Electricity market price spike forecast with data mining techniques

Electricity market price forecast is a changeling yet very important task for electricity market managers and participants. Due to the complexity and uncertainties in the power grid, electricity prices are highly volatile and normally carry with spikes. which may be (ens or even hundreds of times higher than the normal price. Such electricity spikes are very difficult to be predicted. So far. most of the research on electricity price forecast is based on the normal range electricity prices. This paper proposes a data mining based electricity price forecast framework, which can predict the normal price as well as the price spikes. The normal price can be, predicted by a previously proposed wavelet and neural network based forecast model, while the spikes are forecasted based on a data mining approach. This paper focuses on the spike prediction and explores the reasons for price spikes based on the measurement of a proposed composite supply-demand balance index (SDI) and relative demand index (RDI). These indices are able to reflect the relationship among electricity demand, electricity supply and electricity reserve capacity. The proposed model is based on a mining database including market clearing price, trading hour. electricity), demand, electricity supply and reserve. Bayesian classification and similarity searching techniques are used to mine the database to find out the internal relationships between electricity price spikes and these proposed. The mining results are used to form the price spike forecast model. This proposed model is able to generate forecasted price spike, level of spike and associated forecast confidence level. The model is tested with the Queensland electricity market data with promising results. Crown Copyright (C) 2004 Published by Elsevier B.V. All rights reserved.

A power system control scheme based on security visualisation in parameter space

Power system real time security assessment is one of the fundamental modules of the electricity markets. Typically, when a contingency occurs, it is required that security assessment and enhancement module shall be ready for action within about 20 minutes’ time to meet the real time requirement. The recent California black out again highlighted the importance of system security. This paper proposed an approach for power system security assessment and enhancement based on the information provided from the pre-defined system parameter space. The proposed scheme opens up an efficient way for real time security assessment and enhancement in a competitive electricity market for single contingency case

Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Data mining and simulation: a grey relationship demonstration

Fuzzy data has grown to be an important factor in data mining. Whenever uncertainty exists, simulation can be used as a model. Simulation is very flexible, although it can involve significant levels of computation. This article discusses fuzzy decision-making using the grey related analysis method. Fuzzy models are expected to better reflect decision-making uncertainty, at some cost in accuracy relative to crisp models. Monte Carlo simulation is used to incorporate experimental levels of uncertainty into the data and to measure the impact of fuzzy decision tree models using categorical data. Results are compared with decision tree models based on crisp continuous data.

A Nonstationary Model of Newborn EEG

The detection of seizure in the newborn is a critical aspect of neurological research. Current automatic detection techniques are difficult to assess due to the problems associated with acquiring and labelling newborn electroencephalogram (EEG) data. A realistic model for newborn EEG would allow confident development, assessment and comparison of these detection techniques. This paper presents a model for newborn EEG that accounts for its self-similar and non-stationary nature. The model consists of background and seizure sub-models. The newborn EEG background model is based on the short-time power spectrum with a time-varying power law. The relationship between the fractal dimension and the power law of a power spectrum is utilized for accurate estimation of the short-time power law exponent. The newborn EEG seizure model is based on a well-known time-frequency signal model. This model addresses all significant time-frequency characteristics of newborn EEG seizure which include; multiple components or harmonics, piecewise linear instantaneous frequency laws and harmonic amplitude modulation. Estimates of the parameters of both models are shown to be random and are modelled using the data from a total of 500 background epochs and 204 seizure epochs. The newborn EEG background and seizure models are validated against real newborn EEG data using the correlation coefficient. The results show that the output of the proposed models has a higher correlation with real newborn EEG than currently accepted models (a 10% and 38% improvement for background and seizure models, respectively).

A matching pursuit-based signal complexity measure for the analysis of newborn EEG

This paper presents a new relative measure of signal complexity, referred to here as relative structural complexity, which is based on the matching pursuit (MP) decomposition. By relative, we refer to the fact that this new measure is highly dependent on the decomposition dictionary used by MP. The structural part of the definition points to the fact that this new measure is related to the structure, or composition, of the signal under analysis. After a formal definition, the proposed relative structural complexity measure is used in the analysis of newborn EEG. To do this, firstly, a time-frequency (TF) decomposition dictionary is specifically designed to compactly represent the newborn EEG seizure state using MP. We then show, through the analysis of synthetic and real newborn EEG data, that the relative structural complexity measure can indicate changes in EEG structure as it transitions between the two EEG states; namely seizure and background (non-seizure).

