  This work presents a methodology to incorporate reliability constraints in
the optimal power systems expansion planning problem. Besides LOLP and EPNS,
traditionally used in power systems, this work proposes the use of the risk
measures VaR (Value-at-Risk) and CVaR (Conditional Value-at-Risk), widely used
in financial markets. The explicit consideration of reliability constraints in
the planning problem can be an extremely hard task and, in order to minimize
computational effort, this work applies the Benders decomposition technique
splitting the expansion planning problem into an investment problem and two
sub-problems to evaluate the system's operation cost and the reliability index.
The operation sub-problem is solved by Stochastic Dual Dynamic Programming
(SDDP) and the reliability sub-problem by Monte Carlo simulation. The proposed
methodology is applied to the real problem of optimal expansion planning of the
Bolivian power system.
