie line power flow measurement

The superscript I refers to an internal bus, the superscript B to a boundary bus, and
superscript T denotes the transpose of a vector.

It should be noted that the phase angle of the first measurement is omitted because it
serves as reference for the whole system. We should also pay attention to the difference
between vector 𝛿 and the phase angles in the state. The vector 𝛿 consists only phase
angles at slack buses, thus a sub set of the phase angles of the states.

17
 Figure 2- 7 Distributed State Estimator Scheme

The estimation is obtained in 2 steps:

a. State estimation at sub system level

At each sub system estimation is done for the internal variables (𝑧𝑖 𝑥𝑖 𝑒𝑖 ). The
estimate can be calculated by normal static state estimation method. This step is
executed independently for all different sub systems in parallel. Independency is
obtained by neglecting some redundant measurements
b. State estimation at coordination level
The state composite vector 𝑋 𝐵 is re estimated and the vector with phase angles at
slack buses 𝛿 is estimated. For this estimation 𝑧𝑡𝑖𝑒𝑙𝑖𝑛𝑒 are used as measurement and
first step are used as pseudo measurements:

𝑇
[𝑧𝑡𝑖𝑒𝑙𝑖𝑛𝑒 , 𝑥̂ 𝐵𝑇 ]𝑇 = [(ℎ(𝛿, 𝑥 𝐵 ))𝑇 , 𝑥 𝐵𝑇 ] + 𝑒 (2.13)

Based on this equation, with a normal state estimation procedure, the overall state can
be determined.

It should be noted that only little data have to be transferred between the first and the
second step. This reduces the time needed for transmission of data, thus saves calculation
time. There is no iteration between the steps.

Furthermore the result from the first step is inherently less accurate than the integrated
approach, but the result from this state estimation is acceptable.

For a method that not only boundary buses are influenced by neighbors, on the slack bus
a PMU is installed. This PMU is used to coordinate the calculation at sub system level and
to aggregate the state of the phases.

In this method, the internal buses can be divided in:

18
  Sensitive internal buses : state is sensitive to state neighboring sub system
𝑥𝑖𝐼−𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒 and 𝑧𝑖𝐼−𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒
 Insensitive internal buses : state is insensitive to state of the neighboring sub
system, 𝑥𝑖𝐼−𝑖𝑛𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒 and 𝑧𝑖𝐼−𝑖𝑛𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒

The boundary buses are defined the same as for the previous method.

The states and measurements, based on the above distinction, are defined

𝑥 = [𝑥1𝑇 , 𝑥2𝑇 , … , 𝑥𝑘𝑇 ]𝑇

𝑥𝑖 = [𝑥1𝐼𝑇 , 𝑥𝑖𝐵𝑇 ]𝑇
𝑇
𝑥𝑖𝐼 = [𝑥𝑖𝐼−𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒𝑇 , 𝑥𝑖𝐼−𝑖𝑛𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒𝑇 ]
(2.14)
𝑧𝑖 = [𝑧1𝐼𝑇 , 𝑧𝑖𝐵𝑇 ]𝑇
𝑇
𝑧𝑖𝐼 = [𝑧𝑖𝐼−𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒𝑇 , 𝑧𝑖𝐼−𝑖𝑛𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒𝑇 ]
𝑇
𝑧 = [𝑧1𝑇 , 𝑧2𝑇 , … , 𝑧𝑘𝑇 , 𝑧𝑡𝑖𝑒𝑙𝑖𝑛𝑒 ]𝑇

The goal for the PMU placement is to reduce the variances of errors and increase local
redundancy. The bus where a PMU is placed and its neighbors become observable. With
the help of local redundancy ranking and state estimation error variance ranking the
weakest group buses is determined. This weakest groups the PMU.

The algorithm for the distributed state estimation is composed of three steps:

a. Local estimation
Each sub system calculates an estimate both respect to its slack bus. The PMU at
the slack bus takes care of synchronization of the different sub system.
b. Aggregated (re) estimation
For each sub system a second estimation is performed to calculate the state of
boundary buses and to re-estimate the state of the sensitive internal buses. The
state obtained is called the state at aggregation level:
𝑇
𝑥𝑎 = [𝑥 𝐼−𝑖𝑛𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒𝑇 , 𝑥 𝐼−𝑖𝑛𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑒𝑇 ] (2.15)
𝑖

All boundary injections 𝑧 𝑏 , tie line power flow, and internal measurements
related to sensitive internal buses are treated as measurements. Estimates of the
states of sensitive internal buses and boundary buses of neighboring sub system
obtained in step 1, are used as pseudo measurement 𝑧𝑝𝑠𝑒𝑢𝑑𝑜 . The relation

19
 between the pseudo measurement and the state at aggregated level is linear and
given by: 𝐻𝑝𝑠𝑒𝑢𝑑𝑜 The measurement model is
𝑇
[𝑧 𝑏𝑇 , 𝑧 𝐼𝑇 , 𝑧𝑡𝑖𝑒𝑙𝑖𝑛𝑒 , ]𝑇 = [(ℎ(𝑥𝑎 ))𝑇 ]𝑇 + 𝑒𝑎 (2.16)

𝑧𝑝𝑠𝑒𝑢𝑑𝑜 = 𝐻𝑝𝑠𝑒𝑢𝑑𝑜 . 𝑥𝑎 + 𝑒𝑎 (2.17)

c. Determination of the aggregated system level estimate : This is found by

combining the solution of step a and step b

Agent-Based Distributed State Estimation.

In the agent-based distributed state estimation, the system is estimated by agents. These
agents have a high level of autonomy and can only communicate with its neighbors. It is
possible to have some level of supervision in the agent technology, but it is not required.

In agent –based distributed state estimation the calculation of the state is done by agents.
Each agent supervises one bus in the system. The two classic methods are based on the
static state estimation. Because in agent based method, each agent only control one bus,
it is not possible to use this known approach and a new method is developed.

The method [22] distinguishes two types of substations:

 One primary substation (high to medium voltage)

 Several substations (medium low voltage)

In figure 2-8 secondary bus B is illustrated with its neighbors A,C, and D. Sensors are
numbered. Sensor 0-6 measure voltage, current and phase angles. Sensors 7 and 8
measure the transformer top-oil temperature and the ambient temperature, that are
necessary for bad data detection and identification.

To illustrate the method, take a look at the current measurements. For the voltage phase
angle more or less similar methods can be derived.

20
 Figure 2- 8 Substation B and its neighbours [22]

Two processes are executed:

1) Local process: an autonomous process executed by the agent. Continuously

measurements are done. The instantaneous measurement of sensor i at time instant t is
denoted as 𝑍𝑖 (𝑡). Every ten minutes, the moving average is calculated (𝑍𝑖 (𝑡).) The error
from the moving averages is obtained based on Kirchhoff current law:

∆𝐼𝐵 (𝑡) = 𝑍1 (𝑡) + 𝑍2 (𝑡) + 𝑍3 (𝑡) + 𝑍4 (𝑡) (2.18)

2) The primary substation controls the wide area process by a token.

This level is comparable to the aggregated level of the classical methods. The token
travels top-down through the network and knows which agent has already calculated the
state to be sure that an agent calculates its state only once (until a new request comes).
The last values of 𝑍𝑖 (𝑡) and ∆𝐼𝐵 (𝑡) are stored in the internal database when an agent
receives a token.

To determine the least square estimated, the measurements should be adjusted with
∆𝐼𝐵 (𝑡) . The long term measurements are assumed as a white noise process. The least
square estimates are calculated:

𝜎12
𝑥1 (𝑡) = 𝑍1 − ∑𝑘=1 𝜎𝑘2
4 ∆𝐼𝐵 (𝑡) k = 1

𝜎𝑖2
(2.19)
𝑥𝑖 (𝑡) = 𝑍𝑖 − ∑4𝑘=1 𝜎𝑘2 ∆𝐼𝐵 (𝑡) 𝑘 ≠ 1

21
𝜎12 is the variance of the error of measurement k

2.5 The inclusion of Phasor Measurement Unit in Power System State

Estimation

Phasor is a quantity with magnitude and phase (with respect to a reference) that is used
to represent a sinusoidal signal. Phasor technology is considered to be one of the most
important measurement technologies in the future of power systems due to its unique
ability to sample analogue voltage and current waveform data in synchronism with a GPS-
clock. Some of the unique properties of phasor technology are:

 Phasor technology provides time synchronized sub-second data (typically 20, 30

or 60 samples/second) which can contribute for the improvements in state
estimation.
 Phasor technology provides the visibility required for observing the dynamic
behavior of power systems which can overcome the limitation of the traditional
SCADA-based systems offer.
 The phasor measurements directly provide the phase angles.

A Phasor Measurement Unit (PMU) is an electronic device that uses state-of-the-art

digital signal processors that can measure 50/60Hz AC waveforms (voltages and
currents) typically at a rate of 48 samples per cycle (2880 samples per second). A PMU
provides a synchronized measurement of the voltage phasor at bus and several currents
in branches adjacent to that bus. The synchronism is obtained through the GPS signal, so
that it can be received everywhere.

22
 Figure 2- 9 PMU at typical bus [1]

The PMU installed on a typical bus can be seen at figure 2-9. The voltage of this bus is
measured together with the current flows in each adjacent branch. First the signals are
filtered to satisfy the Nyquist criterion, in which a signal should be sampled with at least
two times the highest frequency of that signal. A one pulse per second synchronization
signal is obtained from the GPS receiver. This pulse is divided by a phase locked loop to
the desired number of pulses for synchronization of the A/D converter. The
microprocessor calculates the positive sequence value of the phasor. The zero crossing
point angle is detected (for the phase angle measurement). The phase angle is determined
by taking this zero crossing point relative to the UTC time obtained from the GPS receiver.

PMU can be implemented in power system state estimation. Considering the positive
sequence voltages measured by PMU, if voltages at all system substations are measured,
one would have a true simultaneous measurement of the power system state. No
estimation of the state vector is necessary. From a practical point of view, it is sensible to
use the positive sequence currents also, which provide data redundancy. This leads to a
linear estimator of the power system state, which uses both current and voltage
measurements. The estimate results from the multiplication of a constant matrix by the
measurement vector, and is extremely fast.

In addition, PMU also provides the first real possibility of providing a dynamic state
estimator. By maintaining a continuous stream of phasor data from the substations to the
control center, a state vector that can follow the system dynamics can be constructed.
With normal dedicated communication circuits operating at 4800 or 9600 baud, a
continuous data stream of one phasor measurement every 2-5 cycles can be sustained.
Considering that the usual power system dynamic phenomena fall in the range of 0-2 Hz,

23
it is possible to observe in real-time the power system dynamic phenomena with high
fidelity at the center.

