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Short-term forecasting of electricity prices in the colombian electricity market

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4 Author(s)
F. Lira ; Pontificia Universidad Catolica de Chile ; C. Munoz ; F. Nunez ; A. Cipriano

The restructuring of the electricity-generating industry from protected monopoly to an open competitive market has presented producers with a problem scheduling generation: finding the optimal bidding strategy to maximise their profits. In order to solve this scheduling problem, a reliable system capable of forecasting electricity prices is needed. This work evaluates the forecasting capabilities of several modelling techniques for the next-day-prices forecasting problem in the Colombian market, measured in USD/MWh. The models include exogenous variables such as reservoir levels and load demand. Results show that a segmentation of the prices into three intervals, based on load demand behaviour, contribute to an important standard deviation reduction. Regarding the models under analysis, Takagi-Sugeno-Kang models and ARMAX models identified by means of a Kalman filter perform the best forecasting, with an error rate below 6%.

Published in:

IET Generation, Transmission & Distribution  (Volume:3 ,  Issue: 11 )