Mathematical Modelling of Contemporary Electricity Markets

Front Matter
Copyright
Contributors
Preface
Introduction
	Which is the need for the book? What are its aims and scope?
	What problems does the book solve?
	What are the features and benefits of the book?
	Who is the target audience
	What is the contribution of the book in the literature?
	What is the structure of the book? Does its nature (book of chapters) affect its coherence and quality?
	References
Forecasting energy demand with econometrics
	Introduction
	Methodology
	Methodology application
		Data
		Long-run
		Short run
		Impulse response functions (IRFs)
	Conclusions
	References
An econometric approach for Germanys short-term energy demand forecasting
	Introduction
	German energy landscape
	Data and methodology
		Variables description
		Methods and formulas
			AR (p) and MA (q)
			ARMA and ARMAX
		Forecasting
			AR
			Forecast with MA
			Forecast with ARMA (p,q) model
		Forecasting accuracy
	Results
		Measuring forecasting accuracy
		Comparing linear regression, simple exponential smoothing and ARMAX models
	Conclusions
	Appendix
	References
	Further reading
A novel adaptive day-ahead load forecast method, incorporating non-metered distributed generation: A compariso ...
	Introduction
	Comparative review of load forecasting methodologies
		Load forecasting methods applied by TSOs
	Neural networks-Mathematical background
		RNNs-Transition toward LSTM
		Long short-term memory
	Short-term load forecast using LSTM network
		Input dataset
		Data preprocessing, standardization
		LSTM model specification
		Result evaluation
	Discussion on the correlation of non-metered generation and daily loads
	Conclusions
	References
Forecasting week-ahead hourly electricity prices in Belgium with statistical and machine learning methods
	Introduction
	Statistical and machine learning methods in electricity price forecasting
		Overview of forecasting methods
		Statistical methods
			Seasonal naïve (sNaive)
			Exponential smoothing (ES)
			Seasonally adjusted simple exponential smoothing (DSES)
			Seasonally adjusted exponential smoothing (DES)
			Multiple Aggregation Prediction Algorithm (MAPA)
			Multiple linear regression (MLR)
			Autoregressive integrated moving average (ARIMA)
		Machine learning methods
			Multi-layer perceptron (MLP)
			Random forest (RF)
		Combinations
	Empirical evaluation
		Dataset
		Experimental set-up
		Results
	Conclusions
	References
Use probabilistic forecasting to model uncertainties in electricity markets-A wind power example
	Introduction
	Data source and data conditioning
		Data source
		Data conditioning
			Outlier detection
			Data preparation
			Distribution and correlation analysis
	Forecasting methodology
		Multiple linear regression
		k-Nearest neighbors algorithm
		Coordinate descent algorithm
		Probabilistic forecasting based on KDE method
		Probabilistic forecasting based on KDE method
	Model selection
	Results
		Error measures
		Model configuration
		Evaluation results
	Error analysis
		Geographical distribution
		Error distribution
		RMSE vs. quantile score
		Impact of NWP quality
	Conclusions
	References
Modelling interlinked commodities´ prices: The case of natural gas
	Introduction
	Literature review
	Data and methodology
		Data
		Methodology
			Structural breaks
			Price transmission
			Multivariate conditional volatility
	Empirical results
		Structural breaks
		Price transmission
		Multivariate conditional volatility
	Conclusions
	References
An optimization model for the economic dispatch problem in power exchanges
	Introduction
	Mathematical model
		Objective function
		Model constraints
			Energy supply limits
			Energy consumption limits
			Energy exchange limits
			Block orders-Acceptance ratio
			Block orders energy generation
			Time-flexible block orders
			Demand balance
	Case study description
	Results and discussion
		Power system´s marginal price
		Electricity trading
		Thermal units´ operation
	Conclusions
	References
Power system flexibility: A methodological analytical framework based on unit commitment and economic dispatch ...
	Introduction
		Structure
	Methodology
		Preliminary evaluation of flexibility requirements
		Assessment of technical capability of resources to provide flexibility
		UCED model
			Basic features of the UCED model
			Specific issues on the formulation of the UCED model
				Modelling of Reserves
				Modelling of storage and DR
				Modelling of maintenance operations and hydro operation
				Representation of non-explicitly modeled countries
				Modelling of demand
		Examined indicators for the detailed analysis of power system operational flexibility
	Methodology application
		Case study
	Results
		Preliminary evaluation of flexibility requirements
		Assessment of technical capability of resources to provide flexibility
		Detailed analysis of power system operational flexibility
		Convergence of the Monte Carlo simulations
	Discussion
		Critical points
			Non-availability of energy versus the non-availability of adequate level of reserve
			Relation between flexibility characteristics and expected market outcomes
			Impact of demand response
		Identification of areas for further improvement
			Representation of non-explicitly modeled countries
			Network modelling
			Mid-term/short-term hydro scheduling coordination
			Better representation of the Intraday Market
			Better representation of the Balancing Market
			Representation of thermal efficiency of conventional power plants
		Future challenges
	Conclusions
	Appendix: Further results
	References
Retailer profit maximization with the assistance of price and load forecasting processes
	Introduction
	Methodology
		Problem formulation
		Test case
	Results
	Conclusions
	References
Modelling cross-border interactions of EU balancing markets: A focus on scarcity pricing
	Introduction
		Scarcity pricing in US markets
		Scarcity pricing in EU markets
		Cross-border considerations
		Structure of the chapter
	The stochastic equilibrium model
		Real time
			Real-time balancing platform
			Generators in the Netherlands
			Generators in Belgium
			Loads
			Belgian network operator
			Market clearing
		Day ahead
			Day-ahead market clearing platform
			Generators in Belgium
			Generators in the Netherlands
			Loads
			Network operator
			Market clearing
	Application on a two-zone system
		Market for real-time energy in both zones
		Market for real-time reserve capacity in Belgium but not in the Netherlands
		Day-ahead energy market
		Day-ahead reserve market
		Leaning on Dutch resources
	Discussion
		Equilibrium model solutions versus actual platform outcomes
		Institutional considerations
	Conclusions and perspectives
	Appendix: Glossary
	References
Electricity portfolio optimization: Cost minimization using MILP
	Introduction
	Mathematical model
		Objective function
		Case description and modelling
			Modelling the power-plant
			Modelling the spot market
				Improving the peak load contracts
				Pricing the different PLCs
			Modelling the demand response
				Pricing the DR program
		Summing up the different models
	Results and discussion
	Conclusions
	References
Business opportunities in the day ahead markets by storage integration: An application to the German case
	Introduction
	Trading mathematical model
		Practical implementation issues
	Data description
	Results and discussion
		Technical analysis of the trading model with BESS
		Financial analysis of the trading model with BESS
		Econometric analysis
	Conclusions and policy implications
	References
The integration of dynamic demand in electricity markets: Blockchain 3.0 as an enabler of microgrid energy ex ...
