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The underwater acoustic (UWA) communication has been regarded as one of the most challenging wireless communications due to the unique properties, such as limited bandwidth, extended multipath delay, medium inhomogeneities, rapid time-variation and large Doppler shifts. Cooperative relaying technique is a promising technique to provide high rate data transmission. However, literature on cooperative communications in UWA environments is very scarce. In this paper, we propose a novel UWA cooperative communication system, which involves the wave cooperative (WC) transmission protocol, Orthogonal Frequency Division Multiplexing (OFDM) and the Lloyd algorithm-based limited feedback procedure for the first time. We take capacity criterion-based power allocation strategy as an example to demonstrate the performance of our proposed system. Simulation results show the system capacity performance based on uniform allocation (non-feedback), several bits of feedback and perfect feedback. Furthermore, simulation results compare the performance between the WC transmission protocol and the traditional amplify-and-forward (AF) transmission protocol.