The implementation of PMUs in state estimation generally can be treated in two ways:

a. PMU is used in a new linear estimation

There are two approaches:
 Using the combination of PMU and classic measurements.
These two types of measurement can be integrated with two methods:
 First step: estimate the linear and non-linear estimators
independently. Second step: obtain the final estimation by taking
the average of both estimates.
 First step: calculate the estimation from the traditional
measurements with non-linear state estimator. Second step: use the
result together with the phasor measurement.
 Using PMU measurement only. This made a linear relationship between the
measurement and the states

b. PMU is used in the existing nonlinear estimation

There are also two approaches:
 Using new phasor equation in state estimation.
This method can be distinguished into:
 Using the transformation from rectangular (real and imaginary part) to
polar (magnitude and angle).
 Using voltage magnitude and angle. The voltage magnitude
measurements are already provided from the traditional
measurements therefore the relation between voltage magnitude and
state can be used directly. For the phase angle, we can use the phase
angle directly from the PMU measurement or use the difference
between the measured angle and the reference.
 Converting PMU measurement to Power ( active and reactive power flow)

The advantage of the using a direct use of phase angles in a new equation lies in the
simplicity of the state estimator equation, which is linear and of the same form as the
equation defined for voltage magnitude; hence, it can be easily added into the state
estimation matrix. On the other hand, its disadvantages are:

 The difficulties in tuning measurement errors for phase angle quantities.

 The estimated and measured phase angles cannot be easily compared to any other
independent telemetry, thereby rendering measurement performance analysis
more difficult.
 The addition of a phase angle measurement does not yield as effective
improvement in observability and redundancy as the MW and MVAR pair.

24
  If the reference is lost or corrupted, the phase angle measurements are of no value
unless a new reference is adopted.
 Small errors in the reference angle measurement can significantly affect other
phase angle measurements that are compared to the reference.

The benefits of converting the phasor measurements to power flow are:

 The existing state estimator does not have to be changed

 Errors are easier to tune because power flows are more intuitive to understand
 The quality of the estimate does not only depend on one single reference
measurement
 The conventional measurements are easy to be combined with phasor
measurement because they are using the same reference.

Figure 2- 10 (a) Add phasor measurements to traditional measurements and using a non-linear iterative procedure. (b)
Adding Phasor Measurements through a Post-processing Linear Step [7]

Some options of integrating PMU in state estimation can be shown in figure 2-10. In figure
2-10(a) phasor measurements are combined with traditional P, Q measurements in a
hybrid state estimator. It is recognized that state estimation is but one application in a
modern EMS system. Due to the different nature of complex phasor measurements, the
direct inclusion of phasor measurements in state estimators requires significant
modifications to the existing EMS software.

On the other hand, figure 2-10(b) offers a practically equivalent and far more attractive
option. It is proceeded by achieving the estimated states from traditional estimator, and
then incorporate the phasor measurements in a post processing step. Thus, the results of
the traditional state estimate and the phasor measurements with their respective error
covariance matrices are considered to be a set of measurements that are linear functions
of the state vector. This leads to a linear (non-iterative) estimation step that requires no
modification of the traditional EMS software and can be implemented quickly as
additional application software and produce results that are practically equivalent to the

25
results obtained by the method of combining the traditional and phasor measurements
in a nonlinear measurement set. The final output of the linear estimator is then put back
in the same format as that produced by the traditional state estimator so that the
following application functions such as user visualization, contingency analysis, optimal
power flows, corrective actions required, alarms, etc. do not require any changes.

26
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27
 Chapter 3
Dynamic State Estimation Using Kalman
Filter Variant

3.1 Comparison of Dynamic State Estimator Approach

3.1.1 Extended Kalman Filter (EKF)

The Extended Kalman Filter is one of the nonlinear version of the Kalman Filter variant
that linearizes the current mean and covariance.

Figure 3- 1 The EKF linearization

Figure 3-1 shows the EKF linearizes a nonlinear function around the mean of a Gaussian
distribution. EKF solves the linearity problem by calculating the Jacobian of f and h
around the estimated state. The calculation of Jacobian yields a trajectory of the model
function centered round the state.

The Extended Kalman Filter becomes one of the state estimation algorithms that most
commonly used in nonlinear system. Since the system state equation, some measurement
equations are nonlinear function of state variables, the linearization and the Jacobian
matrix calculation are absolutely necessary. During the estimation process, the EKF
algorithm linearizes the nonlinear transformation and calculates Jacobian matrices. This
situation can lead to some serious drawbacks, such as:

28
(1) For some cases, there will not be Jacobian matrices available, thus linearization could
not be carried out during the filtering process.

(2) The calculation of Jacobian Matrix is an error-prone process, it involves a lot of partial
derivations, and requires intensive resources of computing application.

(3) If the initial state estimate is incorrect or the process is mistakenly modelled, the filter
may rapidly diverge because of its linearization.

(4) The estimated covariance matrix tends to underestimate the true covariance matrix,
therefore there is a chance that without the additional noise it becomes inconsistent in
the statistical sense.

3.1.2 Unscented Kalman Filter (UKF)

Basic Idea of Unscented Transformation (UT)

The unscented transformation is based on the idea that it is easier to approximate a

probability distribution (Gaussian distribution) than an arbitrary non-linear
function/transformation. This strategy decreases the computational complexities and at
the same time increases estimation accuracy, gains faster and more accurate result.

Figure 3- 2 Unscented Transformation

The principle approach can be illustrated in figure 3-2. In this figure a set of points (sigma
points) with their mean and covariance. The nonlinear function is applied to each point
which results in a cloud of transformed points. After that, the statistics of the transformed
points is calculated to form an estimate of the nonlinear transformed mean and
covariance.

29
The propagation of Gaussian Random Variable (GRV) throughout nonlinear functions
that cause problem several times can be solved with applying Unscented Transform.
Instead of linearizing a nonlinear function, this technique utilizes 2N+1 sigma points for
N states, propagates these points via the actual nonlinear function, and eliminates
linearization. The points are selected such that their mean, covariance and other higher
order moments also match the GVR. These propagated points facilitate in recalculating
the mean and covariance resulting more accurate results compared to ordinary function
linearization. Figure 3-3 shows the UKF propagating sigma points from a Gaussian
distribution through a nonlinear function.

Some important properties of the Unscented Transformation:

(1) The algorithm can be used in a “black box” filtering library because it works with a
finite number of sigma points. If a model with appropriately defined inputs and outputs
is given, a standard routine can be used to calculate the predicted quantities as necessary
for any given transformation.

(2) This algorithm has the same level of computational cost as EKF. The most costly
operations are calculating the matrix square root and the outer product required for
computing the covariance of the projected sigma points.

Figure 3- 3 The UKF propagation

The Unscented Transformation theory [30][31][32]

Let x is an n-dimensional random variable with mean m and covariance 𝑃𝑥𝑥 , and Z is
another random variable which is correlated to x through a non-linear function:

𝑍 = 𝑓(𝑥) (3.1)

30
As previously mentioned, the basic idea of Unscented Transformation is to get a set of
deterministically chosen sigma points that capture the mean and covariance of the
original distribution of x precisely. The sigma points are propagated to calculate the mean
y and the covariance 𝑃𝑧𝑧 of Z.

Based on the knowledge of 𝑥 the (2𝑁 + 1) sigma points are

𝑥0 = 𝑚

𝑖
𝑥 𝑖 = 𝑚 + (√(𝑁 + 𝜆)𝑃𝑥𝑥 ) i=1 , … , N (3.2)

𝑖
𝑥 𝑖+𝑛 = 𝑚 − (√(𝑁 + 𝜆)𝑃𝑥𝑥 ) i=1 , … , N

𝑖
Where (√(𝑁 + 𝜆)𝑃𝑥𝑥 ) is the ith row or column of matrix square root of the
√(𝑁 + 𝜆)𝑃𝑥𝑥 . The square root matrix is approximated by 𝑃 = 𝐴𝐴𝑇 , Where A is the
lower triangular matrix which is attained from the Cholesky factorization of P [30].

In the next step the sigma points which are attained previously is transformed through
non-linear function. This, results in the transformed sigma points as:

𝑋 𝑖 = 𝑓(𝑥 𝑖 ) (3.3)

By using the previously computed transformed sigma points, the mean and covariance of
y is calculated as
2𝑁

Z̅ = ∑ 𝑾𝑖𝑚 𝑧 𝑖 (3.4)
𝑖=0
2𝑁

𝑷𝑧𝑧 = ∑ 𝑾𝑖𝑐 (𝑿𝒊 − 𝑧̅) (𝑿𝒊 − 𝑧̅)𝑇 (3.5)

𝑖=0

The weights are defined as

𝜆
𝑾0𝑚 =
𝑁+ 𝜆
𝜆
𝑾0𝑐 = + (1 − 𝛼 2 + 𝛽) (3.6)
𝑁+ 𝜆

1
𝑾𝑖𝑚 = 𝑾𝑖𝑐 =
2(𝑁 + 𝜆)

Where the value of parameter 𝛽 = 2

31
A simple example on mean and covariance propagation of EKF and UKF is shown in figure
3-4.

Figure 3- 4 Example of mean and covariance propagation

In figure 3-4, the left plot illustrates the true mean and covariance propagation using
Monte-Carlo sampling, which requires more sample points in effort to propagate an
accurate distribution of the state. The center plot shows the result of the linearization
approach in the EKF, while the right plot illustrate the superior UT performance as it only
requires less sigma points.

In summary, A central and vital operation performed in the Kalman Filter is the
propagation of a Gaussian random variable (GRV) through the system dynamics.

In the EKF, the state distribution is approximated by a GRV, which is then propagated
analytically through the first-order linearization of the nonlinear system. This can
introduce large errors in the true posterior mean and covariance of the transformed GRV,
which may lead to sub-optimal performance and sometimes divergence of the filter.

32
The UKF addresses this problem by using a deterministic sampling approach. The state
distribution is again approximated by a GRV, but is now represented using a minimal set
of carefully chosen sample points. These sample points completely capture the true mean
and covariance of the GRV, and when propagated through the true nonlinear system,
captures the posterior mean and covariance accurately to the 3rd order (Taylor series
expansion) for any nonlinearity.

The EKF, in contrast, only achieves first-order accuracy. Remarkably, the computational
complexity of the UKF is the same order as that of the EKF.

