Change search
ReferencesLink to record
Permanent link

Direct link
On Monte Carlo simulation and analysis of electricity markets
KTH, Superseded Departments, Electrical Systems.ORCID iD: 0000-0001-6000-9363
2004 (English)Doctoral thesis, monograph (Other scientific)
Abstract [en]

This dissertation is about how Monte Carlo simulation can be used to analyse electricity markets. There are a wide range of applications for simulation; for example, players in the electricity market can use simulation to decide whether or not an investment can be expected to be profitable, and authorities can by means of simulation find out which consequences a certain market design can be expected to have on electricity prices, environmental impact, etc.

In the first part of the dissertation, the focus is which electricity market models are suitable for Monte Carlo simulation. The starting point is a definition of an ideal electricity market. Such an electricity market is partly practical from a mathematical point of view (it is simple to formulate and does not require too complex calculations) and partly it is a representation of the best possible resource utilisation. The definition of the ideal electricity market is followed by analysis how the reality differs from the ideal model, what consequences the differences have on the rules of the electricity market and the strategies of the players, as well as how non-ideal properties can be included in a mathematical model. Particularly, questions about environmental impact, forecast uncertainty and grid costs are studied.

The second part of the dissertation treats the Monte Carlo technique itself. To reduce the number of samples necessary to obtain accurate results, variance reduction techniques can be used. Here, six different variance reduction techniques are studied and possible applications are pointed out. The conclusions of these studies are turned into a method for efficient simulation of basic electricity markets. The method is applied to some test systems and the results show that the chosen variance reduction techniques can produce equal or better results using 99% fewer samples compared to when the same system is simulated without any variance reduction technique. More complex electricity market models cannot directly be simulated using the same method. However, in the dissertation it is shown that there are parallels and that the results from simulation of basic electricity markets can form a foundation for future simulation methods.

Keywords: Electricity market, Monte Carlo simulation, variance reduction techniques, operation cost, reliability.

Place, publisher, year, edition, pages
Stockholm: KTH , 2004. , xvi, 299 p.
Trita-ETS, ISSN 1650-674X ; 0405
Keyword [en]
Electrical engineering, electricity markets, power systems, monte carlo simulation
Keyword [sv]
National Category
Engineering and Technology
URN: urn:nbn:se:kth:diva-26ISBN: 91-7283-850-7OAI: diva2:8243
Public defence
2004-10-08, KTH, Kollegiesalen, Valhallavägen 79, Stockholm, 10:00 (English)
QC 20100608Available from: 2004-10-05 Created: 2004-10-05 Last updated: 2010-04-28

Open Access in DiVA

fulltext(3244 kB)8101 downloads
File information
File name FULLTEXT01.pdfFile size 3244 kBChecksum MD5
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Amelin, Mikael
By organisation
Electrical Systems
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar
Total: 8104 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 2109 hits
ReferencesLink to record
Permanent link

Direct link