IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO.

4, NOVEMBER 2005 1783

An Aggregate Weibull Approach for Modeling

Short-Term System Generating Capacity
C. Lindsay Anderson and Matt Davison

Abstract—Deregulation of electricity markets is occurring all

over the world. This trend introduces new risks and uncertainties
into the electricity industry, the most significant being price risk.
The spot price of electricity is highly volatile, and the ability to
price risk management contracts on this commodity is contingent
on a robust and realistic model of the underlying price process.
One key driver of electricity spot price is the forced outages
of generating plants in the system. The current paper describes
a system aggregate model of short-term generating capacity that
can be adapted to any generating system of interest. After de-
scribing the model, we test it using the IEEE Reliability Test
System (RTS).
Index Terms—Electricity spot price, risk management, system
reliability, Weibull distribution.

I. INTRODUCTION

T HE deregulation of electrical power markets is a

world-wide trend. In this new setting, a robust model
for electricity prices is required for purposes such as risk Fig. 1. Probability density curves for Weibull distribution.
management, infrastructure planning, and optimization of
generating resources. To this aim, we have developed a hybrid
and time to repair (TTR). The probability density function of a
model that combines a “top-down” data-driven approach with a
Weibull distribution is given by
“bottom-up” system model. In [1], we described a preliminary
version of this hybrid model for electricity prices, supported by
some promising results.
(1)
Crucial to our approach is a robust model for electricity
generating capacity. In this paper, we describe our model for
short-term generating capacity and discuss implementation
where represents the current state of the component. It is useful
procedures.
to note that the exponential distribution, which allows a homo-
In this paper, we will describe a system-wide model of gen-
geneous Markov chain, is a special case of the Weibull distribu-
eration capacity based on the Weibull distribution, which is de-
tion with . A plot of the probability density function of
rived from [3]. Readers who are unfamiliar with engineering re-
the Weibull distribution in Fig. 1 provides an illustration of this
liability modeling are encouraged to consult Appendix A. We
flexibility.
will use the distribution to model the system behavior instead
of using only steady-state probabilities. As will be shown in The advantage of the Weibull distribution is that that it does
Section II, the use of a single “structure” for the distributions not ignore wear-out effects. This added realism does complicate
supplies some essential model efficiencies. The flexibility of the the system model. The cumulative distribution function (CDF)
Weibull distribution allows its use for both time to failure (TTF) of a Weibull, given in (2), gives the probability of the component
changing state before time