The Unscented Kalman Filter is a part of a bigger class of filter, the Sigma-Point Kalman
Filter or Linear Regression Kalman Filter, which used the statistical linearization
technique. This technique linearizes a nonlinear function of a random variable through a
linear regression between n points drawn from the prior distribution of the random
variable. Since we are considering the spread of the random variable the technique tends
to be more accurate than Taylor series linearization

3.2 Modelling the EKF-based Dynamic State Estimation

3.2.1 Mathematical Modelling

The dynamic model is described as:

𝑥𝑘+1 = 𝐹𝑘 𝑥𝑘 + 𝐺𝑘 + 𝑤𝑘 ; 𝑤𝑘 ~𝑁(0, 𝑄𝑘 ) (3.7)

Where, 𝑥𝑘+1 and 𝑥𝑘 is the state vector at instant 𝑘 + 1 and 𝑘 correspondingly, 𝐹𝑘 is the
function that represents the state transition between two instants of time, 𝐺𝑘 is the trend
behaviour of the state trajectory and 𝑤𝑘 is the white Gaussian noise with zero mean and
covariance Q.

The other parameter to be modeled is the measurement function, which helps to observe
the system. The most common measurement model used in the literature is:

𝑧𝑘 = ℎ(𝑥𝑘 ) + 𝑣𝑘 ; 𝑣𝑘 ~𝑁(0, 𝑅𝑘 ) (3.8)

Where 𝑧𝑘 is the measurement vector, 𝑥𝑘 is the state vector, ℎ(. ) is the Jacobian of the
nonlinear function relating the state vector and the measurements and 𝑣𝑘 is the noise in
measurements with a covariance matrix 𝑅𝑘 .

33
3.2.2 Identification of Parameter Matrix
This step calculates of the parameters that make up the mathematical model, describing
the behavior of the power systems. From the dynamic model equation in (3.7), the
parameter 𝐹𝑘 and 𝐺𝑘 can be identified using the Holt’s linear exponential smoothing
technique of forecasting:

𝐹𝑘 = 𝛼𝑘 (1 + 𝛽𝑘 ) (3.9 )
𝐺𝑘 = (1 + 𝛽𝑘 )(1 − 𝛼𝑘 )𝑥̃𝑘 − 𝛽𝑘 𝑎𝑘−1 + (1 − 𝛽𝑖 )𝑏𝑘−1 (3.10)

The dynamic model can also be rewritten as:

𝑥̃𝑘+1 = 𝑎𝑘 + 𝑏𝑘 (3.11)

Where

𝑎𝑘 = 𝛼𝑘 𝑥𝑘 + (1 − 𝛼𝑘 )𝑥̃𝑘

𝑏𝑘 = 𝛽𝑘 [𝑎𝑘 − 𝑎𝑘−1 ] + (1 − 𝛽𝑘 )𝑏𝑘−1

3.2.3 Prediction of System States

In this step, the state vector at the instant of time (k+1) is predicted from the knowledge
of state vector at present instant (k) and the mathematical model. It is given as:

𝑥̃𝑘+1 = 𝐹𝑘 𝑥𝑘 + 𝐺𝑘 (3.12)

Where, 𝑥̃𝑘+1 is the predicted value at instant 𝑘 + 1

The covariance of predicted value is given by

𝑀𝑘+1 = 𝐹𝑘 𝑃𝑘 𝐹𝑘𝑇 + 𝑄𝑘 (3.13)

Where 𝑃𝑘 is the covariance of the estimate at k

3.2.4 Filtering of System States

Once the predicted state vector for the next time instant (k+1) is attained and the new set
of measurement is also available, the more accurate and higher quality estimate for the
instant k+1 can be obtained in this steps.

In this filtering process, the objective function is to minimize the residuals of the
measurement and the error in the state vector at the instant k+1.

𝐽(𝑥) = [𝑍 − ℎ(𝑥)]𝑇 𝑅 −1 [𝑍 − ℎ(𝑥)] + [𝑥 − 𝑥̃]𝑇 𝑀−1 [𝑥 − 𝑥̃] (3.14)

34
A function is at its minimum point, when its first derivative at that point is equal to zero.
Minimizing this objective function means, a value of x has to be found which minimizes
both the measurement and the state vector residuals. For nonlinear equation, it can be
achieved by an iterative Extended Kalman Filter. The updated equation is:

𝑥 (𝑖+1) = 𝑥 (𝑖) + 𝑃(𝑖) {𝐻 𝑇 𝑅 −1 [𝑍 − ℎ(𝑥 (𝑖) )] − 𝑀−1 [𝑥 (𝑖) − 𝑥̃]} (3.15)

Where i is the iteration, and P is the covariance of the estimate.

If the predicted state vector 𝑥̃ is used as the initial value for the iteration process at time
instant (k+1), and performing single iteration, it can be written as a final equation as:

𝑥̂𝑘+1 = 𝑥̃𝑘+1 + 𝐾𝑘+1 [𝑍𝑘+1 − ℎ(𝑥̃𝑘+1 )] (3.16)

Where

[𝑍𝑘+1 − ℎ(𝑥̃𝑘+1 )] is the residual

Kalman gain filter

𝐾𝑘+1 = ∑ 𝐻 𝑇 𝑅 −1 = [𝐻 𝑇 𝑅 −1 𝐻 + 𝑀−1 ]−1 𝐻 𝑇 𝑅 −1 (3.17)

At the end of this step, an updated estimated state vector of power system is given by
Dynamic State Estimation.

When utilizing PMU and SCADA measurements, the procedure of EKF-based DSE can be
summarized as:

(1). Initialization of the state vector 𝑋 𝑡ℎ at instant time 𝑘 𝑡ℎ to a flat start (Voltage
Magnitude=1 p.u; Voltage angle = 0 rad)

(2). Reading measurement vector, in which PMU measurements is given higher weight
than SCADA measurements.

(3). Setting the first time sample, time stamp at k=1

(4). Applying Holt’s double exponential smoothing technique to get the predicted state
vector for the next time instant, (k+1)

(5). Obtaining a new update measurement set (SCADA and PMU measurement) for the
instant (k+1).

(6). Calculating the residual of the measurement [𝑍 − ℎ(𝑥̅ )] where 𝑍 is the new
measurement at instant (k+1) and ℎ(𝑥̅ ) is the measurement values calculated from the
predicted state vector (the predicted measurement) at instant (k+1).

35
(7). Applying the Extended Kalman Filter (EKF) algorithm to minimize the residual
between the predicted and actual values at instant (k+1) to get the filtered state vector
𝑥̂𝑘+1 = 𝑥̅𝑘+1 + 𝐾𝑘+1 [𝑍𝑘+1 − ℎ(𝑥̅𝑘+1 )]

Where 𝐾𝑘+1 = ∑ 𝐻 𝑇 𝑅 −1 = [𝐻 𝑇 𝑅 −1 𝐻 + 𝑀−1 ]−1 𝐻 𝑇 𝑅−1

For more details and to comply with the programming procedure, the EKF-based DSE
algorithm is illustrated on Figure 3-5.
star
tt

Initialization
Choose α and β
Flat start estimated state:
Xest 0 = [0,0, 1,1, … ,1]T
⏟ … ,0 , ⏟
N−1 N

k=k+1
Forecasting /Prediction State

 Calculate matrix F and vector G

by equation (3.9 ) & ( 3.10 )
 Calculate State Prediction & its Cov. matrix M,
by equation (3.12 ) & (3.13 )
 Calculate measurement function ℎ(. )
 Calculate Jacobian Matrix 𝐻

Update
Measurement Z

Filtering State

 Calculate Kalman gain matrix

by equation ( 3.17 )
 Calculate measurement residual [Z − ℎ(. )]
 Calculate estimated state Xest & its Cov matrix P
by equation ( 3.16)

Database

Figure 3- 5 Flowchart EKF-based DSE

36
The structure of the Jacobian matrix on the flowchart in Figure 3-5 is explained below.

The measurement model vector has a form:

𝑃1
⋮ } 𝐴𝑐𝑡𝑖𝑣𝑒 𝑃𝑜𝑤𝑒𝑟 𝐼𝑛𝑗𝑒𝑐𝑡𝑖𝑜𝑛
𝑃𝑁𝑝
−−−−−−−−−−−−−−−
𝑄1
⋮ } 𝑅𝑒𝑎𝑐𝑡𝑖𝑣𝑒 𝑃𝑜𝑤𝑒𝑟 𝐼𝑛𝑗𝑒𝑐𝑡𝑖𝑜𝑛
𝑄𝑁𝑞
−−−−−−−−−−−−−−−
𝑃𝑓1
⋮ } 𝐴𝑐𝑡𝑖𝑣𝑒 𝑃𝑜𝑤𝑒𝑟 𝐹𝑙𝑜𝑤
𝑃𝑓𝑁𝑝𝑓
𝑍𝑍 = −−−−−−−−−−−−−−−
𝑄𝑓1
⋮ } 𝑅𝑒𝑎𝑐𝑡𝑖𝑣𝑒 𝑃𝑜𝑤𝑒𝑟 𝐹𝑙𝑜𝑤
𝑄𝑓𝑁𝑞𝑓
−−−−−−−−−−−−−−−
𝑉1
⋮ } 𝑉𝑜𝑙𝑡𝑎𝑔𝑒 𝑀𝑎𝑔𝑛𝑖𝑡𝑢𝑑𝑒
𝑉𝑁𝑣
−−−−−−−−−−−−−−−
𝜃1
⋮ } 𝑉𝑜𝑙𝑡𝑎𝑔𝑒 𝑃ℎ𝑎𝑠𝑒 𝑎𝑛𝑔𝑙𝑒
𝜃
[ − −𝑁𝜃 − − − − − − − − − − − − − − ](𝑁𝑣+2𝑁𝑖+2𝑁𝑓 +𝑁𝜃 )𝑥1

In accordance with the measurement vector structure, the form of the Jacobian matrix is:

[ℎ11 ] [ℎ12 ]
[ℎ21 ] [ℎ22 ]
[ℎ ] [ℎ32 ]
H= 31
[ℎ41 ] [ℎ42 ]
[ℎ51 ] [ℎ52 ]
[[ℎ61 ] [ℎ62 ]]

The components of the Jacobian matrix are:

