Forecasting Balancing Market Prices Using Hidden Markov Models

被引：0

作者：

Dimoulkas, Ilias ^{[1
]}

Amelin, Mikael ^{[1
]}

Hesamzadeh, Mohammad Reza ^{[2
]}

机构：

[1] KTH Royal Inst Technol, Elect Power & Energy Syst, Sch Elect Engn, Stockholm, Sweden

[2] KTH Royal Inst Technol, Elect Market Res Grp, Elect Power & Energy Syst, Stockholm, Sweden

来源：

2016 13TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2016年

关键词：

D O I：

暂无

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：

This paper presents a Hidden Markov Model (HMM) based method to predict the prices and trading volumes in the electricity balancing markets. The HMM are quite powerful in modelling stochastic processes where the underlying dynamics are not apparent. The proposed method provides both one hour and 12-36 hour ahead forecasts. The first is mostly useful to wind/solar producers in order to compensate their production imbalances while the second is important when submitting the offers to the day ahead markets. The results are compared to the ones from Markov-autoregressive model.

引用

页数：5

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