Stochastic Framework for Strategic Decision-making of Load-serving Entities for Day-ahead Market

The deregulation of electricity markets has diversified the range of financial transaction modes between independent system operator (ISO), generation companies (GENCO) and load-serving entities (LSE) as the main interacting players of a day-ahead market (DAM). LSEs sell electricity to end-users and retail customers. The LSE that owns distributed generation (DG) or energy storage units can supply part of its serving loads when the nodal price of electricity rises. This opportunity stimulates them to have storage or generation facilities at the buses with higher locational marginal prices (LMP). The short-term advantage of this model is reducing the risk of financial losses for LSEs in DAMs and its long-term benefit for the LSEs and the whole system is market power mitigation by virtually increasing the price elasticity of demand. This model also enables the LSEs to manage the financial risks with a stochastic programming framework.

Bidding Decision of Wind-Thermal GenCo in Day-Ahead Market

This paper deals with the self-scheduling problem of a price-taker having wind and thermal power production and assisted by a cyber-physical system for supporting management decisions in a day-ahead electric energy market. The self-scheduling is regarded as a stochastic mixed-integer linear programming problem. Uncertainties on electricity price and wind power are considered through a set of scenarios. Thermal units are modelled by start-up and variable costs, furthermore constraints are considered, such as: ramp up/down and minimum up/down time limits. The stochastic mixed-integer linear programming problem allows a decision support for strategies advantaging from an effective wind and thermal mixed bidding. A case study is presented using data from the Iberian electricity market.

Optimal Wind Bidding Strategies in Day-Ahead Markets

This paper presents a computer application for wind energy bidding in a day-ahead electricity market to better accommodate the variability of the energy source. The computer application is based in a stochastic linear mathematical programming problem. The goal is to obtain the optimal bidding strategy in order to maximize the revenue. Electricity prices and financial penalties for shortfall or surplus energy deliver are modeled. Finally, conclusions are drawn from an illustrative case study, using data from the day-ahead electricity market of the Iberian Peninsula.

ANN based day-ahead spinning reserve forecast for electricity market simulation

Electricity market players operating in a liberalized environment require adequate decision support tools, allowing them to consider all the business opportunities and take strategic decisions. Ancillary services represent a good negotiation opportunity that must be considered by market players. This paper deals with short-term predication of day-ahead spinning reserve (SR) requirement that helps the ISO to make effective and timely decisions. Based on these forecasted information, market participants can use strategic bidding for day-ahead SR market. The proposed concepts and methodologies are implemented in MASCEM, a multi-agent based electricity market simulator. A case study based on California ISO (CAISO) data is included; the forecasted results are presented and compared with CAISO published forecast.

ANN based day-ahead ancillary services forecast for electricity market simulation

Adequate decision support tools are required by electricity market players operating in a liberalized environment, allowing them to consider all the business opportunities and take strategic decisions. Ancillary services (AS) represent a good negotiation opportunity that must be considered by market players. Based on the ancillary services forecasting, market participants can use strategic bidding for day-ahead ancillary services markets. For this reason, ancillary services market simulation is being included in MASCEM, a multi-agent based electricity market simulator that can be used by market players to test and enhance their bidding strategies. The paper presents the methodology used to undertake ancillary services forecasting, based on an Artificial Neural Network (ANN) approach. ANNs are used to day-ahead prediction of non-spinning reserve (NS), regulation-up (RU), and regulation down (RD). Spinning reserve (SR) is mentioned as past work for comparative analysis. A case study based on California ISO (CAISO) data is included; the forecasted results are presented and compared with CAISO published forecast.

Price forecasting in the day-ahead Iberian electricity market using a conjectural variations Arima model

Price forecast is a matter of concern for all participants in electricity markets, from suppliers to consumers through policy makers, which are interested in the accurate forecast of day-ahead electricity prices either for better decisions making or for an improved evaluation of the effectiveness of market rules and structure. This paper describes a methodology to forecast market prices in an electricity market using an ARIMA model applied to the conjectural variations of the firms acting in an electricity market. This methodology is applied to the Iberian electricity market to forecast market prices in the 24 hours of a working day. The methodology was then compared with two other methodologies, one called naive and the other a direct forecast of market prices using also an ARIMA model. Results show that the conjectural variations price forecast performs better than the naive and that it performs slightly better than the direct price forecast.

