Research

14 pages, 3401 KiB

Open AccessArticle

Short-Term Electricity Price Forecasting with Recurrent Regimes and Structural Breaks

by Rodrigo A. de Marcos, Derek W. Bunn, Antonio Bello and Javier Reneses

Energies 2020, 13(20), 5452; https://doi.org/10.3390/en13205452 - 19 Oct 2020

Cited by 10 | Viewed by 2529

This paper develops a new approach to short-term electricity forecasting by focusing upon the dynamic specification of an appropriate calibration dataset prior to model specification. It challenges the conventional forecasting principles which argue that adaptive methods should place most emphasis upon recent data [...] Read more.

This paper develops a new approach to short-term electricity forecasting by focusing upon the dynamic specification of an appropriate calibration dataset prior to model specification. It challenges the conventional forecasting principles which argue that adaptive methods should place most emphasis upon recent data and that regime-switching should likewise model transitions from the latest regime. The approach in this paper recognises that the most relevant dataset in the episodic, recurrent nature of electricity dynamics may not be the most recent. This methodology provides a dynamic calibration dataset approach that is based on cluster analysis applied to fundamental market regime indicators, as well as structural time series breakpoint analyses. Forecasting is based upon applying a hybrid fundamental optimisation model with a neural network to the appropriate calibration data. The results outperform other benchmark models in backtesting on data from the Iberian electricity market of 2017, which presents a considerable number of market structural breaks and evolving market price drivers. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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21 pages, 2407 KiB

Open AccessArticle

Evolving Bidding Formats and Pricing Schemes in USA and Europe Day-Ahead Electricity Markets

by Ignacio Herrero, Pablo Rodilla and Carlos Batlle

Energies 2020, 13(19), 5020; https://doi.org/10.3390/en13195020 - 24 Sep 2020

Cited by 15 | Viewed by 3285

Abstract

This paper compares the evolution of USA and European power markets and evaluates the suitability and future challenges of their designs in the context of the transition to a low-carbon power system. The analysis focuses on bidding formats (the way in which organized [...] Read more.

This paper compares the evolution of USA and European power markets and evaluates the suitability and future challenges of their designs in the context of the transition to a low-carbon power system. The analysis focuses on bidding formats (the way in which organized electricity markets allow participants to express their operational constraints) and pricing schemes (how agents recover their short-term costs from market prices). The radical evolution of the power mixes worldwide already experienced in the last decade and the larger one to come, with even greater shares of renewable energy and a more prominent role for storage resources, exposes limitations in current market designs. We develop an in-depth and comprehensive review of best practices from both sides of the Atlantic, and learning from them, we draw recommendations to evolve these market design elements. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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19 pages, 686 KiB

Open AccessArticle

Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios

by Johannes Kaufmann, Philipp Artur Kienscherf and Wolfgang Ketter

Energies 2020, 13(14), 3578; https://doi.org/10.3390/en13143578 - 11 Jul 2020

Cited by 8 | Viewed by 3318

Abstract

With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result in underestimation of market risks and adverse effects [...] Read more.

With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result in underestimation of market risks and adverse effects for stakeholders’ risk management. To enable an undistorted risk assessment, we are using a copula approach to precisely and jointly model electricity prices and infeed volumes of wind power. We simulate the case of wind farm operators using power purchase agreements (PPAs) to shift the price risk to an energy trader, who integrates the infeed into its portfolio. The trader’s portfolio can either be geographically dispersed, or highly localized. Based on its portfolio, the energy trader can decide to use derivatives such as futures to manage its risk exposure. The trader decides on future volumes subject to its portfolio’s inherent volatility. With a given risk averse strategy, a sufficiently diverse portfolio can help reduce the necessity to trade futures and subsequently the disadvantage of having to pay potential risk premiums. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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17 pages, 382 KiB

Open AccessArticle

A New Methodology to Obtain a Feasible Thermal Operation in Power Systems in a Medium-Term Horizon

by Luis Montero, Antonio Bello and Javier Reneses

Energies 2020, 13(12), 3056; https://doi.org/10.3390/en13123056 - 12 Jun 2020

Cited by 3 | Viewed by 1848

Abstract

Nowadays, electricity market paradigms are constantly changing. On the one hand, the deployment of non-dispatchable renewable energy sources is bringing out the necessity of representing hourly dynamics in medium-term fundamental models. On the other, the promotion of new interconnection capacity and the integration [...] Read more.

Nowadays, electricity market paradigms are constantly changing. On the one hand, the deployment of non-dispatchable renewable energy sources is bringing out the necessity of representing hourly dynamics in medium-term fundamental models. On the other, the promotion of new interconnection capacity and the integration of markets (as is the case of the European market) makes necessary the simultaneous modeling of multiple electricity systems. Thus, the large size of power markets, together with the consideration of uncertainty in some inputs, make it computationally intractable to work rigorously on an hourly detailed time span. Temporal aggregation, integer programming relaxation or less accurate generation modeling are usually employed to obtain reasonable computation times. However, the application of these techniques often leads to infeasible or suboptimal operational outputs. This paper proposes a new soft-linking methodology to meet reliable results from medium-term models, such as hourly prices or aggregated productions, with a feasible and detailed representation of the thermal generation, considering technical constraints and risk aversion. The results of a fundamental model that represents the competitive behavior between market players in a multi-area power system are used as the starting point for the methodology. Then, a post-processing method is applied to optimize and make feasible the thermal portfolio of a market agent. The final output is a feasible hourly scheduling and an ample space for optimization, where the introduction of a strategic term represents the rational behavior of a player who tries to maximize its profit. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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20 pages, 978 KiB

Open AccessArticle

Modeling the Price Stability and Predictability of Post Liberalized Gas Markets Using the Theory of Information

by Anis Hoayek, Hassan Hamie and Hans Auer

Energies 2020, 13(11), 3012; https://doi.org/10.3390/en13113012 - 11 Jun 2020

Cited by 1 | Viewed by 2490

Abstract

Energy markets in the United States and Europe are getting more liberalized. The question of whether the liberalization of the gas industry in both markets has led to stable prices and less concentrated markets has appealed great interest among the scientific community. This [...] Read more.

