Probabilistic Forecasting of Imbalance Prices in the Belgian Context

被引：13

作者：

Dumas, Jonathan ^{[1
]}

Boukas, Ioannis ^{[1
]}

de Villena, Miguel Manuel ^{[1
]}

Mathieu, Sebastien ^{[1
]}

Cornelusse, Bertrand ^{[1
]}

机构：

[1] Univ Liege, Montefiore Inst, Liege, Belgium

来源：

2019 16TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2019年

关键词：

Electricity markets; imbalance prices forecasting; probabilistic forecast; machine learning; ELECTRICITY PRICE; WIND ENERGY; GENERATION;

D O I：

10.1109/eem.2019.8916375

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists in computing the net regulation volume state transition probabilities. It is modeled as a matrix computed using historical data. This matrix is then used to infer the imbalance prices, since the net regulation volume can be related to the level of reserves activated and the corresponding marginal prices for each activation level are published by the Belgian Transmission System Operator one day before electricity delivery. This approach is compared to a deterministic model, a multi-layer perceptron, and to a widely used probabilistic technique, Gaussian Processes.

引用

页数：7

共 15 条

[1] A review and comparison of strategies for multi-step ahead time series forecasting based on the NN5 forecasting competition [J].