Manuscript received November 3, 2003; revised October 6, 2004. This work (2)
was supported in part by NSERC and in part by the MITACS-NCE. Paper no.
TPWRS-00619-2003.
C. L. Anderson is with Department of Civil and Environmental Engineering,
The University of Western Ontario, London, ON N6A 5B7, Canada (e-mail: This standard form CDF is the whole state distribution, which
landerso@uwo.ca). assumes that the component has entered its current state at the
M. Davison is with the Department of Applied Mathematics, The instant of inspection. Since we assume that only one component
University of Western Ontario, London, ON N6A 5B7, Canada (e-mail:
mdavison@uwo.ca). can change state at a given time, we must consider the remaining
Digital Object Identifier 10.1109/TPWRS.2005.856992 state distribution for all other components. For example, as seen
0885-8950/$20.00 © 2005 IEEE
1784
in [4], the “long run” remaining life distribution of a renewal
process is
(3)
where is the mean duration of the state.
This is an important factor in the development of our model,
which is detailed in Section II.
II. SYSTEM-WIDE PROBABILITY MODEL
It is clear that the development of our hybrid model is depen-
dent on the models of electricity supply and demand. Electricity
supply is based on the operational characteristics of the gener-
ating system at the time of consideration. An effective model of
short-term electricity supply is developed based on knowledge
of the system under consideration and its failure characteristics.
In this section, we show the development of our model for power
plant failure.
In Section II, we discussed the use of the whole and remaining
state Weibull distributions and determined that we will require
remaining state distributions for those components already in
the current state at the time of inspection. The combination of
the remaining state distributions with the whole state distribu-
tion for the causing component will give the overall system state
distribution.
The CDF of the current state is given by the distribution of
the minimum of the times to state change (TTSC) of all compo-
nents. In other words, the first component to change state causes
the system to change state. This time is drawn from
(4)
where is the number of components in the system, and
the distribution of choice for component . In theory, this dis-
tribution could vary for different components, but we avoid this
complication by use of the flexible Weibull distribution.
We intend that the system “inspection” time will occur when-
ever a state change occurs. One of the components must have
caused this state change, and therefore, the distribution of the
duration of this causing component is the whole state distribu-
tion. All other components will require the remaining state dis-
tribution. If we denote the causing component with subscript
“ ,” then the TTSC of the system is given by
(5)
After completing the integration, we obtain
(6)
where represents the upper incomplete gamma function
for , from to .
Now that we have obtained the distribution, we can use it to
simulate the times to state change of a system. This provides
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 4, NOVEMBER 2005
crucial information about the system, while leaving some re-
maining questions. If we know the TTF of a system, can we
determine which component caused the state change? This is
given by the probability of component failing first, conditioned
on the TTSC. In other words, given the failure at time , what is
the probability that component is the causing component?
The conditional distribution of the time to failure can be found
using Bayes Theorem
If we consider to be the joint distribution of the TTFs
and to be the probability distribution of TTF for compo-
nent ( ), we only require the joint distribution of the TTF
with to determine this conditional probability. However,
we can represent this joint distribution as independent probabil-
ities in the following manner:
(7)
When implementing a specific distribution in this framework,
there are two separate cases: The first case is when we calculate
the conditional probability for a plant that is not the causing
component. In this case, the distribution is given by
(8)
Note that the third factor in the numerator of (8) must
exclude the component whose conditional probability we are
calculating. This factor is the probability that TTF of all other
components are greater than , and hence, we include the
criteria ( ).
When calculating the conditional probability for the causing
component, the distribution is altered slightly to account for this
(9)
Equations (8) and (9) give us the conditional probability of
each component causing the state change. We can then use these
probabilities to select the causing component for the next state
of the system. Following this sequence, we can simulate the
state, and thereby the generating capacity, of the system over
the duration of time we wish to model.
This development clearly illustrates that our Weibull-based
model is efficient since it uses the same structure for system
state. When the system changes state, the model responds by
ANDERSON AND DAVISON: AGGREGATE WEIBULL APPROACH FOR MODELING
changing the parameters of the distribution to represent the new
configuration. Computationally, this framework is straightfor-
ward to implement.
The development of a framework for a system-wide Weibull
model naturally opens the question of whether the additional
work is worth the effort. Many authors agree that the exponen-
tial model is sufficient to describe the useful life of a component
but that its application to component repair is an over-simplifica-
tion [5]. Some authors have suggested that although repair times
are decidedly nonexponential, the use of an exponential model
for time to repair is acceptable given the complexity of other
models [5]. However, the mathematical framework illustrated
here allows the appropriate distributional shape to be applied to
the appropriate task, without requiring any modifications to ac-
count for exponential or nonexponential durations. The use of
the Weibull framework allows the same distribution to be ap-
plied and the shape of the distributions to be determined by the
parameters used. These parameters are obtained from the system
of interest and no a priori assumptions about the shape of the
distributions are needed.
In the next sections, we will show that the modest addition of
computational cost is justified by the realism that can be gained.
III. PARAMETERS AND IMPLEMENTATION
The model developed in Section II gives us a stable and effi-
cient framework for implementation. The steps to implementa-
tion are as follows.
1) Draw a TTSC from the distribution given in (6).
2) Calculate the probability, conditioned on the TTSC, that
a given component caused the state change.
3) Use this probability to simulate which component caused
the state change.
4) Change the state of the causing component.
The model will repeat steps 1 through 4 for the duration of
the simulation. In theory this is simple although there exist some
complications. Drawing a TTSC from the distribution in step 1
is more complicated than it might seem. There are three main
options for drawing the TTSC. These include analytical inver-
sion, numerical approximation (such as acceptance–rejection)
or numerical root-finding, such as bisection.
Although there are inversions for the incomplete gamma
function, the inversion of a product of incomplete gamma
functions does not seem feasible. The presence of the incom-
plete gamma functions does provide the possibility of using
the properties of special functions to estimate upper and lower
bounds. If these bounds can be determined in a reasonably
accurate manner, the acceptance–rejection technique could be
very efficient.
The most immediate method is a standard root finding tech-
nique, such as bisection. The inversion of a CDF in this manner
is straightforward as the function is monotone. Once the TTSC
can be simulated using one of these techniques, it is straight-
forward to calculate the conditional probabilities for each com-
ponent and simulate the causing component of the subsequent
state. It should be noted that the stable structure of the distri-
bution provides additional efficiencies because the incomplete
gamma function need only be calculated twice for each
1785
component: once with failure parameters and once with repair
parameters. These factors are used in each calculation for both
TTSC and determining the conditional probabilities but are only
calculated once.
A key element of this model is the estimation of Weibull pa-
rameters for failure and repair times. This is easily completed
with the availability of system data for various generating plants.
The most common method is a maximum likelihood estimator
technique. For example, detailed information about forced out-
ages of California generators is publicly available. From this
data, we can determine the set of TTFs and TTRs observed for
every plant in the system that experienced a forced outage over
the last three years. With this data set, MLE can be used to esti-
mate the and values for both failure and repair of the plants
in the system.
For the immediate purpose of testing the model, we chose
the IEEE Reliability Test System (RTS) described in [2]. In this
model, the generation system is described using exponential pa-
rameters for TTF and TTR of the generating units. We used
the exponential parameters to test the validity of the aggregate
model by using for both failure and repair of all com-
ponents in the system. We then tested the model behavior with
other Weibull parameters.
Application to other generation systems is implemented by
development of the system generator “profile” and estimation
of failure and repair distribution parameters.
IV. RESULTS
In order to assess the usefulness of our model for power plant
failure and repair, we compare it to two other techniques.
The first method was to model the same system using expo-
nential distributions for both failure and repair times. This is
equivalent to the homogenous Markov model (HMM). We also
use the purely Weibull model with the same distribution param-
eters and model the plants in independent sequential simulation.
We then use these results of these methods as a comparison for
the aggregate Weibull model.
The exponential model is developed using assumptions sim-
ilar to the Weibull model described in Section II, but the expo-
nential model simplifies quickly.
For a single component indexed by
(10)
For the entire system, we obtain
(11)
where .
The probability of component causing the change of state,
conditioned on the TTSC, is given by
(12)
As a second comparative model, we also complete an inde-
pendent sequential simulation of the plants of the system. This
method requires that each plant be simulated independently and
1786 IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 4, NOVEMBER 2005