Forecasting day-ahead electricity load using a multiple equation time series approach

The quality of short-term electricity load forecasting is crucial to the operation and trading activities of market participants in an electricity market. In this paper, it is shown that a multiple equation time-series model, which is estimated by repeated application of ordinary least squares, has the potential to match or even outperform more complex nonlinear and nonparametric forecasting models. The key ingredient of the success of this simple model is the effective use of lagged information by allowing for interaction between seasonal patterns and intra-day dependencies. Although the model is built using data for the Queensland region of Australia, the method is completely generic and applicable to any load forecasting problem. The model’s forecasting ability is assessed by means of the mean absolute percentage error (MAPE). For day-ahead forecast, the MAPE returned by the model over a period of 11 years is an impressive 1.36%. The forecast accuracy of the model is compared with a number of benchmarks including three popular alternatives and one industrial standard reported by the Australia Energy Market Operator (AEMO). The performance of the model developed in this paper is superior to all benchmarks and outperforms the AEMO forecasts by about a third in terms of the MAPE criterion.

Strategic Behavior in Day-Ahead and Real-Time Markets for Electricity: Offer Cost or Payment Cost Minimization?

This study compares the procurement cost-minimizing and productive efficiency performance of the auction mechanism used by independent system operators (ISOs) in wholesale electricity auction markets in the U.S. with that of a proposed alternative. The current practice allocates energy contracts as if the auction featured a discriminatory final payment method when, in fact, the markets are uniform price auctions. The proposed alternative explicitly accounts for the market clearing price during the allocation phase. We find that the proposed alternative largely outperforms the current practice on the basis of procurement costs in the context of simple auction markets featuring both day-ahead and real-time auctions and that the procurement cost advantage of the alternative is complete when we simulate the effects of increased competition. We also find that a trade-off between the objectives of procurement cost minimization and productive efficiency emerges in our simple auction markets and persists in the face of increased competition.

Coordinated Scheduling of Wind-Thermal Gencos in Day-Ahead Markets

This paper presents a stochastic mixed-integer linear programming approach for solving the self-scheduling problem of a price-taker thermal and wind power producer taking part in a pool-based electricity market. Uncertainty on electricity price and wind power is considered through a set of scenarios. Thermal units are modeled by variable costs, start-up costs and technical operating constraints, such as: ramp up/down limits and minimum up/down time limits. An efficient mixed-integer linear program is presented to develop the offering strategies of the coordinated production of thermal and wind energy generation, aiming to maximize the expected profit. A case study with data from the Iberian Electricity Market is presented and results are discussed to show the effectiveness of the proposed approach.

Market Power in the Spanish Electricity Auction

Published as an article in: Journal of Regulatory Economics, 2010, vol. 37, issue 1, pages 42-69.

Day-Ahead Optimal Charging/Discharging Scheduling for Electric Vehicles in Micro-Grids

A micro-grid is an autonomous system which can be operated and connected to an external system or isolated with the help of energy storage systems (ESSs). While the daily output of distributed generators (DGs) strongly depends on the temporal distribution of natural resources such as wind and solar, unregulated electric vehicle (EV) charging demand will deteriorate the imbalance between the daily load and generation curves. In this paper, a statistical model is presented to describe daily EV charging/discharging behaviour. An optimisation problem is proposed to obtain economic operation for the micro-grid based on this model. In day-ahead scheduling, with estimated information of power generation and load demand, optimal charging/discharging of EVs during 24 hours is obtained. A series of numerical optimization solutions in different scenarios is achieved by serial quadratic programming. The results show that optimal charging/discharging of EVs, a daily load curve can better track the generation curve and the network loss and required ESS capacity are both decreased. The paper also demonstrates cost benefits for EVs and operators.

