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Presentation
Scenario Generation for Price Forecasting in Restructured Wholesale Power Markets
Proceedings of the 2009 Power Systems Conference & Exposition
  • Qun Zhou, Iowa State University
  • Leigh Tesfatsion, Iowa State University
  • Chen-Ching Liu, University College of Dublin
Document Type
Conference Proceeding
Conference
2009 IEEE Power Systems Conference and Exposition
Publication Version
Accepted Manuscript
Link to Published Version
http://dx.doi.org/10.1109/PSCE.2009.4840062
Publication Date
1-1-2009
DOI
10.1109/PSCE.2009.4840062
Conference Title
2009 IEEE Power Systems Conference and Exposition
Conference Date
March 15-18, 2009
Geolocation
(47.6062095, -122.3320708)
Abstract
Abstract: In current restructured wholesale power markets, the short length of time series for prices makes it difficult to use empirical price data to test existing price forecasting tools and to develop new price forecasting tools. This study therefore proposes a two-stage approach for generating simulated price scenarios based on the available price data. The first stage consists of an Autoregressive Moving Average (ARMA) model for determining scenarios of cleared demands and scheduled generator outages (D&O), and a moment-matching method for reducing the number of D&O scenarios to a practical scale. In the second stage, polynomials are fitted between D&O and wholesale power prices in order to obtain price scenarios for a specified time frame. Time series data from the Midwest ISO (MISO) are used as a test system to validate the proposed approach. The simulation results indicate that the proposed approach is able to generate price scenarios for distinct seasons with empirically realistic characteristics.
Comments

© 2009 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. DOI: 10.1109/PSCE.2009.4840062

Copyright Owner
IEEE
Language
en
File Format
application/pdf
Citation Information
Qun Zhou, Leigh Tesfatsion and Chen-Ching Liu. "Scenario Generation for Price Forecasting in Restructured Wholesale Power Markets" Seattle, WAProceedings of the 2009 Power Systems Conference & Exposition (2009)
Available at: http://works.bepress.com/leigh-tesfatsion/54/