TABLE I TABLE II
COMPARISON OF LOLE FOR MODELS COMPARISON OF OUTAGE FREQUENCY FOR 

its failure and repair times be recorded. At the end of the simula-
tion, capacity is calculated for each day in the simulation based
on which plants are operational and which are under repair. We
show that this simple method results in the same long run system
behavior as our proposed model.
TABLE III
Recalling that the purpose of the model is to simulate avail-
able system capacity, an important criterion for assessing the
validity of a capacity model is its ability to model the system
generating capacity and to meet system load requirements.
We first compare the loss of load expectation (LOLE), a
common risk measure, for each of the three models. We then
examine the simulated system capacity of the IEEE RTS for
the aggregate model and compare the results to the traditional
exponential model.
A. LOLE
The LOLE is a common measure of the adequacy of system
capacity. LOLE is a measure of the expected proportion of time
that available system capacity is unable to meet the electrical
load [6] and can be quoted as a proportion or in the form of
days/year or hours/year. The LOLE is estimated for the RTS
based on each of the three simulation techniques described in
the previous section.
The LOLE values calculated were then compared with the
LOLE values estimated for the exponential model of the system.
Two-sided t-tests of the LOLE values confirmed that there was
no difference between the mean LOLE values obtained using
the aggregate Weibull model with bisection, the sequential sim-
ulation of Weibull plants and the exponential model, when ex-
ponential parameters ( ) are used in the Weibull models.
To test other scenarios, we considered various shape ( ) pa-
rameters for component repair and compared the results of the
three models. In all cases, the t-tests confirmed that the results
of the Weibull bisection and sequential simulation models were
indistinguishable and that both differed from the exponential
model. These results are presented in Table I.
Table I also contains the mean time to repair (MTTR) asso-
ciated with each of the models. This is useful to compare the
LOLE calculated in each case. For the RTS, the MTTR is 2.5
days, but when , the MTTR for the system is slightly
lower, translating to a lower LOLE for the Weibull models. Con-
versely, the use of translated to a slightly longer
MTTR, meaning that failed plants take longer to return to ser-
vice, thereby increasing the LOLE for the system.
The second row of Table I gives the LOLE calculated by each
of the models using exponential parameters. This is included as
a validation step to ensure that all methods are in agreement
when the exponential parameters are used. It is clear that this
is the case. The fact that the values differ slightly at the fourth
decimal place is merely due to slow convergence of simulation
approaches.
COMPARISON OF OUTAGE DURATION FOR 
Tables II and III compare the frequency and duration of out-
ages, for each plant type, as the shape parameter of the repair
distribution ( ) is varied.
The results provided in Tables II and III support the previous
results. It is clear that, as expected, the frequency of outages is
not affected by the variation of the the shape parameter of the
repair distribution ( ). However, the outage duration is very
sensitive to this parameter.
The model described here was developed to simulate system
capacity in an overall electricity spot price model. For this
reason, we are primarily interested in the ability of the model
to simulate overall system capacity.
B. Overall System Capacity
System capacity histograms for exponential parameters
( ), and are presented in Figs. 2–4,
respectively.
We can see in Fig. 2 that the system capacity diagrams are in-
distinguishable for the Weibull and exponential models. This is
as expected, since the Weibull model with is the exponen-
tial model. In Fig. 3, we show the histograms of system capacity
for the Weibull Model with and . With ,
we approximate the assumption that repair times are better rep-
resented by a log-normal type of distribution than an exponen-
tial. We can see that the Weibull model has higher system ca-
pacity more frequently than the exponential analog. This is sup-
ported by the fact that the new MTTR for this Weibull model is
slightly faster than the MTTR for the exponential model. The
shape parameter for the failure distribution is fixed at ,
so the MTTF is the same in both cases.
The example we provide here is the case of and
. It is clear that the selection of increases
the MTTR for failed components, and this is borne out in the ca-
pacity histograms. In Fig. 4, the Weibull model clearly provides
ANDERSON AND DAVISON: AGGREGATE WEIBULL APPROACH FOR MODELING 1787

