Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices

Hugo Algarvio, Antonio Couto, Fernando Lopes, Ana Estanqueiro, Hannele Holttinen, João Santana

Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-review

6 Citations (Scopus)

Abstract

This article uses an agent-based system to analyzethe potential impact of variable generation on wholesale electricity markets. In particular, it presents a case study to analyse the impact of both wind forecast errors and high levels of wind generation on the outcomes of the day-ahead market. The case study involves six representative days and three simulations (for each day): a base case, where the market closes at 12:00 noon and the bids of a wind producer agent are based on a forecast performed 12 to 36 hours ahead, an updated forecast case, where the market closes at 8:00 p.m., and a perfect case, where production data is offered. The simulation results indicate that wind power forecast uncertainty may influence market-clearing prices, highlighting the importance of potential adaptations to the day-ahead closing time.
Original languageEnglish
Title of host publicationDatabase and Expert Systems Applications (DEXA), 2016 27th International Workshop on
PublisherIEEE Institute of Electrical and Electronic Engineers
Pages166-170
ISBN (Electronic)978-1-5090-3635-6
ISBN (Print)978-1-5090-3636-3
DOIs
Publication statusPublished - 2016
MoE publication typeA4 Article in a conference publication
Event27th International Workshop on Database and Expert Systems Application - Porto, Portugal
Duration: 5 Sep 20168 Sep 2016

Conference

Conference27th International Workshop on Database and Expert Systems Application
Abbreviated titleDEXA 2016
CountryPortugal
CityPorto
Period5/09/168/09/16

Fingerprint

Wind power
Uncertainty
Power markets

Keywords

  • agent-based simulation
  • electricity markets
  • renewable generation
  • Software agents
  • Wind power forecasting

Cite this

Algarvio, H., Couto, A., Lopes, F., Estanqueiro, A., Holttinen, H., & Santana, J. (2016). Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. In Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on (pp. 166-170). IEEE Institute of Electrical and Electronic Engineers . https://doi.org/10.1109/DEXA.2016.045
Algarvio, Hugo ; Couto, Antonio ; Lopes, Fernando ; Estanqueiro, Ana ; Holttinen, Hannele ; Santana, João. / Agent-Based Simulation of Day-Ahead Energy Markets : Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers , 2016. pp. 166-170
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abstract = "This article uses an agent-based system to analyzethe potential impact of variable generation on wholesale electricity markets. In particular, it presents a case study to analyse the impact of both wind forecast errors and high levels of wind generation on the outcomes of the day-ahead market. The case study involves six representative days and three simulations (for each day): a base case, where the market closes at 12:00 noon and the bids of a wind producer agent are based on a forecast performed 12 to 36 hours ahead, an updated forecast case, where the market closes at 8:00 p.m., and a perfect case, where production data is offered. The simulation results indicate that wind power forecast uncertainty may influence market-clearing prices, highlighting the importance of potential adaptations to the day-ahead closing time.",
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Algarvio, H, Couto, A, Lopes, F, Estanqueiro, A, Holttinen, H & Santana, J 2016, Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. in Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers , pp. 166-170, 27th International Workshop on Database and Expert Systems Application, Porto, Portugal, 5/09/16. https://doi.org/10.1109/DEXA.2016.045

Agent-Based Simulation of Day-Ahead Energy Markets : Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. / Algarvio, Hugo; Couto, Antonio; Lopes, Fernando; Estanqueiro, Ana; Holttinen, Hannele; Santana, João.

Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers , 2016. p. 166-170.

Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingsScientificpeer-review

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AB - This article uses an agent-based system to analyzethe potential impact of variable generation on wholesale electricity markets. In particular, it presents a case study to analyse the impact of both wind forecast errors and high levels of wind generation on the outcomes of the day-ahead market. The case study involves six representative days and three simulations (for each day): a base case, where the market closes at 12:00 noon and the bids of a wind producer agent are based on a forecast performed 12 to 36 hours ahead, an updated forecast case, where the market closes at 8:00 p.m., and a perfect case, where production data is offered. The simulation results indicate that wind power forecast uncertainty may influence market-clearing prices, highlighting the importance of potential adaptations to the day-ahead closing time.

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Algarvio H, Couto A, Lopes F, Estanqueiro A, Holttinen H, Santana J. Agent-Based Simulation of Day-Ahead Energy Markets: Impact of Forecast Uncertainty and Market Closing Time on Energy Prices. In Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on. IEEE Institute of Electrical and Electronic Engineers . 2016. p. 166-170 https://doi.org/10.1109/DEXA.2016.045