Portfolio decision of short-term electricity forecasted prices through stochastic programming

Augustin A. Sánchez de la Nieta Lopez, Virginia González, Javier Contreras

Research output: Contribution to journalArticleAcademicpeer-review

17 Citations (Scopus)
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Abstract

Deregulated electricity markets encourage firms to compete, making the development of renewable energy easier. An ordinary parameter of electricity markets is the electricity market price, mainly the day-ahead electricity market price. This paper describes a new approach to forecast day-ahead electricity market prices, whose methodology is divided into two parts as: (i) forecasting of the electricity price through autoregressive integrated moving average (ARIMA) models; and (ii) construction of a portfolio of ARIMA models per hour using stochastic programming. A stochastic programming model is used to forecast, allowing many input data, where filtering is needed. A case study to evaluate forecasts for the next 24 h and the portfolio generated by way of stochastic programming are presented for a specific day-ahead electricity market. The case study spans four weeks of each one of the years 2014, 2015 and 2016 using a specific pre-treatment of input data of the stochastic programming (SP) model. In addition, the results are discussed, and the conclusions are drawn.

Original languageEnglish
Article number1069
Number of pages19
JournalEnergies
Volume9
Issue number12
DOIs
Publication statusPublished - 1 Dec 2016
Externally publishedYes

Keywords

  • ARIMA models
  • Day-ahead electricity market price
  • Forecasting portfolio
  • Stochastic programming

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