V. CONCLUSIONS
The model presented here allows the simulation of a system of
generating units, without the need for a sequential Monte Carlo
simulation, or for simplifying the system with a homogenous
Markov model. Although slightly more intricate than the ho-
mogenous model, the aggregate model gives the advantages of
a much more flexible distribution. Instead of assuming a dis-
tributional shape, this method allows the system data to dictate
the shape of the distributions for TTF and TTR. The use of the
same distribution for failure and repair times, adjusted by pa-
rameters, also brings valuable efficiencies to computation im-
plementation. Many of the calculations can be completed “up
front” instead of being computed at each time step. Additional
advantages of this model, described in [3], are its applicability
for traditional reliability engineering calculations, such as mean
time to state change and steady-state transition frequencies. In
Fig. 2. Capacity histograms for exponential and Weibull model (with  = 1). addition, the aggregate model allows for efficient determination
of steady-state system durations by recursion methods.
The aggregate model is compared to the traditional exponen-
tial model and a sequential Weibull simulation on the basis of the
IEEE RTS, detailed in [2]. Our results indicate that the Weibull
models do show different LOLE values for the RTS based on
varying Weibull shape parameters. This is to be expected given
that the Weibull model has the potential to allow more or fewer
extreme events by varying these parameters. It is possible that
the use of the Weibull model will give a more realistic measure
of short-term capacity risk, particularly when repair times are
decidedly nonexponential.
The development of such a model is particularly advanta-
geous for use in the hybrid model for electricity spot price de-
scribed in [1]. The use of a Monte Carlo simulation in this model
requires that all plants are simulated for the entire duration and
capacity data is stored until the simulation is complete. Alter-
natively, the aggregate model allows determination of system
capacity at each state change, eliminating the need for storing
Fig. 3. Capacity histograms for exponential and Weibull model (with  = 2).
data past the previous change. This is a necessity when mod-
eling large generating systems even over shorter time periods.
While the computational expense of using Monte Carlo simu-
lation over long time horizons can be prohibitive, use of this
aggregate model will reduce this memory load.

