Probabilistic Forecasting of Imbalance Prices in the Belgian Context
- URL: http://arxiv.org/abs/2106.07361v1
- Date: Wed, 9 Jun 2021 13:02:34 GMT
- Title: Probabilistic Forecasting of Imbalance Prices in the Belgian Context
- Authors: Jonathan Dumas, Ioannis Boukas, Miguel Manuel de Villena, S\'ebastien
Mathieu, Bertrand Corn\'elusse
- Abstract summary: A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case.
The first step consists of computing the net regulation volume state transition probabilities.
The corresponding marginal prices for each activation level are published by the Belgian Transmission System Operator one day before electricity delivery.
- Score: 32.17079308878932
- License: http://creativecommons.org/licenses/by-nc-nd/4.0/
- Abstract: 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 of
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 a widely used probabilistic technique,
Gaussian Processes.
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