ℎ11 : the derivative of Real Power Injection with respect to Angles

37
 𝜕𝑃𝑖1 𝜕𝑃𝑖1
…
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠
𝜕𝑃𝑖
ℎ11 = = ⋮ ⋱ ⋮ where
𝜕𝜃 𝜕𝑃𝑖𝑁𝑝𝑙 𝜕𝑃𝑖𝑁𝑝𝑙
[ …
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠 ]𝑁𝑝𝑙 𝑥 (𝑁𝑏𝑢𝑠−1)

𝑁𝑏𝑢𝑠
𝜕𝑃𝑖𝑘
= −𝐵𝑘𝑘 |𝑉𝑘 |2 + ∑ |𝑉𝑗 |(−𝐺𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 + 𝐵𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 )
𝜕𝜃𝑘
𝑗=1

𝜕𝑃𝑖𝑘
= |𝑉𝑘 | |𝑉𝑗 |(𝐺𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 − 𝐵𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 )
𝜕𝜃𝑗

ℎ12 : the derivative of Real Power Injection with respect to Voltage Magnitudes
𝜕𝑃𝑖1 𝜕𝑃𝑖1
…
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |
𝜕𝑃𝑖
ℎ12 = = ⋮ ⋱ ⋮ where
𝜕|𝑉| 𝜕𝑃𝑖𝑁𝑝𝑙 𝜕𝑃𝑖𝑁𝑝𝑙
[ …
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |]𝑁𝑝𝑙 𝑥 (𝑁𝑏𝑢𝑠)

𝑛
𝜕𝑃𝑖𝑘
= 𝐺𝑘𝑘 |𝑉𝑘 | + ∑|𝑉𝑗 |(𝐺𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 + 𝐵𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 )
𝜕|𝑉𝑘 |
𝑗=1

𝜕𝑃𝑖𝑘
= |𝑉𝑘 |(𝐺𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 + 𝐵𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 )
𝜕|𝑉𝑗 |

ℎ21 : the derivative of Reactive Power Injection with respect to Angles

𝜕𝑄𝑖1 𝜕𝑄𝑖1
…
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠
𝜕𝑄𝑖
ℎ21 = = ⋮ ⋱ ⋮ where
𝜕𝜃 𝜕𝑄𝑖𝑁𝑞𝑙 𝜕𝑄𝑖𝑁𝑞𝑙
[ …
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠 ]𝑁𝑞𝑙 𝑥 (𝑁𝑏𝑢𝑠−1)

𝑛
𝜕𝑄𝑖𝑘
= −𝐺𝑘𝑘 |𝑉𝑘 |2 + ∑|𝑉𝑗 |(𝐺𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 + 𝐵𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 )
𝜕𝜃𝑘
𝑗=1

𝜕𝑄𝑖𝑘
= −|𝑉𝑘 | |𝑉𝑗 |(𝐺𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 + 𝐵𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 )
𝜕𝜃𝑗

ℎ22 : the derivative of Reactive Power Injection with respect to Voltage

Magnitudes

38
 𝜕𝑄𝑖1 𝜕𝑄𝑖1
…
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |
𝜕𝑄𝑖
ℎ22 = = ⋮ ⋱ ⋮ where
𝜕|𝑉| 𝜕𝑄𝑖𝑁𝑝𝑙 𝜕𝑄𝑖𝑁𝑝𝑙
[ …
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |]𝑁𝑞𝑙 𝑥 (𝑁𝑏𝑢𝑠)

𝑛
𝜕𝑄𝑖𝑘
= −𝐵𝑘𝑘 |𝑉𝑘 | + ∑|𝑉𝑗 |(𝐺𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 − 𝐵𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 )
𝜕|𝑉𝑘 |
𝑗=1

𝜕𝑄𝑖𝑘
= |𝑉𝑘 |(𝐺𝑘𝑗 𝑠𝑖𝑛𝜃𝑘𝑗 − 𝐵𝑘𝑗 𝑐𝑜𝑠𝜃𝑘𝑗 )
𝜕|𝑉𝑗 |

ℎ31 : the derivative of Real Power Flows with respect to Angles

𝜕𝑃𝑓1 𝜕𝑃𝑓1
…
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠
𝜕𝑃𝑓
ℎ31 = = ⋮ ⋱ ⋮ where
𝜕𝜃 𝜕𝑃𝑓𝑁𝑝𝑓 𝜕𝑃𝑓𝑁𝑝𝑓
[ …
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠 ]𝑁𝑝𝑓 𝑥 (𝑁𝑏𝑢𝑠−1)

𝜕𝑃𝑓ℎ𝑘
= |𝑉ℎ | |𝑉𝑘 |(𝐺ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 − 𝐵ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 )
𝜕𝜃ℎ

𝜕𝑃𝑓ℎ𝑘
= −|𝑉ℎ | |𝑉𝑘 |(𝐺ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 − 𝐵ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 )
𝜕𝜃𝑘

ℎ32 : the derivative of Real Power Flows with respect to Voltage Magnitude
𝜕𝑃𝑓1 𝜕𝑃𝑓1
…
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |
𝜕𝑃𝑓
ℎ32 = = ⋮ ⋱ ⋮ where
𝜕|𝑉| 𝜕𝑃𝑓𝑁𝑝𝑓 𝜕𝑃𝑓𝑁𝑝𝑓
[ …
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |]𝑁𝑝𝑓 𝑥 (𝑁𝑏𝑢𝑠)

𝜕𝑃𝑓ℎ𝑘
= −|𝑉𝑘 |(𝐺ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 + 𝐵ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 ) + 2 (𝐺ℎ𝑘 + 𝐵ℎ𝑜 )|𝑉ℎ |
𝜕|𝑉ℎ |

𝜕𝑃𝑓ℎ𝑘
= −|𝑉ℎ |(𝐺ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 + 𝐵ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 )
𝜕|𝑉𝑘 |

ℎ41 : the derivative of Reactive Power Flows with respect to Angles

39
 𝜕𝑄𝑓1 𝜕𝑄𝑓1
…
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠
𝜕𝑄𝑓
ℎ41 = = ⋮ ⋱ ⋮ where
𝜕𝜃 𝜕𝑄𝑓𝑁𝑞𝑓 𝜕𝑄𝑓𝑁𝑞𝑓
[ …
𝜕𝜃2 𝜕𝜃𝑁𝑏𝑢𝑠 ]𝑁𝑞𝑓 𝑥 (𝑁𝑏𝑢𝑠−1)

𝜕𝑄𝑓ℎ𝑘
= −|𝑉ℎ | |𝑉𝑘 |(𝐺ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 + 𝐵ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 )
𝜕𝜃ℎ

𝜕𝑄𝑓ℎ𝑘
= |𝑉ℎ | |𝑉𝑘 |(𝐺ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 + 𝐵ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 )
𝜕𝜃𝑘

ℎ42 : the derivative of Reactive Power Flows with respect to Voltage Magnitudes
𝜕𝑄𝑓1 𝜕𝑄𝑓1
…
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |
𝜕𝑄𝑓
ℎ42 = = ⋮ ⋱ ⋮ where
𝜕|𝑉| 𝜕𝑄𝑓𝑁𝑞𝑓 𝜕𝑄𝑓𝑁𝑞𝑓
[ …
𝜕|𝑉1 | 𝜕|𝑉𝑁𝑏𝑢𝑠 |]𝑁𝑞𝑓 𝑥 (𝑁𝑏𝑢𝑠)

𝜕𝑄𝑓ℎ𝑘
= −|𝑉𝑘 |(𝐺ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 − 𝐵ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 ) − 2 (𝐵ℎ𝑘 + 𝐵ℎ𝑜 )|𝑉ℎ |
𝜕|𝑉ℎ |

𝜕𝑄𝑓ℎ𝑘
= −|𝑉ℎ |(𝐺ℎ𝑘 𝑠𝑖𝑛𝜃ℎ𝑘 − 𝐵ℎ𝑘 𝑐𝑜𝑠𝜃ℎ𝑘 )
𝜕|𝑉𝑘 |

ℎ51 : the derivative of Voltage Magnitudes with respect to Angles

0 … 0
𝜕|𝑉|
ℎ51 = = [⋮ ⋱ ⋮] where all elements are zero
𝜕𝜃
0 … 0 𝑁𝑣 𝑥 (𝑁𝑏𝑢𝑠−1)

ℎ52 : the derivative of Voltage Magnitudes with respect to Voltage Magnitudes

1 0 0 …
𝜕|𝑉| 0 1 0 …
ℎ52 = 𝜕|𝑉| = [ ] where all elements are zero except the diagonal
0 0 1 …
⋮ ⋮ ⋮ ⋱ 𝑁𝑣 𝑥 (𝑁𝑏𝑢𝑠)
elements are ones

ℎ61 : the derivative of PMU voltage angles with respect to Angles

40
 𝜕𝜃 𝑎𝑙𝑙 𝑧𝑒𝑟𝑜𝑠
ℎ61 = = [ 𝑒𝑥𝑐𝑒𝑝𝑡 ]
𝜕𝜃
𝑜𝑛𝑒(−1)𝑖𝑛 𝑒𝑎𝑐ℎ 𝑟𝑜𝑤 𝑁𝜃 𝑥 (𝑁𝑏𝑢𝑠−1)

where in each row there is only a (-1) corresponding to the PMU bus number, the other
elements are zero.

ℎ62 : the derivative of PMU voltage angles with respect to Voltage Magnitudes

0 … 0
𝜕𝜃
ℎ62 = = [ ⋮ ⋱ ⋮] where all elements are zero
𝜕|𝑉|
0 … 0 𝑁𝜃 𝑥 (𝑁𝑏𝑢𝑠−1)

3.3 Modelling the UKF-based Dynamic State Estimation

The UKF is a straightforward extension of the UT. The Unscented Kalman Filter (UKF),
based on theory of unscented transformation (UT) is summarized as:

3.3.1 Mathematical Modelling

(1). System equations of discrete time systems are

𝑥𝑘 = 𝑓𝑘−1 (𝑥𝑘−1 , 𝑢𝑘−1 , 𝑤𝑘−1 )

𝑧𝑘 = 𝑓𝑘 (𝑥𝑘 , 𝑣𝑘 )
(3.18)
𝑤𝑘 ~ (0, 𝑄𝑘 )

𝑣𝑘 ~ (0, 𝑅𝑘 )

Where 𝑄𝑘 is the system noise covariance matrix, and 𝑅𝑘 is the measurement noise
covariance matrix.

(2). Filter initialization

𝑥̂0+ = 𝐸(𝑥0 )

(3.19)
𝑃0+ = 𝐸 [(𝑥 − 𝑥̂0+ )(𝑥 − 𝑥̂0+ )𝑇 ]

41
𝑥̂0+ is the initial state

𝑃0+ is the initial state covariance matrix

The subscript + specifies the posteriori estimate

3.3.2 Parameter Identification

In this step, parameter 𝐹𝑘 and 𝐺𝑘 are identified using Holts linear double exponential
smoothing as explained in 3.2.2 and sigma points are calculated.

