1. Influence of forecasting electricity prices in the optimization of complex hydrothermal systems
- Author
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Bayón, L., Suárez, P., Matías, J.M., and Taboada, J.
- Subjects
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ELECTRIC rates , *HYDROTHERMAL electric power systems , *BUSINESS forecasting , *ECONOMIC competition , *MATHEMATICAL optimization , *MATHEMATICAL models in business , *TIME series analysis - Abstract
Abstract: This paper proposes a new method for addressing the short-term optimal operation of a generation company, fully adapted to represent the characteristics of the new competitive markets. We propose an efficient and highly accurate novel method for next-day price forecasting. We model the functional time series with a linear autoregressive functional model which formulates the relationships between each daily function of prices and the functions of previous days. For the optimization problem (formulated within the framework of nonsmooth analysis using Pontryagin’s Maximum Principle), we propose a new method that uses diverse mathematical techniques (the Shooting Method, Euler’s Method, the Cyclic Coordinate Descent Method). These techniques are well known for the case of functions, but are adapted here to the case of functionals and are efficiently combined to provide a novel contribution. Finally, the paper presents the results of applying our method to a price-taker company in the Spanish electricity market. [Copyright &y& Elsevier]
- Published
- 2009
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