An adaptive neural-wavelet model for short term load forecasting

This paper proposed a novel model for short term load forecast in the competitive electricity market. The prior electricity demand data are treated as time series. The forecast model is based on wavelet multi-resolution decomposition by autocorrelation shell representation and neural networks (multilayer perceptrons, or MLPs) modeling of wavelet coefficients. To minimize the influence of noisy low level coefficients, we applied the practical Bayesian method Automatic Relevance Determination (ARD) model to choose the size of MLPs, which are then trained to provide forecasts. The individual wavelet domain forecasts are recombined to form the accurate overall forecast. The proposed method is tested using Queensland electricity demand data from the Australian National Electricity Market. (C) 2001 Elsevier Science B.V. All rights reserved.

Direct mesh: A multiresolution approach to terrain visualization

Terrain can be approximated by a triangular mesh consisting millions of 3D points. Multiresolution triangular mesh (MTM) structures are designed to support applications that use terrain data at variable levels of detail (LOD). Typically, an MTM adopts a tree structure where a parent node represents a lower-resolution approximation of its descendants. Given a region of interest (ROI) and a LOD, the process of retrieving the required terrain data from the database is to traverse the MTM tree from the root to reach all the nodes satisfying the ROI and LOD conditions. This process, while being commonly used for multiresolution terrain visualization, is inefficient as either a large number of sequential I/O operations or fetching a large amount of extraneous data is incurred. Various spatial indexes have been proposed in the past to address this problem, however level-by-level tree traversal remains a common practice in order to obtain topological information among the retrieved terrain data. A new MTM data structure called direct mesh is proposed. We demonstrate that with direct mesh the amount of data retrieval can be substantially reduced. Comparing with existing MTM indexing methods, a significant performance improvement has been observed for real-life terrain data.

A framework for electricity price spike analysis with advanced data mining methods

There are many techniques for electricity market price forecasting. However, most of them are designed for expected price analysis rather than price spike forecasting. An effective method of predicting the occurrence of spikes has not yet been observed in the literature so far. In this paper, a data mining based approach is presented to give a reliable forecast of the occurrence of price spikes. Combined with the spike value prediction techniques developed by the same authors, the proposed approach aims at providing a comprehensive tool for price spike forecasting. In this paper, feature selection techniques are firstly described to identify the attributes relevant to the occurrence of spikes. A simple introduction to the classification techniques is given for completeness. Two algorithms: support vector machine and probability classifier are chosen to be the spike occurrence predictors and are discussed in details. Realistic market data are used to test the proposed model with promising results.

Constructing internationally comparable real income aggregates by combining sparse benchmark data with annual national accounts data: A state-space approach

The importance of availability of comparable real income aggregates and their components to applied economic research is highlighted by the popularity of the Penn World Tables. Any methodology designed to achieve such a task requires the combination of data from several sources. The first is purchasing power parities (PPP) data available from the International Comparisons Project roughly every five years since the 1970s. The second is national level data on a range of variables that explain the behaviour of the ratio of PPP to market exchange rates. The final source of data is the national accounts publications of different countries which include estimates of gross domestic product and various price deflators. In this paper we present a method to construct a consistent panel of comparable real incomes by specifying the problem in state-space form. We present our completed work as well as briefly indicate our work in progress.

Probabilistic cost benefit analysis of generation investment in a deregulated electricity market

A new methodology is proposed for the analysis of generation capacity investment in a deregulated market environment. This methodology proposes to make the investment appraisal using a probabilistic framework. The probabilistic production simulation (PPC) algorithm is used to compute the expected energy generated, taking into account system load variations and plant forced outage rates, while the Monte Carlo approach has been applied to model the electricity price variability seen in a realistic network. The model is able to capture the price and hence the profitability uncertainties for generator companies. Seasonal variation in the electricity prices and the system demand are independently modeled. The method is validated on IEEE RTS system, augmented with realistic market and plant data, by using it to compare the financial viability of several generator investments applying either conventional or directly connected generator (powerformer) technologies. The significance of the results is assessed using several financial risk measures.