Energy markets in the United States and Europe are getting more liberalized. The question of whether the liberalization of the gas industry in both markets has led to stable prices and less concentrated markets has appealed great interest among the scientific community. This study aims to measure the power and efficiency of an information structure contained in the gas prices time series. This assessment is useful to the oversight duty of regulators in such markets in the post liberalized era. First, econometric and mathematical methods based on game theory, records theory, and Shannon entropy are used to measure the following indicators: level of competition, price stability, and price uncertainty respectively—for both markets. Second, the level of information generated by these indicators is quantified using the information theory. The results of this innovative two-step approach show that the functioning of the European market requires the regulator’s intervention. This intervention is done by applying additional rules to enhance the competitive aspect of the market. This is not that case for the U.S. market. Also, the value of the information contained in both markets’ wholesale gas prices, although in asymmetric terms, is significant, and therefore proves to be an important instrument for the regulators. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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17 pages, 485 KiB

Open AccessArticle

Strategic-Agent Equilibria in the Operation of Natural Gas and Power Markets

by Sheng Chen and Antonio J. Conejo

Energies 2020, 13(4), 868; https://doi.org/10.3390/en13040868 - 17 Feb 2020

Cited by 4 | Viewed by 1787

Abstract

We consider strategic gas/power producers and strategic gas/power consumers operating in both gas and power markets. We build a flexible multi-period complementarity model to characterize day-ahead equilibria in those markets. This model is an equilibrium program with equilibrium constraints that characterizes the market [...] Read more.

We consider strategic gas/power producers and strategic gas/power consumers operating in both gas and power markets. We build a flexible multi-period complementarity model to characterize day-ahead equilibria in those markets. This model is an equilibrium program with equilibrium constraints that characterizes the market behavior of all market agents. Using a realistic case study, we analyze equilibria under perfect and oligopolistic competition. We also analyze equilibria under different levels of information disclosure regarding market outcomes. We study as well equilibria under different ownership schemes: no hybrid agent, some hybrid agents, and only hybrid agents. Finally, we derive policy recommendations for the regulators of both the gas and the power markets. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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19 pages, 4253 KiB

Open AccessArticle

Financial Impacts of Net-Metered Distributed PV on a Prototypical Western Utility’s Shareholders and Ratepayers

by Peter Cappers, Andrew Satchwell, Will Gorman and Javier Reneses

Energies 2019, 12(24), 4794; https://doi.org/10.3390/en12244794 - 16 Dec 2019

Cited by 8 | Viewed by 2396

Abstract

Distributed solar photovoltaic (DPV) under net-energy metering with volumetric retail electricity pricing has raised concerns among utilities and regulators about adverse financial impacts for shareholders and ratepayers. Using a pro forma financial model, we estimate the financial impacts of different DPV deployment levels [...] Read more.

Distributed solar photovoltaic (DPV) under net-energy metering with volumetric retail electricity pricing has raised concerns among utilities and regulators about adverse financial impacts for shareholders and ratepayers. Using a pro forma financial model, we estimate the financial impacts of different DPV deployment levels on a prototypical Western U.S. investor-owned utility under a varied set of operating conditions that would be expected to affect the value of DPV. Our results show that the financial impacts on shareholders and ratepayers increase as the level of DPV deployment increases, though the magnitude is small even at high DPV penetration levels. Even rather dramatic changes in DPV value result in modest changes to shareholder and ratepayer impacts, but the impacts on the former are greater than the latter (in percentage terms). The range of financial impacts are driven by differences in the amount of incremental capital investment that is deferred, as well as the amount of incremental distribution operating expenses that are incurred. While many of the impacts appear relatively small (on a percentage basis), they demonstrate how the magnitude of impacts depend critically on utility physical, financial, and operating characteristics. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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20 pages, 2340 KiB

Open AccessArticle

Expansion Planning Method of the Industrial Park Integrated Energy System Considering Regret Aversion

by Haokai Xie, Pu Zhao, Xudong Ji, Qun Lin and Lianguang Liu

Energies 2019, 12(21), 4098; https://doi.org/10.3390/en12214098 - 27 Oct 2019

Cited by 4 | Viewed by 1983

Abstract

Industrial parks have various sources and conversion forms of energy. The many uncertainties in the planning of industrial park integrated energy systems (IPIES) pose a great risk of regret in planning schemes; thus, an expansion planning method for an IPIES, considering regret aversion, [...] Read more.

Industrial parks have various sources and conversion forms of energy. The many uncertainties in the planning of industrial park integrated energy systems (IPIES) pose a great risk of regret in planning schemes; thus, an expansion planning method for an IPIES, considering regret aversion, is proposed. Based on comprehensive regret value consisting of min–max regret aversion and the min average regret value, the method optimizes the comprehensive cost of the expansion planning scheme in IPIES under different natural gas price fluctuation scenarios, including costs of construction, operation and maintenance, and environmental protection. A multi-stage expansion planning scheme and typical daily operation plans under multiple natural gas price fluctuation scenarios of the IPIES in an economic and technological development zone in southeast China are used to demonstrate the validity of the method. The results show that, compared with a traditional planning method based on expectation, the proposed expansion planning method could reduce the maximum regret value by 14% on average, and greatly reduces the risk of decision-making regret by up to 18%. At the same time, the influence of natural gas price on expansion planning of the IPIES is discussed. Full article

(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)

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