	Introduction
	Demand response, storage, electric vehicles and peer-to-peer (P2P) blockchain energy trading
		Peer-to-peer (P2P) energy trading
		Demand response, storage, electric vehicles and blockchain
	Implementation level
	Technical issues on blockchain, demand response and storage
		Blockchain implementations applicable to energy systems
		Ancillary services market (demand response-voltage support/reactive energy)
	Blockchain demand management considerations and power system operation
		Algorithmic representation of blockchain
		Steady state and dynamic network constraints
	Social dimension
	Conclusions and future work
	References
Optimizing CHP operational planning for participating in day-ahead power markets: The case of a coal-fired CH ...
	Introduction
	Mathematical model
		Objective function
		Constraints
			Feasible operation region
			Thermal energy balance
			Operation state of the CHP plant
			Operation state of pulverized-coal fired boilers supplying steam to the extraction-condensing turbine
			Start-up trajectory of pulverized coal-fired boilers supplying steam to the extraction-condensing turbine
			Maximum and minimum limits of combined generation
			Auxiliary boilers power output and fuel consumption
			Auxiliary boilers power output limits
			Must-run constraints of auxiliary boilers
			Start-up and shut-down trajectories of auxiliary boilers
			Thermal energy storage inventory balance
			Thermal energy storage capacity limit
			Thermal energy storage charge and discharge limits
			Thermal energy storage operation mode
			Storage thermal energy losses to the surroundings
			Uniform water temperature in the thermal energy storage
	Illustrative example
	Computational results
	Conclusions
	References
Statistical analysis of power flows based on system marginal price differentials between two power systems
	Introduction
	Methodology
		Validation of the statistical analysis
	Methodology application
	Conclusions
	References
EW Flex: A decentralized flexibility marketplace fostering TSO-DSO cooperation
	Introduction
	The TSO-DSO coordination issue
	The Energy Web Decentralized Operating System
		Trust layer
		Utility layer
		Toolkit layer
	EW Flex
		EW Flex architecture
	Decentralized vs centralized flexibility marketplaces
		EW Core
		Application registry
		EW Flex platform
	Conclusions
	References
	Further reading
Forecasting electricity supply shocks: A Bayesian panel VAR analysis
	Introduction
	Data and sample
	Empirical methodology
	Results and discussion
	Conclusions
	References
Formulating and estimating an energy security index: A geopolitical review of quantitative approaches
	Introduction
	Conceptualizing energy security
	Estimating energy security
		The role of energy markets
		Incorporating qualitative techniques
		Weighting and aggregating components and dimensions
		Using other indexes
		Forecasting
	Conclusions
	References
Assessing the Western Balkans power systems: A case study of Serbia
	Introduction
	Mathematical formulation
		Objective function
		Constraints
			Electricity demand balance
			Operating limits
			Renewable energy production
			Hydropower generation
			Energy trading
			Ramp limits
			Time limits
			Reserve limits
			Reserve requirements
	Case study
	Results
		Energy mix
		Economic performance
		Environmental performance
		Reserve mix
	Conclusions
	References
Evaluation of capacity expansion scenarios for the Hellenic electric sector
	Introduction
	Methodology
	Results
	Conclusions
	References
An ex-ante market monitoring and regulation mechanism for market concentration in electricity and natural gas ...
	Introduction
	Generic framework of the ex-ante market monitoring and regulation mechanism
		Defining the relative markets
		Supply side
		Demand side
		Comparing supply with demand side
		Defining combination of market concentration in aggregate and disaggregate markets
	Mathematical framework of the ex-ante market monitoring mechanism
		Supply side
			Estimation of Indicator 1
			Estimation of Indicator 2
			Estimation of Indicator 3
			Estimation of Indicator 4
		Demand side
	Application in the Hellenic electricity market
		Application in the electricity market
			Supply side
				Market monitoring of market concentration
			Regulation of market concentration
				Lignite disaggregate market
				Large hydro disaggregate market
				Natural gas disaggregate market
				Renewables disaggregate market
				Interconnections disaggregate market
			Demand side
		Application in the natural gas market
	Conclusions
	References
Index
	A
	B
	C
	D
	E
	F
	G
	H
	I
	J
	K
	L
	M
	N
	O
	P
	Q
	R
	S
	T
	U
	V
	W
	Y