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

Reliable numerical computation in an optimal output-feedback design

A reliable algorithm is presented for the evaluation of a quadratic performance index and its gradients with respect to the controller design parameters. The algorithm is a part of a design algorithm for optimal linear dynamic output-feedback controller that minimizes a finite-time quadratic performance index. The numerical scheme is particularly robust when it is applied to the control-law synthesis for systems with densely packed modes and where there is a high likelihood of encountering degeneracies in the closed-loop eigensystem. This approach through the use of an accurate Pade series approximation does not require the closed-loop system matrix to be diagonalizable. The algorithm was included in a control design package for optimal robust low-order controllers. Usefulness of the proposed numerical algorithm was demonstrated using numerous practical design cases where degeneracies occur frequently in the closed-loop system under an arbitrary controller design initialization and during the numerical search

Higher-order estimates of the chromomagnetic moment of a heavy quark

The leading beta_0^(n-1) alpha_s^n terms in the Wilson coefficient and anomalous dimension of the chromomagnetic operator in the heavy-quark effective Lagrangian are summed to all orders of perturbation theory. The perturbation series for the anomalous dimension is well behaved, while that for the Wilson coefficient exhibits a divergent behaviour already in low orders, caused by a nearby infrared renormalon singularity. The resulting ambiguity is commensurate with terms of order 1/m^2 in the effective Lagrangian, whose corresponding ultraviolet renormalons are identified. An excellent approximation for the scheme-invariant Wilson coefficient at next-to-next-to-leading order in renormalization-group improved perturbation theory is obtained.Comment: 16 pages, 3 figures embedde

Moment instabilities in multidimensional systems with noise

We present a systematic study of moment evolution in multidimensional stochastic difference systems, focusing on characterizing systems whose low-order moments diverge in the neighborhood of a stable fixed point. We consider systems with a simple, dominant eigenvalue and stationary, white noise. When the noise is small, we obtain general expressions for the approximate asymptotic distribution and moment Lyapunov exponents. In the case of larger noise, the second moment is calculated using a different approach, which gives an exact result for some types of noise. We analyze the dependence of the moments on the system's dimension, relevant system properties, the form of the noise, and the magnitude of the noise. We determine a critical value for noise strength, as a function of the unperturbed system's convergence rate, above which the second moment diverges and large fluctuations are likely. Analytical results are validated by numerical simulations. We show that our results cannot be extended to the continuous time limit except in certain special cases.Comment: 21 pages, 15 figure

Less than perfect quantum wavefunctions in momentum-space: How phi(p) senses disturbances in the force

We develop a systematic approach to determine the large |p| behavior of the momentum-space wavefunction, phi(p), of a one-dimensional quantum system for wich the position-space wavefunction, psi(x), has a discontinuous derivative at any order. We find that if the k-th derivative of the potential energy function has a discontinuity, there is a corresponding discontinuity in psi^{(k+2)}(x) at the same point. This discontinuity leads directly to a power-law tail in the momentum-space wavefunction proportional to 1/p^{k+3}. A number of familiar pedagogical examples are examined in this context, leading to a general derivation of the result.Comment: 22 pages, 2 figures. To appear in Am. J. Phy

Dynamic response of a double-deck circular tunnel embedded in a full-space

© 2016. This version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/A three-dimensional dynamic model for calculating the ground-borne vibrations generated by harmonic loads applied on the interior floor of a double-deck circular tunnel is developed. The response of the system is obtained coupling the interior floor subsystem and the tunnel-soil subsystem in the wavenumber-frequency domain. The interior floor is modeled as a thin plate of infinite length in the train circulation direction and the tunnel-soil system is described using the Pipe in Pipe model. Some numerical instabilities of the resulting expressions are overcome by using analytic approximations. The results show that the dynamic behavior of the interior floor clearly influences the magnitude of the coupling loads acting on the tunnel structure. The soil response to a harmonic load acting on the double-deck tunnel is compared to the one obtained for the case of a simple tunnel finding significant differences between them for the whole range of frequencies studied. The proposed model extends the prediction of train-induced vibrations using computationally efficient models to this type of tunnel structure.Peer ReviewedPostprint (author's final draft

Series expansion for a stochastic sandpile

Using operator algebra, we extend the series for the activity density in a one-dimensional stochastic sandpile with fixed particle density p, the first terms of which were obtained via perturbation theory [R. Dickman and R. Vidigal, J. Phys. A35, 7269 (2002)]. The expansion is in powers of the time; the coefficients are polynomials in p. We devise an algorithm for evaluating expectations of operator products and extend the series to O(t^{16}). Constructing Pade approximants to a suitably transformed series, we obtain predictions for the activity that compare well against simulations, in the supercritical regime.Comment: Extended series and improved analysi

Pressure of Hot QCD at Large N_f

We compute the pressure and entropy of hot QCD in the limit of large number of fermions, N_f >> N_c ~ 1, to next to leading order in N_f. At this order the calculation can be done exactly, up to ambiguities due to the presence of a Landau pole in the theory; the ambiguities are O(T^8/\Lambda^4_{Landau}) and remain negligible long after the perturbative series (in g^2 N_f) has broken down. Our results can be used to test several proposed resummation schemes for the pressure of full QCD.Comment: 16 pages including 4 figures. Short enough for you to read. Numerical results corrected after an error was found by Andreas Ipp and Anton Rebha