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

doi:10.1109/DEXA.2016.045

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

DOES - Design and Operation of Energy Systems

Research output: Chapter in Book/Report/Conference proceeding › Conference article in proceedings › Scientific › peer-review

10 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 language	English
Title of host publication	Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on
Publisher	IEEE Institute of Electrical and Electronic Engineers
Pages	166-170
ISBN (Electronic)	978-1-5090-3635-6
ISBN (Print)	978-1-5090-3636-3
DOIs	https://doi.org/10.1109/DEXA.2016.045
Publication status	Published - 2016
MoE publication type	A4 Article in a conference publication
Event	27th International Workshop on Database and Expert Systems Application - Porto, Portugal Duration: 5 Sept 2016 → 8 Sept 2016

Conference

Conference	27th International Workshop on Database and Expert Systems Application
Abbreviated title	DEXA 2016
Country/Territory	Portugal
City	Porto
Period	5/09/16 → 8/09/16

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 7 Affordable and Clean Energy

Keywords

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

Access to Document

10.1109/DEXA.2016.045

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

@inproceedings{752bef2d2ca543c79d38f5aaff73a496,

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

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.",

keywords = "agent-based simulation, electricity markets, renewable generation, Software agents, Wind power forecasting",

author = "Hugo Algarvio and Antonio Couto and Fernando Lopes and Ana Estanqueiro and Hannele Holttinen and Jo{\~a}o Santana",

year = "2016",

doi = "10.1109/DEXA.2016.045",

language = "English",

isbn = "978-1-5090-3636-3",

pages = "166--170",

booktitle = "Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on",

publisher = "IEEE Institute of Electrical and Electronic Engineers",

address = "United States",

note = "27th International Workshop on Database and Expert Systems Application, DEXA 2016 ; Conference date: 05-09-2016 Through 08-09-2016",

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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 et al.
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 proceeding › Conference article in proceedings › Scientific › peer-review

TY - GEN

T1 - Agent-Based Simulation of Day-Ahead Energy Markets

T2 - 27th International Workshop on Database and Expert Systems Application

AU - Algarvio, Hugo

AU - Couto, Antonio

AU - Lopes, Fernando

AU - Estanqueiro, Ana

AU - Holttinen, Hannele

AU - Santana, João

PY - 2016

Y1 - 2016

N2 - 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.

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.

KW - agent-based simulation

KW - electricity markets

KW - renewable generation

KW - Software agents

KW - Wind power forecasting

U2 - 10.1109/DEXA.2016.045

DO - 10.1109/DEXA.2016.045

M3 - Conference article in proceedings

SN - 978-1-5090-3636-3

SP - 166

EP - 170

BT - Database and Expert Systems Applications (DEXA), 2016 27th International Workshop on

PB - IEEE Institute of Electrical and Electronic Engineers

Y2 - 5 September 2016 through 8 September 2016

ER -

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 doi: 10.1109/DEXA.2016.045

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

Abstract

Conference

UN SDGs

Keywords

Access to Document

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Cite this