A looming revolution: Implications of self-generation for the risk exposure of retailers. ESRI WP597, September 2018

Managing the risk associated with uncertain load has always been a challenge for retailers in electricity markets. Yet the load variability has been largely predictable in the past, especially when aggregating a large number of consumers. In contrast, the increasing penetration of unpredictable, small-scale electricity generation by consumers, i.e. self-generation, constitutes a new and yet greater volume risk. Using value-at-risk metrics and Monte Carlo simulations based on German historical loads and prices, the contribution of decentralized solar PV self-generation to retailers’ load and revenue risks is assessed. This analysis has implications for the consumers’ welfare and the overall efficiency of electricity markets

Forecasting Italian Electricity Zonal Prices with Exogenous Variables

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions. We aim to understand how technologies, concentration and congestions affect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk–hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg–ARFIMA–GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered.Electricity prices, Production technologies, Market power (HHI, RSI), Congestions, Fractional Integration, Forecasting

Long-Term Load Forecasting Considering Volatility Using Multiplicative Error Model

Long-term load forecasting plays a vital role for utilities and planners in terms of grid development and expansion planning. An overestimate of long-term electricity load will result in substantial wasted investment in the construction of excess power facilities, while an underestimate of future load will result in insufficient generation and unmet demand. This paper presents first-of-its-kind approach to use multiplicative error model (MEM) in forecasting load for long-term horizon. MEM originates from the structure of autoregressive conditional heteroscedasticity (ARCH) model where conditional variance is dynamically parameterized and it multiplicatively interacts with an innovation term of time-series. Historical load data, accessed from a U.S. regional transmission operator, and recession data for years 1993-2016 is used in this study. The superiority of considering volatility is proven by out-of-sample forecast results as well as directional accuracy during the great economic recession of 2008. To incorporate future volatility, backtesting of MEM model is performed. Two performance indicators used to assess the proposed model are mean absolute percentage error (for both in-sample model fit and out-of-sample forecasts) and directional accuracy.Comment: 19 pages, 11 figures, 3 table

Improving Short-Term Electricity Price Forecasting Using Day-Ahead LMP with ARIMA Models

Short-term electricity price forecasting has become important for demand side management and power generation scheduling. Especially as the electricity market becomes more competitive, a more accurate price prediction than the day-ahead locational marginal price (DALMP) published by the independent system operator (ISO) will benefit participants in the market by increasing profit or improving load demand scheduling. Hence, the main idea of this paper is to use autoregressive integrated moving average (ARIMA) models to obtain a better LMP prediction than the DALMP by utilizing the published DALMP, historical real-time LMP (RTLMP) and other useful information. First, a set of seasonal ARIMA (SARIMA) models utilizing the DALMP and historical RTLMP are developed and compared with autoregressive moving average (ARMA) models that use the differences between DALMP and RTLMP on their forecasting capability. A generalized autoregressive conditional heteroskedasticity (GARCH) model is implemented to further improve the forecasting by accounting for the price volatility. The models are trained and evaluated using real market data in the Midcontinent Independent System Operator (MISO) region. The evaluation results indicate that the ARMAX-GARCH model, where an exogenous time series indicates weekend days, improves the short-term electricity price prediction accuracy and outperforms the other proposed ARIMA modelsComment: IEEE PES 2017 General Meeting, Chicago, I

Chance-Constrained Day-Ahead Hourly Scheduling in Distribution System Operation

This paper aims to propose a two-step approach for day-ahead hourly scheduling in a distribution system operation, which contains two operation costs, the operation cost at substation level and feeder level. In the first step, the objective is to minimize the electric power purchase from the day-ahead market with the stochastic optimization. The historical data of day-ahead hourly electric power consumption is used to provide the forecast results with the forecasting error, which is presented by a chance constraint and formulated into a deterministic form by Gaussian mixture model (GMM). In the second step, the objective is to minimize the system loss. Considering the nonconvexity of the three-phase balanced AC optimal power flow problem in distribution systems, the second-order cone program (SOCP) is used to relax the problem. Then, a distributed optimization approach is built based on the alternating direction method of multiplier (ADMM). The results shows that the validity and effectiveness method.Comment: 5 pages, preprint for Asilomar Conference on Signals, Systems, and Computers 201

Collinsville solar thermal project: yield forecasting (draft report)

The final report has been published and is available here. Executive Summary 1        Introduction This report’s primary aim is to provide yield projections for the proposed Linear Fresnel Reflector (LFR) technology plant at Collinsville, Queensland, Australia.  However, the techniques developed in this report to overcome inadequate datasets at Collinsville to produce the yield projections are of interest to a wider audience because inadequate datasets for renewable energy projects are commonplace.  The subsequent report called ‘Energy economics and dispatch forecasting’ (Bell, Wild & Foster 2014a) uses the yield projections from this report to produce long-term wholesale market price and dispatch forecasts for the plant.  2        Literature review The literature review discusses the four drivers for yield for LFR technology: DNI (Direct Normal Irradiance) Temperature Humidity Pressure Collinsville lacks complete historical datasets of the four drivers to develop yield projects but its three nearby neighbours do possess complete datasets, so could act as proxies for Collinsville.  However, analysing the four drivers for Collinsville and its three nearby sites shows that there is considerable difference in their climates.  This difference makes them unsuitable to act as proxies for yield calculations.  Therefore, the review investigates modelling the four drivers for Collinsville. We introduce the term “effective” DNI to help clarify and ameliorate concerns over the dust and dew effects on terrestrial DNI measurement and LFR technology. We also introduce a modified TMY technique to overcome technology specific Typical Metrological Year (TMY).  We discuss the effect of climate change and the El Nino Southern Oscillation (ENSO) on yield and their implications for a TMY. 2.1     Research questions Research question arising from the literature review include: The overarching research question: Can modelling the weather with limited datasets produce greater yield predictive power than using the historically more complete datasets from nearby sites? This overarching question has a number of smaller supporting research questions: Is BoM’s DNI satellite dataset adequately adjusted for cloud cover at Collinsville? Given the dust and dew effects, is using raw satellite data sufficient to model yield? Does elevation between Collinsville and nearby sites affect yield? How does the ENSO affect yield? Given the 2007-2012 constraint, will the TMY process provide a “Typical” year over the ENSO cycle? How does climate change affect yield? A further research question arises in the methodology but is included here for completeness. What is the expected frequency of oversupply from the Linear Fresnel Novatec Solar Boiler? 3        Methodology In the methodology section, we discuss the data preparation and the model selection process for the four drivers of yield. 4        Results and analysis In the results section we present the four driver models selected and the process that was undertaken to arrive at the models. 5        Discussion We analyse the extent to which the research questions are informed by the results. 6        Conclusion In this report, we have identified the key research questions and established a methodology to address these questions.  The models for the four drivers have been established allowing the calculation of the yield projections for Collinsville