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Generation of regulating power price scenarios
KTH, Superseded Departments, Electrical Systems.
KTH, Superseded Departments, Electrical Systems. (Electric Power Systems)ORCID iD: 0000-0002-8189-2420
2004 (English)In: 2004 International Conference On Probabilistic Methods Applied To Power Systems, 2004, 26-31 p.Conference paper, Published paper (Refereed)
Abstract [en]

This paper presents a model of the regulating power market prices, based on ARIMA processes. The model can be used when creating scenario trees that are used in stochastic programming problems to generate optimal bids to the regulating power market. The model considers spot market price correlation and the design of the regulating power market, including the delay time of release of prices and submission time. The usual estimation methods associated with stochastic processes are not sufficient for this application. Therefore, new parameter estimation methods have been developed for the ARIMA process. The model and the estimation methods are used in a case study, where real data from the Nordic power market is used. A conclusion is that ARIMA processes are possible to use for this kind of models.

Place, publisher, year, edition, pages
2004. 26-31 p.
Keyword [en]
stochastic process, time series analysis, power market, regulating market, optimization
National Category
Other Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-44368ISI: 000225735200005Scopus ID: 2-s2.0-14544268897ISBN: 0-9761319-1-9 (print)OAI: oai:DiVA.org:kth-44368DiVA: diva2:450680
Conference
8th International Conference on Probabilistic Methods Applied to Power Systems, Iowa State Univ, Ames, IA, USA, SEP 12-16, 2004
Note
QC 20111021Available from: 2011-10-21 Created: 2011-10-20 Last updated: 2012-01-25Bibliographically approved

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Söder, Lennart

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Citation style
  • apa
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  • modern-language-association-8th-edition
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • text
  • asciidoc
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