APPENDIX
RELIABILITY BACKGROUND
The study of engineering reliability is of particular impor-
tance in power systems. One of the most unique aspects of power
generation is the inelastic demand and the significant costs, both
financial and social, of power shortages. The consumer of elec-
tric power does not expect to experience blackouts and events,
such as the August 2003 blackout in eastern North America,
carry heavy repercussions in both the energy sector and the po-
litical landscape. The need for sufficient power to meet whatever
demand is generated has lead to significant research in this area
Fig. 4. Capacity histograms for exponential and Weibull model (with  = over the last 60 years.
0:65). The first major works on engineering reliability appear in the
literature in the 1940s. Key contributions include those of Cal-
lower system capacity more frequently than the traditional ex- abrese [7] and Lyman [8], whose work pioneered the application
ponential model. of probability to system reliability.
1788
Over the last 50 years, the study of engineering reliability
has developed into the main approaches of basic probability
methods, Markov and semi-Markov models, and simulation.
It is important to note that these are not mutually exclusive
methods, and some developments (frequency-duration ap-
proaches, for example) have led to improvements of more than
one of these methods.
In reliability theory, the most common choice of distribution
for TTF and TTR is the exponential distribution. The advan-
tage of applying an exponential distribution is that the failure
rate and the repair rate are constant, allowing the application of
homogeneous Markov techniques to the component model [9].
This model is very tractable, even for complex generating sys-
tems. Due to its simplicity, the exponential distribution is often
applied to the repair of components as well. However, there is
some indication that repair times may be more suited to a log-
normal distribution on an individual basis [3], as significantly
longer repair result from the need for parts or local expertise [6].
The lognormal distribution, while mathematically less tractable,
can still be utilized in a simulation approach to the problem.
It should be noted that the exponential distribution has some
very strong implications for the model. First, the exponential
distribution is memoryless. This implies that the expectation of
the time remaining in the current state is independent of the time
already spent in the state. Although counterintuitive, this model
has been shown to be somewhat successful for a component in
its useful life. However, the tractability of the model often out-
weighs its disadvantages, and as a result, the exponential distri-
bution has become the most common of the distributions applied
to reliability modeling [10].
In some cases, it is possible to make a non-Markovian system
Markovian using supplementary variables. In theory, this allows
the use of other distributions in the Markov framework. In prac-
tice however, the use of more than one supplementary variable
for any state of the system results in a model too complex for
practical use[11].
An additional approach for nonexponential durations is the
“device of stages” technique [11], [12]. This technique involves
the representation of each state of the system as a number of
“stages,” either in series or in parallel. Each of these stages is
represented by its own exponential distribution. The composi-
tion of these stages allows most applicable distributions to be
approximated. Systems modeled in this fashion may be solved
analytically, but if the complexity is great, numerical solutions
are relatively straightforward.
Another distribution that has been applied to generation
reliability is the Weibull distribution. We use the two-parameter
version of the Weibull distribution, which allows a great deal
of flexibility in fitting data. The exponential distribution is
merely a special case of the Weibull distribution. Although use
of the Weibull distribution further complicates the problem, it
does allow the use of semi-Markov techniques [3]. The state
transition of the system is a standard Markov chain, called
the embedded Markov chain. The transition probabilities of
the embedded chain are obtained using standard methods for
homogeneous Markov models [6].
The distinguishing feature of the semi-Markov model is the
random variable that describes the duration that the system
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 4, NOVEMBER 2005
spends in a given state. If is the state of the system at time
and represents the time of the th transition, then
is also a random variable whose distribution we can
choose to meet our requirements. Like the embedded Markov
chain, the depends only on the states switched between
and and is independent of for .
We can determine the stationary state probabilities of each
of the states in a semi-Markov model. This method allows us
to use the appropriate distribution for the appropriate task. For
example, one can apply a more realistic bell-shaped distribution
to the duration of repair times.
The general approach developed by [3] begins with the homo-
geneous Markov chain for the system states. Beginning with the
transition probability matrix, obtained from the transition rates,
we can determine the stationary transition probability vector
based on the exponential distribution
Here, represents the embedded chain probabilities. Using
these steady-state probabilities, we can determine the steady-
state probabilities for a Weibull–Markov model as follows:
where is the expected duration for state [13].
The expected duration of the transition can be found from the
expected value of the distribution, which is given in [14] by
The steady-state probabilities obtained in this manner will now
include the durations that follow the Weibull distribution, al-
lowing the inclusion of nonexponential repair times.
The normal distribution, while simple, is not often used in
reliability applications, although it has been used to model the
failed capacity of an entire system. As previously discussed, this
approximation is only possible when the system contains a very
large number of units or components.
Monte Carlo simulation (MCS) is another popular technique
for modeling generating plant failures. The main advantage of
MCS is the flexibility and realism it provides to the model. The
disadvantage of such an approach is its computational expense,
slow convergence, and lack of intuitive support. In some cases,
the flexibility of the approach outweighs its disadvantages, in
particular for the inclusion of such things as managerial deci-
sion making. This advantage is illustrated in works by Allan and
Roman [15] and Li and Billinton [16].
MCS has been used extensively for complex multiarea sys-
tems. In multiarea systems, a supporting policy, which deter-
mines the power serving priorities in the overall region, is an
integral part of the system. The sensitivity of reliability indices
to such management policies is addressed in [16], as the authors
use MCS to incorporate management decisions in the generation
model. The simulation of generation plants is based on the work
presented in [17], wherein a switching model is used along with
the forced outage rate (FOR) for each unit.
ANDERSON AND DAVISON: AGGREGATE WEIBULL APPROACH FOR MODELING 1789

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