How to apply construction for shading in the OS application?

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In the case of the surface you are showing, it won't participate in heat transfer, therefore there's no point in assigning a construction to it. You should just assign it a transmittance schedule if need be.

Assigning a construction for shading is reserved in the case of window "coverings": inside or outside, or in-between glass layer.

References:

Questions of interest on Unmet Hours:

• How to model different types of shadings in OpenStudio and EnergyPlus
• Problems with shading in EnergyPlus

I/O reference Guide, sections of interest:

• Shading:Zone:Detailed
• WindowMaterial:Shade
• WindowProperty:ShadingControl