Time update equations are used to propagate the state estimate and covariance from one
measurement time to the next.

a. In order to propagate from time step k-1 to k, the sigma points are defined as:
(𝑖) +
𝑥̂𝑘−1 = 𝑥̂𝑘−1 + 𝑥̃ (𝑖) , 𝑖 = 1, … , 𝑛

𝑇
+
𝑥̃ (𝑖) = (√(𝑁 + 𝜆)𝑃𝑘−1 )𝑖 , 𝑖 = 1, … , 𝑛
(3.20)
𝑇
+
𝑥̃ (𝑛+𝑖) = −(√(𝑁 + 𝜆)𝑃𝑘−1 )𝑖 , 𝑖 = 1, … , 𝑛

(𝑖)
b. The sigma points is transformed into 𝑥̂𝑘 vectors using the nonlinear system
equations 𝑓(. ) with suitable changes (because the nonlinear transformation is
𝑓(. ))
(𝑖) 𝑓(.) (𝑖) (𝑖) (𝑖) (3.21)
𝑥̂ 𝑘−1 → 𝑥̂ , 𝑘 𝑥̂ = 𝑓(𝑥̂ , 𝑢 , 𝑡 )
𝑘 𝑘−1 𝑘 𝑘

3.3.3 State Prediction /Forecasting

a). Update sigma points, the prediction state becomes
(𝑖) (3.22)
x̃k = Fk 𝑥̂𝑘 + Gk

(𝑖)
b). Get the a priori state estimate at time k 𝑥̂𝑘− by combining the 𝑥̂𝑘 vectors using
formula
2𝑁
1 (3.23)
(𝑖)
𝑥̂𝑘− = ∑ 𝑥̂𝑘
2𝑁
𝑖=1

42
b). Adding 𝑸𝑘−1 at the end of the equation to estimate the a priori covariance
2𝑁
1 𝑇 (3.24)
(𝑖) (𝑖)
𝑃𝑘− = ∑(𝑥̂𝑘 − 𝑥̂𝑘− ) (𝑥̂𝑘 − 𝑥̂𝑘− ) + 𝐐𝑘−1
2𝑁
𝑖=1

3.3.4 State Correction /Filtering

At this point the time update equations are accomplished the measurement update
equations are then implemented in the last part of UKF algorithm.
(𝑖)
a. Sigma points 𝑥̂𝑘 are chosen with proper changes
(𝑖)
𝑥̂𝑘 = 𝑥̂𝑘− + 𝑥̃ (𝑖) , 𝑖 = 1, … , 2𝑁

𝑇
𝑥̃ (𝑖) = (√(𝑁 + 𝜆)𝑃𝑘− )𝑖 , 𝑖 = 1, … , 𝑁 (3.25)

𝑇
𝑥̃ (𝑛+𝑖) = −(√(𝑁 + 𝜆)𝑃𝑘− )𝑖 , 𝑖 = 1, … , 𝑁

(𝑖)
b. Sigma points are transformed into 𝑍̂𝑘 vectors using the nonlinear measurement
equation ℎ(. )
(𝑖) ℎ(.) (𝑖) (𝑖) (𝑖) (3.26)
𝑍̂ 𝑘 → 𝑥̂ , 𝑍̂ = ℎ(𝑥̂ , 𝑡 )
𝑘 𝑘 𝑘 𝑘

(𝑖)
c. Attain the predicted measurement at time k by combining the 𝑍̂𝑘 vectors
2𝑁
1 (3.27)
(𝑖)
𝑍̂𝑘 = ∑ 𝑍̂𝑘
2𝑁
𝑖=1

d. Taking the measurement noise into account by adding 𝑹𝑘 at the end of the equation
to estimate the covariance of the predicted measurement.
2𝑁
1 𝑇 (3.28)
(𝑖) (𝑖)
−
𝑃𝑧 = ∑(𝑍̂𝑘 − 𝑍̂𝑘 ) (𝑍̂𝑘 − 𝑍̂𝑘 ) + 𝐑 𝑘
2𝑁
𝑖=1

43
e. Estimate the cross covariance between 𝑥̂𝑘− and 𝑍̂𝑘
2𝑁
1 𝑇 (3.29)
(𝑖) (𝑖)
−
𝑃𝑥𝑧 = ∑(𝑥̂𝑘 − 𝑥̂𝑘− ) (𝑍̂𝑘 − 𝑍̂𝑘 )
2𝑁
𝑖=1

f. Perform measurement update of the state estimation using the normal Kalman Filter
equations
𝐾𝑘 = 𝑃𝑥𝑧 𝑃𝑧−1

𝑥̂𝑘+ = 𝑥̂𝑘− + 𝐾𝑘 (𝑍𝑘 − 𝑍̂𝑘 )

(3.30)
𝑃𝑘+ = 𝑃𝑘− − (𝐾𝑘 𝑃𝑧 𝐾𝑘𝑇 )

Where

𝐾𝑘 is the Kalman gain matrix

𝑥̂𝑘+ is the state estimate

𝑃𝑘+ is the estimation error covariance matrix.

44
 Initial covariance and state vector

Calculation of Generating sigma

weighs points

Sigma points propagation:

Calculate the mean and
covariance of the transformed
sigma points

Predict
/ Time
Update
State, measurement, and
covariance: Transform
the sigma points according to
process & measurement model

Estimation/Measurement update:
State and Covariance update

k=k+1
Figure 3- 6 Flowchart operation of UKF
Figure 3-6 Flowchart operation of UKF

45
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46
 Chapter 4
The Formulation of Distributed-Dynamic
State Estimation

4. 1 The structure of the network

The structure of the network configuration in distributed state estimation is determined

by decomposition technique. A decomposition technique is used to decompose a large
power system into number of subsystems. There are several ways of doing it, in this
research the non-overlapping decomposition technique is employed.

The subsystems are connected each other through tie-lines, and the information between
subsystems is only exchanged via tie-lines. Each subsystem is treated as an independent
one, and the state estimation in each subsystem is also performed individually.

For non-overlapping decomposition technique, each bus of the network must belong to
only one area/subsystem. In each subsystem, there are two kinds of buses:

a. Internal buses: buses which are not terminals of tie-lines

b. Boundary buses: terminal buses of tie-lines

This is illustrated in figure 4-1.

As a consequence, the measurement is also classified as:

a. Internal measurements: measurements at the internal buses and internal

branches
b. Boundary measurements: measurements at the boundary buses

In this research there is at least one PMU is installed in each subsystem.

The measurement vector at this level is decomposed as follows

𝑍 = [𝑍1𝑇 , 𝑍2𝑇 , … , 𝑍𝑘𝑇 , 𝑍𝑢𝑇 ]𝑇

Where

𝑍𝑖 : the measurement vector of the ith subsystem (i=1,2,3, … , k). It consists of all types of
measurements available in ith area

47
𝑍𝑢 : the measurement vector of the interconnection area. It comprises the active and / or
reactive power flows in the interconnection tie-lines.

Subsystems I Subsystems II

Tie Line
Boundary buses Internal buses

Figure 4- 1 Boundary 4-
buses
1 and internal buses

4.2 First level state estimation / Local State estimation

The state estimation at the first level state estimation in this thesis is done for the internal
variables and performed by dynamic state estimation (EKF-based DSE or UKF-based DSE)
as explained in Chapter 3. The result of a local state estimation provides an estimated
state for each area i-th:
𝑇
𝑥̂𝑖 = (𝑥̂𝑐𝑖𝑇 , 𝑥̂𝑟𝑖𝑇 ) 𝑖 = 1,2, … , 𝑘 (4.1)

Where

48
𝑥̂𝑐𝑖𝑇 = ( 𝑥̂𝑐1𝑇 , 𝑥̂𝑐2𝑇 , … , 𝑥̂𝑐𝑘𝑇 ) : associated to the boundary buses state (voltage magnitudes
and phase angles) for the whole systems

𝑥̂𝑟𝑖𝑇 = (𝑥̂𝑟1𝑇 , 𝑥̂𝑟2𝑇 , … , 𝑥̂𝑟𝑘𝑇 ) : refers to the internal buses state (voltage magnitudes and phase
angle) for the whole systems.

4.3 Second Level State Estimation / Coordinator Level State estimation

The purpose of the second level is to estimate the power exchanges between subsystems.
The state composite vector is re estimated and the vector with phase angles at slack bus is
estimated. Therefore, this method reduces the time needed for transmission of data and saves
time since only smaller data have to be transferred between the first and the second level.

In this research the coordinator level is performed by WLS, which divided into two parts.

4.3.1 Coordinator vector

The coordinator forms a coordinator vector of slack bus angles of all the reference buses
in each subsystem. The coordinator vector is defined as

𝑈 = {𝑈2 , 𝑈3 , … , 𝑈𝑘 }𝑇 (4.2)

Where 𝑈𝑖 is the voltage angle of slack bus of area “i”

4.3.2 The borders state

The measurement vector at the border state is composed of the active and reactive power
flows in the tie line and pseudo measurement vector 𝑥𝑐 .

𝑍𝑐 = ℎ𝑐 (𝑥𝑐 , 𝑢) + 𝑣𝑐 (4.3)

Interconnection (𝑘 + 1)th:

𝑥𝑐 = [𝑥𝑐1𝑇 , 𝑥𝑐2𝑇 , … , 𝑥𝑐𝑘𝑇 ]𝑇 (4.4)

At second level

State vector at the second level is described as

𝑥𝑠 = [𝑢𝑇 , 𝑥𝑐𝑇 ]𝑇 (4.5)

While the measurement vector is

49
 𝑇
𝑍𝑠 = [𝑍𝑢𝑇 , 𝑋̂𝑐𝑇 ] (4.6)

Where

𝑍𝑢 = the dimensional measurement vector, and consists of the active and reactive power
flow of tie-line measurement.

𝑋̂𝑐 = the value of 𝑋𝑐 (consists of voltage magnitudes and phase angles of the ith
subsystem's boundary nodes) from state estimation result of all subsystems. It is
considered as pseudo measurement as they are not standard measurement.

