Short-term forecasting of electricity prices in the Colombian electricity market

Lira, F; Munoz, C; Nuñez, F.; Cipriano A.

Abstract

The restructuring of the electricity-generating industry from protected monopoly to an open competitive market has presented producers with a problem scheduling generation: finding the optimal bidding strategy to maximise their profits. In order to solve this scheduling problem, a reliable system capable of forecasting electricity prices is needed. This work evaluates the forecasting capabilities of several modelling techniques for the next-day-prices forecasting problem in the Colombian market, measured in USD/MWh. The models include exogenous variables such as reservoir levels and load demand. Results show that a segmentation of the prices into three intervals, based on load demand behaviour, contribute to an important standard deviation reduction. Regarding the models under analysis, Takagi-Sugeno-Kang models and ARMAX models identified by means of a Kalman filter perform the best forecasting, with an error rate below 6. © 2009 The Institution of Engineering and Technology.

Más información

Título según WOS: Short-term forecasting of electricity prices in the Colombian electricity market
Título según SCOPUS: Short-term forecasting of electricity prices in the Colombian electricity market
Título de la Revista: IET GENERATION TRANSMISSION & DISTRIBUTION
Volumen: 3
Número: 11
Editorial: INST ENGINEERING TECHNOLOGY-IET
Fecha de publicación: 2009
Página de inicio: 980
Página final: 986
Idioma: English
URL: http://digital-library.theiet.org/content/journals/10.1049/iet-gtd.2009.0218
DOI:

10.1049/iet-gtd.2009.0218

Notas: ISI, SCOPUS