A 30-Day-Ahead Forecast Model for Grass Pollen in North London, United Kingdom

A 30-day ahead forecast method has been developed for grass pollen at north London. The total period of the grass pollen season is covered by eight multiple regression models, each covering a 10-day period running consecutively from 21st May to 8th August. This means that three models were used for each 30-day forecast. The forecast models were produced using grass pollen and environmental data from 1961-1999 and tested on data from 2000 and 2002. Model accuracy was judged in two ways: the number of times the forecast model was able to successfully predict the severity (relative to the 1961-1999 dataset as a whole) of grass pollen counts in each of the eight forecast periods on a scale of one to four; and the number of times the forecast model was able to predict whether grass pollen counts were higher or lower than the mean. The models achieved 62.5% accuracy in both assessment years when predicting the relative severity of grass pollen counts on a scale of one to four, which equates to six of the eight 10-day periods being forecast correctly. The models attained 87.5% and 100% accuracy in 2000 and 2002 respectively when predicting whether grass pollen counts would be higher or lower than the mean. Attempting to predict pollen counts during distinct 10-day periods throughout the grass pollen season is a novel approach. The models also employed original methodology in the use of winter averages of the North Atlantic Oscillation to forecast 10-day means of allergenic pollen counts.

Constructing a 7-day Ahead Forecast Model for Grass Pollen at North London, United Kingdom

A number of media outlets now issue medium-range (~7 day) weather forecasts on a regular basis. It is therefore logical that aerobiologists should attempt to produce medium-range forecasts for allergenic pollen that cover the same time period as the weather forecasts. The objective of this study is to construct a medium-range (< 7 day) forecast model for grass pollen at north London. The forecast models were produced using regression analysis based on grass pollen and meteorological data from 1990-1999 and tested on data from 2000 and 2002. The modelling process was improved by dividing the grass pollen season into three periods; the pre-peak, peak and post peak periods of grass pollen release. The forecast consisted of five regression models. Two simple linear regression models predicting the start and end date of the peak period, and three multiple regression models forecasting daily average grass pollen counts in the pre-peak, peak and post-peak periods. Overall the forecast models achieved 62% accuracy in 2000 and 47% in 2002, reflecting the fact that the 2002 grass pollen season was of a higher magnitude than any of the other seasons included in the analysis. This study has the potential to make a notable contribution to the field of aerobiology. Winter averages of the North Atlantic Oscillation were used to predict certain characteristics of the grass pollen season, which presents an important advance in aerobiological work. The ability to predict allergenic pollen counts for a period between five and seven days will benefit allergy sufferers. Furthermore, medium-range forecasts for allergenic pollen will be of assistance to the medical profession, including allergists planning treatment and physicians scheduling clinical trials.

Day-ahead resource scheduling in smart grids considering Vehicle-to-Grid and network constraints

Energy resource scheduling becomes increasingly important, as the use of distributed resources is intensified and massive gridable vehicle use is envisaged. The present paper proposes a methodology for dayahead energy resource scheduling for smart grids considering the intensive use of distributed generation and of gridable vehicles, usually referred as Vehicle- o-Grid (V2G). This method considers that the energy resources are managed by a Virtual Power Player (VPP) which established contracts with V2G owners. It takes into account these contracts, the user´s requirements subjected to the VPP, and several discharge price steps. Full AC power flow calculation included in the model allows taking into account network constraints. The influence of the successive day requirements on the day-ahead optimal solution is discussed and considered in the proposed model. A case study with a 33 bus distribution network and V2G is used to illustrate the good performance of the proposed method.

Day-ahead Resource Scheduling Including Demand Response for Electric Vehicles

The energy resource scheduling is becoming increasingly important, as the use of distributed resources is intensified and massive gridable vehicle (V2G) use is envisaged. This paper presents a methodology for day-ahead energy resource scheduling for smart grids considering the intensive use of distributed generation and V2G. The main focus is the comparison of different EV management approaches in the day-ahead energy resources management, namely uncontrolled charging, smart charging, V2G and Demand Response (DR) programs i n the V2G approach. Three different DR programs are designed and tested (trip reduce, shifting reduce and reduce+shifting). Othe r important contribution of the paper is the comparison between deterministic and computational intelligence techniques to reduce the execution time. The proposed scheduling is solved with a modified particle swarm optimization. Mixed integer non-linear programming is also used for comparison purposes. Full ac power flow calculation is included to allow taking into account the network constraints. A case study with a 33-bus distribution network and 2000 V2G resources is used to illustrate the performance of the proposed method.