Adjusting the general relationship, the equation become

𝑋𝑠 = ℎ𝑠 (𝑋𝑠 ) + 𝑣𝑠 (4.7)

𝑍𝑢 ℎ (𝑢, 𝑋𝑐 ) 𝑣𝑢 (4.8)
[̂ ]=[ 𝑐 ] + [𝑣 ]
𝑋𝑐 𝑋𝑐 𝑐

For the interconnection power flow, it is assumed that:

𝐸(𝑣𝑢 ) = 0
2 (4.9)
𝐸(𝑣𝑢 − 𝑣𝑢𝑇 ) = 𝑅𝑢 = 𝑑𝑖𝑎𝑔(𝜎𝑢𝑖 )

Regarding the pseudo measurement vector it is also assumed that

𝐸(𝑣𝑐 ) = 0
(4.10)
𝐸(𝑣𝑐 − 𝑣𝑐𝑇 ) = 𝑅𝑐 = 𝑑𝑖𝑎𝑔(𝜎𝑐𝑖2 )

The overall covariance matrix at second level is

𝑅𝑢 0 (4.11)
𝑅= [ ]
0 𝑅𝑐

The Static State Estimation Algorithm at the second level/Coordinator level

The quadratic criterion is

Js (Xs ) = [Zs − hs (Xs )]T R−1

s [Zs − hs (X s )] (4.12)

Minimized it with respect to Xs

50
 𝜕𝐽𝑠
𝑋𝑠 = | =0
𝜕𝑋𝑠 𝑋 =𝑋̂
𝑠 𝑠 (4.13)
−2𝐻𝑠 𝑅𝑠−1 [𝑍𝑠 − ℎ𝑠 (𝑋̂𝑠 )] = 0

Where the second level Jacobian matrix, is defined as

∂hu ∂hu (4.14)

∂hu ∂u ∂xc H Hc
Hs = = =[ u ]
∂xs ∂xc ∂xc 0 I
[ ∂u ∂xc ]

Where I = the identity matrix

After linearization, the equation (4.13) become

xs (l + 1) = xs (l) + Gs−1 (l). g s (l) l = 0,1,2, … (4.15)

Where

Gs (l) ≜ HsT (l)R−1

s Hs (l)

(4.16)
g s (l) ≜ HsT (l)R−1
s [Zs − hs (X s )]

4.3.3 The construction of Jacobian matrix at Coordination level

Consider two areas Ai and Aj and a tie-line connecting the boundary nodes 𝑛𝑏𝑖 (belongs
to Ai) and 𝑛𝑏𝑗 (belongs to Aj). As shown in figure 4-2, this tie line will be represented by
classical π equivalent.

The active power 𝐏𝐢𝐣 and reactive power 𝐐𝐢𝐣 can be expressed as

Pij = Gi Ei2 − Aij Ei Ej

(4.17)
Qij = −Bi Ei2 − Dij Ei Ej

Where 𝐺𝑖 and 𝐵𝑖 are related to the 𝑌𝑖𝑗 and 𝑌𝑖 admittances by

Yij + Yi = Gi + jBi (4.18)

Aij and Bij are determined by

51
 Aij = Gij cos(𝜃𝑖 − 𝜃𝑗 ) + Bij sin(𝜃𝑖 − 𝜃𝑗 )
(4.19)
Dij = Bij cos(𝜃𝑖 − 𝜃𝑗 ) − Gij sin(𝜃𝑖 − 𝜃𝑗 )

With

Bij = 𝑖𝑚(𝑌𝑖𝑗 ); Gij = 𝑟𝑒(𝑌𝑖𝑗 ) (4.20)

Ei , Ej is the voltage magnitude at nodes 𝑛𝑏𝑖 and 𝑛𝑏𝑗

𝜃𝑖 , 𝜃𝑗 are the absolute phase angles of the voltages with respect to the slack bus area A1.

Denote 𝜃𝑖′ 𝜃𝑗′ the relative phase angles, i.e the angles related to the slack busses of the
corresponding areas. It can be defined as

𝜃𝑖′ = 𝜃𝑖 − 𝑢𝑖

𝜃𝑗′ = 𝜃𝑗 − 𝑢𝑗

By using expression (4.17) - (4.20) the nonzero element of matrix 𝐻𝑢 can be described
as

𝜕𝑃𝑖𝑗 𝜕𝑃𝑖𝑗 𝜕𝑃𝑖𝑗

= −𝐷𝑖𝑗 𝐸𝑖 𝐸𝑗 = 𝐷𝑖𝑗 𝐸𝑖 𝐸𝑗 = −
𝜕𝑢𝑖 𝜕𝑢𝑗 𝜕𝑢𝑖

𝜕𝑄𝑖𝑗 𝜕𝑄𝑖𝑗 𝜕𝑄𝑖𝑗 (4.21)

= −𝐴𝑖𝑗 𝐸𝑖 𝐸𝑗 = 𝐴𝑖𝑗 𝐸𝑖 𝐸𝑗 = −
𝜕𝑢𝑖 𝜕𝑢𝑗 𝜕𝑢𝑖

The construction of the 𝑔𝑐 vector

The vector is defined as

𝜕𝐽𝑐 (4.22)
𝑔𝑐 = = −𝐻𝑐𝑇 𝑅𝑐−1 𝑍𝑐 − ℎ𝑐 (𝑥𝑐 , 𝑢)
𝜕𝑥𝑐

Where

𝜕ℎ𝑐 (4.23)
𝐻𝑐 =
𝜕𝑥𝑐

52
Using expressions (4.17) – (4.20) and (4.23) the nonzero elements of the 𝐻𝑐 matrix are
𝜕𝑃𝑖𝑗
= 2𝐺𝑖 𝐸𝑖 − 𝐴𝑖𝑗 𝐸𝑖
𝜕𝐸𝑖

𝜕𝑃𝑖𝑗
= −𝐴𝑖𝑗 𝐸𝑖
𝜕𝐸𝑗

𝜕𝑃𝑖𝑗 𝜕𝑃𝑖𝑗
= = −𝐷𝑖𝑗 𝐸𝑖 𝐸𝑗
𝜕𝜃𝑖′ 𝜕𝑢𝑖

𝜕𝑃𝑖𝑗 𝜕𝑃𝑖𝑗 𝜕𝑃𝑖𝑗

= = 𝐷𝑖𝑗 𝐸𝑖 𝐸𝑗 = −
𝜕𝜃𝑗′ 𝜕𝑢𝑗 𝜕𝑢𝑖

𝜕𝑄𝑖𝑗
= −2𝐵𝑖 𝐸𝑖 + 𝐷𝑖𝑗 𝐸𝑖
𝜕𝐸𝑖

𝜕𝑄𝑖𝑗
= 𝐷𝑖𝑗 𝐸𝑖
𝜕𝐸𝑗

𝜕𝑄𝑖𝑗 𝜕𝑄𝑖𝑗
= = −𝐴𝑖𝑗 𝐸𝑖 𝐸𝑗
𝜕𝜃𝑖′ 𝜕𝑢𝑖

𝜕𝑄𝑖𝑗 𝜕𝑄𝑖𝑗 𝜕𝑄𝑖𝑗

= = 𝐴𝑖𝑗 𝐸𝑖 𝐸𝑗 = −
𝜕𝜃𝑗′ 𝜕𝑢𝑗 𝜕𝑢𝑖

Figure 4- 2 π equivalent of tie line connecting boundary nodes n_bi and n_bj

53
4.4 Distributed –Dynamic State Estimation

A comparison study on the implementation of Integrated–Dynamic State Estimation

(IDSE) and Distributed-Dynamic State Estimation (DDSE) will be performed. Both
algorithms will be run under the same measurement pool.

The general algorithm steps are summed up as follows:

a. Generate a measurement set, for the measurement pool to both algorithms.

 Running the Load Flow for the whole systems.
The outputs from this operation cannot be considered as the input
measurement of state estimation as it does not have noise like in real
measurements. From this operation, we get the true value of the system.
 Adding noise to the load flow outputs to form a measurement data of the
whole system. These errors are assumed to be dependent on the type of the
measurement device. This noise will change every each iteration when the
program is running based on the generation of normal distribution.

b. Preparing the measurement data for Distributed-Dynamic State Estimation

algorithm. The measurement data is split into sub-measurement group data;
depend on the number of subsystems that has been determined in the
decomposition of the network.

c. Running the Integrated-Dynamic State Estimation, utilizing EKF-based DSE or

UKF-based DSE.

d. In parallel with c. running the Distributed-Dynamic State Estimation,

 Local Dynamic State Estimation: Each subsystem has its own local reference
bus angle, runs the DSE program separately.
 State estimation at Coordinator level / Interconnection between subsystems
 Take the estimated state value of border buses from the output of local
dynamic state estimation to form a coordinator state vector, this also
considered as pseudo-measurement.
 Form a measurement vector at interconnection area: consists of the
measurement value located at the border bus, tie-line, and the pseudo-
measurement.
 Running Static State Estimation at coordinator level
 The final outputs of the distributed-dynamic state estimation consist of the
combination of the output from the dynamic state estimation at local level and
static state estimation at coordinator level.

This algorithm can be illustrated in flowchart at figure 4-3.

54
 Running Load Flow

for the whole system

Add Noise

to Load Flow output

Run Integrated DSE Run Distributed DSE

EKF-based DSE

UKF- based DSE

Subsystem 1 Subsystem 2

EKF-based DSE EKF-based DSE

Output
UKF- based DSE
UKF- based DSE
Integrated DSE

Run Static SE

at Coordinator Level

Output

Distributed DSE

Figure 4- 3 Flowchart of the simulation program

55
 Chapter 5
Simulation and Result

5. 1 Test Network and Measurement Placement

Simulations are carried out in an IEEE 14-bus test system to demonstrate the validity and
advantages of the algorithm.

Figure 5- 1 IEEE 14 bus system as the test network

The system is split into 2 subsystems.

a. Subsystems 1: consists of bus 1,2,3,4,5,6,7,8 with bus 1 as a local slack bus for its
own area and also as the global slack bus.

56
 b. Subsystems 2: consist of bus 9,10,11,12,13,14 with bus 9 as a local slack bus of
subsystems 2.

Therefore the boundary buses are: 4,6,7,9,11,12,12 and the tie-lines are 4-9, 7-9, 6-11, 6-
12, 6-13. This test network partition is illustrated in Figure 5-2.

Figure 5- 2 The partition of IEEE 14 bus systems into 2 subsystems

The measurement locations on bus are illustrated on Table 5-1. There are 3 cases which
shows the utilization number of PMU in the system, for Case 1 only 2 PMUs are set up in
the system, while Case II = 3 PMUs and Case III = 4 PMUs are installed in the system.

