Mixed models for short-run forecasting of electricity prices: Application for the Spanish market

García-Martos, Carolina; Rodríguez, Julio y Sánchez Naranjo, María Jesús (2007). Mixed models for short-run forecasting of electricity prices: Application for the Spanish market. "IEEE Transactions on Power Systems", v. 22 (n. 2); pp. 544-552. ISSN 0885-8950. https://doi.org/10.1109/TPWRS.2007.894857.

Descripción

Título: Mixed models for short-run forecasting of electricity prices: Application for the Spanish market
Autor/es:
  • García-Martos, Carolina
  • Rodríguez, Julio
  • Sánchez Naranjo, María Jesús
Tipo de Documento: Artículo
Título de Revista/Publicación: IEEE Transactions on Power Systems
Fecha: 2007
Volumen: 22
Materias:
Palabras Clave Informales: Computer aided manufacturing, Economic forecasting, Electricity supply industry, Forward contracts, Neural networks, Power generation, Prediction methods, Predictive models, Processor scheduling, Time series analysis.
Escuela: E.T.S.I. Industriales (UPM)
Departamento: Ingeniería de Organización, Administración de Empresas y Estadística
Licencias Creative Commons: Reconocimiento - Sin obra derivada - No comercial

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Resumen

Short-run forecasting of electricity prices has become necessary for power generation unit schedule, since it is the basis of every profit maximization strategy. In this article a new and very easy method to compute accurate forecasts for electricity prices using mixed models is proposed. The main idea is to develop an efficient tool for one-step-ahead forecasting in the future, combining several prediction methods for which forecasting performance has been checked and compared for a span of several years. Also as a novelty, the 24 hourly time series has been modelled separately, instead of the complete time series of the prices. This allows one to take advantage of the homogeneity of these 24 time series. The purpose of this paper is to select the model that leads to smaller prediction errors and to obtain the appropriate length of time to use for forecasting. These results have been obtained by means of a computational experiment. A mixed model which combines the advantages of the two new models discussed is proposed. Some numerical results for the Spanish market are shown, but this new methodology can be applied to other electricity markets as well

Más información

ID de Registro: 30746
Identificador DC: http://oa.upm.es/30746/
Identificador OAI: oai:oa.upm.es:30746
Identificador DOI: 10.1109/TPWRS.2007.894857
URL Oficial: http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=4162593&tag=1
Depositado por: Memoria Investigacion
Depositado el: 06 Nov 2014 12:37
Ultima Modificación: 19 May 2017 15:32
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