[en] 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.
Disciplines :
Computer science Energy
Author, co-author :
Dumas, Jonathan ; Université de Liège - ULiège > Dép. d'électric., électron. et informat. (Inst.Montefiore) > Smart-Microgrids
Language :
English
Title :
Presentation of the paper Probabilistic Forecasting of Imbalance Prices in the Belgian Context.
Publication date :
September 2019
Event name :
16th European Energy Market Conference (EEM 2019)
Event organizer :
Ljubljana university, faculty of electrical engineering
Event place :
Ljubljana, Slovenia
Event date :
18/09/2019 - 20/09/2019
By request :
Yes
References of the abstract :
Dumas, Jonathan, et al. "Probabilistic Forecasting of Imbalance Prices in the Belgian Context." 2019 16th International Conference on the European Energy Market (EEM). IEEE, 2019.
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