57
 Table 5- 1 Bus Measurement Location

Type of Measurements Case I Case II Case III

Bus Number Measurement Locations
Active Power 2,3,5,8,10,14 2,3,5,8,10,14 2,3,5,8,10,14
Injection Pi
Reactive Power 2,3,5,8,10,14 2,3,5,8,10,14 2,3,5,8,10,14
Injection Qi
Active Power 1-2, 2-3, 4-5, 4-7, 1-2, 2-3, 4-7, 1-2, 2-3, 4-7,
Flow Pf 4-9,5-6, 6-11, 6- 4-9,5-6, 6-11, 6- 4-9,5-6, 6-11, 6-
12, 9-14, 10-11, 12, 9-14, 10-11, 12, 9-14, 10-11,
12-13 12-13 12-13
Reactive Power 1-2, 2-3, 4-5, 4-7, 1-2, 2-3, 4-7, 1-2, 2-3, 4-7,
SCADA

Injection Qf 4-9,5-6, 6-11, 6- 4-9,5-6, 6-11, 6- 4-9,5-6, 6-11, 6-

12, 9-14, 10-11, 12, 9-14, 10-11, 12, 9-14, 10-11,
12-13 12-13 12-13
Voltage 1,6,13 1,11,13 1
Magnitude V
Voltage 2,9 2,6,9 2,6,9,13
PMU

magnitude
Voltage angle 2,9 2,6,9 2,6,9,13

Some considerations used in this simulation are:

 The two previous state vectors is assumed to be known in order to initialize the
forecasting algorithm
 At the beginning, the Kalman filters are a flat start condition, in which the phase
angles on all buses is assumed to be zero while the voltage magnitude is assumed
to be 1 p.u
 To address the issue of difference delivery data speed between PMU and SCADA,
in this simulation it is assumed that PMU data is always available at the time when
SCADA data is available.
 In order to make the simulation more realistic, at each iteration the random zero-
mean normal distribution is added to each bus. The calculation of Newton load
flow is performed to update the voltage magnitudes, phase angles, line flows of the
systems.

58
5.2 Results

5.2.1 EKF-based DSE in Integrated System and Split/Distributed System

Figure 5-3 to figure 5-8 shows the variation plot of error state estimation when using
EKF-based DSE (integrated and split system), The percentage error state estimation is
calculated using the formula:

||𝑋𝑡𝑟𝑢𝑒 | − |𝑋̂𝑒𝑠𝑡 ||
𝐸𝑟𝑟𝑜𝑟 = 𝑥 100%
|𝑋𝑡𝑟𝑢𝑒 |

From the simulation result, it can be seen that generally the errors are small (less than
1%) and configuration with more PMU installed will have less error value. In buses
where PMU is installed (2,6,9,13), the errors tend to be smaller than buses without PMU.

In the border buses (4,6,7,9,11,12,13) the voltage error for the split systems is higher
than the same buses for integrated systems. Especially in the border buses where no PMU
is installed (for example bus 4,7,11, and 12), mostly the difference tends to be higher. This
can be explained with the algorithm used in the simulation:

At integrated system, the whole part is executed using the EKF-based DSE. While in the
split/distributed system, the EKF-based DSE operates at the local state estimator, while
at the coordinator the state estimation is carried out by using standard WLS static state
estimation which has less accuracy than dynamic state estimation according to some
literature.

If we compare the percentage of error between the integrated system and split system,
for instance Figure 5-3 and Figure 5-4, it can be observed that the error percentage value
is not much difference between those two systems.

While in term of time spent for the estimation execution, the integrated system take
longer time than the split systems. For example: from the execution of the program in
Matlab, it is recorded that in order to do 4 iterations, the elapsed time of the EKF-based
DSE implementation for the integrated systems is 0.667638 seconds compare to the split
system (elapsed time is 0.176122 seconds). It is obvious, as in the split system the state
estimation process is carried out by each smaller subsystem in parallel, hence enhancing
the computational speed.

59
 % Error State for Integrated System(EKF-based DSE) with 2 PMUs % Error State for Split System(Dist. EKF-based DSE) with 2 PMUs
0.35 0.4
Voltage Magnitude Error Voltage Magnitude Error
Voltage Angle Error 0.35 Voltage Angle Error
0.3

0.3
0.25

0.25
Error Value (%)

Error Value (%)

0.2

0.2
0.15
0.15

0.1
0.1

0.05
0.05

0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Bus Number Bus Number

a b

% Error State for Integrated System(EKF-based DSE)with 3 PMUs % Error State for Split System(Dist. EKF-based DSE) with 3 PMUs
0.7 0.7
Voltage Magnitude Error Voltage Magnitude Error
Voltage Angle Error Voltage Angle Error
0.6 0.6

0.5 0.5
Error Value (%)

Error Value (%)

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Bus Number Bus Number

c d

% Error State for Integrated System(EKF-based DSE) with 4 PMUs % Error State for Split System(Dist. EKF-based DSE)with 4 PMUs
0.5 0.45
Voltage Magnitude Error Voltage Magnitude Error
0.45 Voltage Angle Error 0.4 Voltage Angle Error

0.4
0.35
0.35
0.3
Error Value (%)

Error Value (%)

0.3
0.25
0.25
0.2
0.2
0.15
0.15

0.1 0.1

0.05 0.05

0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Bus Number Bus Number

e f

Figure 5- 3 Percentage of Error State utilizing EKF-based DSE

60
Figure 5-4 (a and c) shows the state estimator output compare to its state variable while applying
EKF-based DSE: voltage angle during state estimation in the length of 200 iteration. The green
mark is the state variable (true value) of the voltage angle at bus 6, while the red dots is the state
estimator output voltage angle at bus 6. Since PMU is installed at bus 6, the value of state estimator
output tends to be constant during iteration.

While from figure 5-4.b it can be observed that the state estimator output (Voltage magnitude,
red dots) converged with the value of state variable at longer period than in Figure 5-4 d. because
at the case in Figure 5-4.d the state estimation is held in a distributed scheme so it takes faster to
converge.

% Voltage angle variable bus 6(pmu)vs Estimator(integrated EKF-based DSE) % Voltage magnitude variable bus 6(pmu)vs Estimator(integrated EKF-based DSE)
-0.248 1.25

-0.2481 1.2

-0.2481 1.15
Voltage Magnitude (p.u)
Voltage angle (rad)

-0.2482 1.1

-0.2483 1.05

-0.2483 1

-0.2483 0.95
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

a b

% Voltage angle variable bus 6 (pmu)vs Estimator(dist. EKF-based DSE) % Voltage magnitude variable bus 6 (pmu)vs Estimator(dist. EKF-based DSE)
-0.2481 1.08

1.06
-0.2482

1.04
Voltage Magnitude (p.u)

-0.2482
Voltage angle (rad)

1.02
-0.2483
1

-0.2483
0.98

-0.2484
0.96

-0.2484 0.94
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

c d

Figure 5- 4 Single State Variable (with PMU) vs state estimator output EKF-based DSE

61
Figure 5-5 a & c shows the voltage angle variable vs its state estimator. Since it measures
at the bus with no PMU then since the beginning there it has quite variation value. In this
case the voltage angle in integrated system (Figure 5-5a) tends faster to converged than
in distributed system (5-5d).

Figure 5-5 b & d also shows the same normal situation that the voltage magnitude in
distributed system (Figure 5-5d) converged faster than in integrated system (Figure 5-
5b).

% Voltage angle variable bus 11(no pmu)vs Estimator(integrated EKF-based DSE) % Voltage magnitude variable bus 11( no pmu)vs Estimator(integrated EKF-based DSE)
-0.1 1.2

1.15
-0.15
Voltage Magnitude (p.u) 1.1
Voltage Angle (rad)

1.05
-0.2

-0.25
0.95

0.9
-0.3

0.85

-0.35 0.8
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

a b

% Voltage angle variable bus 11 (no pmu)vs Estimator(dist. EKF-based DSE) % Voltage magnitude variable bus 11 (no pmu)vs Estimator(dist. EKF-based DSE)
-0.18 1.5

-0.2 1.4

-0.22
1.3
Voltage Magnitude (p.u)

-0.24
Voltage angle (rad)

1.2
-0.26
1.1
-0.28

1
-0.3

-0.32 0.9

-0.34 0.8
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

c d

Figure 5- 5 Single State Variable (without PMU) vs state estimator output EKF-based DSE

62
5.2.2 UKF-based DSE in Integrated System and Split/Distributed System
% Error State for Integrated System(UKF-based DSE) with 2 PMUs % Error State for Split System(Dist. UKF-based DSE) with 2 PMUs
0.35 0.35
Voltage Magnitude Error Voltage Magnitude Error
Voltage Angle Error Voltage Angle Error
0.3 0.3

0.25 0.25
Error Value (%)

Error Value (%)

0.2 0.2

0.15 0.15

0.1 0.1

0.05 0.05

0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Bus Number Bus Number

a b

% Error State for Integrated System(UKF-based DSE)with 3 PMUs % Error State for Split System(Dist. UKF-based DSE) with 3 PMUs
0.7 0.7
Voltage Magnitude Error Voltage Magnitude Error
Voltage Angle Error Voltage Angle Error
0.6 0.6

0.5 0.5
Error Value (%)

Error Value (%)

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Bus Number Bus Number

c d

% Error State for Integrated System(UKF-based DSE) with 4 PMUs % Error State for Split System(Dist. UKF-based DSE)with 4 PMUs
0.4 0.4
Voltage Magnitude Error Voltage Magnitude Error
0.35 Voltage Angle Error 0.35 Voltage Angle Error

0.3 0.3

0.25 0.25
Error Value (%)

Error Value (%)

0.2 0.2

0.15 0.15

0.1 0.1

0.05 0.05

0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 5 6 7 8 9 10 11 12 13 14
Bus Number Bus Number

e f

Figure 5- 6 Percentage of Error State utilizing UKF-based DSE

63
Figure 5-6 shows the variation plot of error state estimation when applying UKF-based
DSE in integrated and split system. The percentage error state estimation is also gain
from the same formula as in 5.2.1. From the simulation result, it can be seen that generally
it does not give much difference as the result in previous algorithm (EKF-based DSE),
such as:

 The errors are also relatively small (less than 1%)

 Configuration with more PMU installed has less error value.
 Buses with PMU has less error value than bus without PMU
 Error at border buses also has the same indication as the case in EKF-based DSE.
 Comparison between Integrated and Split systems also shows not much difference
in the error state estimate value, and the computing time for split system is still
also better than in the integrated system.

% Voltage angle variable bus 6(pmu)vs Estimator(integrated UKF-based DSE) % Voltage magnitude variable bus 6(pmu)vs Estimator(integrated UKF-based DSE)
-0.1 1.14

1.13
-0.15

1.12
-0.2
1.11
Voltage Magnitude (p.u)
Voltage angle (rad)

-0.25 1.1

-0.3 1.09

1.08
-0.35
1.07

-0.4
1.06

-0.45 1.05
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

a b

% Voltage angle variable bus 6 (pmu)vs Estimator(dist. UKF-based DSE) % Voltage magnitude variable bus 6 (pmu)vs Estimator(dist. UKF-based DSE)
-0.1 1.13

-0.15 1.12

1.11
-0.2
Voltage Magnitude (p.u)

1.1
Voltage angle (rad)

-0.25
1.09
-0.3
1.08

-0.35
1.07

-0.4 1.06

-0.45 1.05
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

c d

Figure 5- 7 Single State Variable (with PMU) vs state estimator output UKF-based DSE

64
Between sets of picture in Figure 5-7 and 5-8, there is similarity pattern, the voltage magnitude
(Figure 5-7 b& d and Figure 5-8b & d) scatteres more than the estimator output of voltage angle
(Figure 5-7 a&c and Figure 5-8) which tends to be constant after quite dynamic movement at the
beginning.

% Voltage angle variable bus 11(no pmu)vs Estimator(integrated UKF-based DSE) % Voltage magnitude variable bus 11( no pmu)vs Estimator(integrated UKF-based DSE)
-0.1 1.075

1.07

-0.15
1.065

1.06

Voltage Magnitude (p.u)

Voltage Angle (rad)

-0.2
1.055

1.05
-0.25
1.045

1.04
-0.3

1.035

-0.35 1.03
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

a b

% Voltage angle variable bus 11 (no pmu)vs Estimator(dist. UKF-based DSE) % Voltage magnitude variable bus 11 (no pmu)vs Estimator(dist. UKF-based DSE)
-0.1 1.11

1.1

-0.15 1.09

1.08
Voltage Magnitude (p.u)
Voltage angle (rad)

-0.2 1.07

1.06

-0.25 1.05

1.04

-0.3 1.03

1.02

-0.35 1.01
0 20 40 60 80 100 120 140 160 180 200 0 20 40 60 80 100 120 140 160 180 200
Iteration Iteration

c d

Figure 5- 8 Single State Variable (without PMU) vs state estimator output UKF-based DSE

65
5.2.3 EKF-based DSE vs UKF-based DSE

The comparison of the performances of EKF and UKF can be made based on the following
performance indices.

The estimation error at time instant k is defined as

𝑁
1
ξ𝑘 = ∑|𝑋𝑘𝑖 − 𝑋̂𝑘𝑖 |
𝑁
𝑖=1

Where N is the number of states, X is the true value of the state vector, 𝑋̂ is the estimated
state vector.

The overall estimation error can be formulated using

𝑘𝑚𝑎𝑥
1
ξ= ∑ ξ𝑘
𝑘𝑚𝑎𝑥
𝑘=1

Using the same formula, the estimation error for state variables (voltage magnitude and
voltage angle) are calculated as
𝐾𝑚𝑎𝑥 𝑁
1 1
ξ𝜃 = ∑ [ ∑|𝜃𝑘𝑖 − 𝜃̂𝑘𝑖 |]
𝐾𝑚𝑎𝑥 𝑁
𝑘=1 𝑖=1

𝐾𝑚𝑎𝑥 𝑁
1 1
ξ𝑣 = ∑ [ ∑|𝑉𝑘𝑖 − 𝑉̂𝑘𝑖 |]
𝐾𝑚𝑎𝑥 𝑁
𝑘=1 𝑖=1

The result is shown in Table 5-2.

From the result of the performance indices calculation, it can be seen that:

For the overall estimation error & estimation error of state variable Voltage Magnitude,
EKF-based DSE give slightly higher performance index value than UKF-based DSE.

For the estimation error of state variable Voltage angle, there is a significant difference
between the 2 algorithms. The UKF-based DSE gives higher value (almost twice) than the
estimation error value from EKF-based DSE.

Therefore, it can be inferred that the implementation of EKF-based DSE and UKF-based
DSE in this simulation shows almost the same performance in general.

66
 Table 5- 2 Performance Indices (PI) Value

Integrated System
PI 2 PMU 3 PMU 4 PMU
EKF UKF EKF UKF EKF UKF
ξ 0.0012 0.0011 0.0015 0.0011 0.0015 0.0011
𝜉𝜃 5.4137e-04 9.7287e-04 4.8956e-04 4.4245e-04 9.3972e-04
8.8968e-04
𝜉𝑣 0.0018 0.0012 0.0024 0.0014 0.0025 0.0013
Split/Distributed System
PI 2 PMU 3 PMU 4 PMU
EKF UKF EKF UKF EKF UKF
ξ 0.0018 0.0011 0.0032 0.0012 0.0014 0.0012
𝜉𝜃 0.0011 9.2520e-04 0.0013 8.8840e-04 5.6777e-04 8.6092e-04
𝜉𝑣 0.0024 0.0013 0.0050 0.0015 0.0021 0.0015

67
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68
 Chapter 6
Conclusion and Future Works

6. 1 Conclusion

As verified by the simulation results, the implementation of UKF-based DSE algorithm is

very promising method. For non-linear models, UKF-based DSE gives better
approximation than EKF-based DSE, but the differences are small in this research
implementation.

In general, UKF-based DSE gives the same complexity as EKF-based DSE. UKF-based DSE
still requires Gaussian Distribution and EKF-based DSE has to calculate Jacobians.

The implementation of static state estimation algorithm at the coordinator level in this
research is chosen for the purpose of practical implementation. However its performance
is not optimal as it decreases the accuracy of the whole state estimation process.

The simulation result has also shown that more PMU installed has given better accuracy
on the state estimation process.

In the distributed-dynamic state estimation algorithm, more PMU installed at the tie-line
will give better state estimation performance because it plays role in the coordinator
process which has impact on the whole system. When PMU is install inside a subsystem
(internal bus), it is only responsible for the state estimation accuracy of that particular
subsystem.

The computational time for integrated dynamic state estimation is longer than the
distributed dynamic state estimation, because in distributed dynamic state estimation,
the estimation task is done by sub systems in parallel, therefore improve efficiency.

6.2 Recommendation for future works

The research can be expanded not only operates under normal operating condition but
involves various different cases, such as: when bad data is available (to see the ability of
the state estimation in handling bad data), when there is sudden load changes in the
system, or topology error condition.

69
The research can be conducted for the future demand on state estimation, that is: the
flexibility to incorporate multiple types of input data, e.g. estimators capable of
integrating both analogue and digital inputs and also incorporating measurement data
from a wide-range of diverse sources, e.g. SCADA, PMU, smart metering, DG units, etc.

If the installation of PMU at all border buses (tie-line) can be fulfilled, then it is important
to find better algorithms other than standard WLS static state estimation to be
implemented at coordinator level.

Extend Kalman Filter techniques to improve its robustness in order to deal with low data
quality and noise model.

Develop realistic model to apply and testing the algorithm using field measurement data
from real systems.

Research on how to speed up the computational time and reduce computational

requirement, with estimation accuracy still acceptable

As there is a different measurement data speed between SCADA and PMU, it is important
to find the best technique to handle synchronization data between those two
measurement devices.

70
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73
Appendix A: Data Sheet IEEE 14 bus System

Table A.1: Line data – IEEE 14 bus system

Line From To Line impedance (p.u) Half line charging MVA

Number bus bus Resistance Reactance Susceptance (p.u) rating
1 1 2 0.01938 0.05917 0.02640 120
2 1 5 0.05403 0.22304 0.02190 65
3 2 3 0.04699 0.19797 0.01870 36
4 2 4 0.05811 0.17632 0.02460 65
5 2 5 0.05695 0.17388 0.01700 50
6 3 4 0.06701 0.17103 0.01730 65
7 4 5 0.01335 0.04211 0.00640 45
8 4 7 0 0.20912 0 55
9 4 9 0 0.55618 0 32
10 5 6 0 0.25202 0 45
11 6 11 0.09498 0.1989 0 18
12 6 12 0.12291 0.25581 0 32
13 6 13 0.06615 0.13027 0 32
14 7 8 0 0.17615 0 32
15 7 9 0 0.11001 0 32
16 9 10 0.03181 0.0845 0 32
17 9 14 0.12711 0.27038 0 32
18 10 11 0.08205 0.19207 0 12
19 12 13 0.22092 0.19988 0 12
20 13 14 0.17093 0.34802 0 12

Table A.2: Capacity and Cost Coefficients – IEEE bus system

Generator 𝑃𝑖𝑚𝑖𝑛 𝑃𝑖𝑚𝑎𝑥 𝑎𝑖 𝑏𝑖 𝑐𝑖

($/(MWhr) 2) ($/(MWhr) 2)
number (MW) (MW) ($/hr)
G1 10 160 0.005 2.450 105.000
G2 20 80 0.005 3.510 44.100
G3 20 50 0.005 3.890 40.600

Table A.3: Transformer tap setting data – IEEE 14 bus system

From bus To bus Tap setting value (p.u)

4 7 0.978
4 9 0.969
5 6 0.932

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 Table A.4: Bus data – IEEE 14 bus system

Reactive
Bus voltage Generation Load
Power Limit
Bus
Phase Real Reactive Real Reactive
Number Magnitude Qmin Qmax
Angle Power Power Power Power
(p.u) (MVAR) (MVAR)
(degree) (MW) (MVAR) (MW) (MVAR)
1 1.060 0 111.17 -16.90 0 0 0 10
2 1.045 0 40.00 0 21.7 12.7 -42.0 50.0
3 1.010 0 0 0 94.2 19.1 23.4 40.0
4 1 0 0 0 47.8 -3.9
5 1 0 0 0 7.6 1.6
6 1 0 0 0 11.2 7.5
7 1 0 0 0 0 0
8 1 0 0 0 0 0
9 1 0 0 0 29.5 16.6
10 1 0 0 0 9.0 5.8
11 1 0 0 0 3.5 1.8
12 1 0 0 0 6.1 1.6
13 1 0 0 0 13.8 5.8
14 1 0 0 0 14.9 5.0

Table A.5: Shunt capacitor data – IEEE 14 bus system

Bus Number Susceptance (p.u)

9 0.19

75