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Approximating the Flow-Based Transport Capacity Constraints for the Day-Ahead Power Market.

Stiphout, F. van (2016) Approximating the Flow-Based Transport Capacity Constraints for the Day-Ahead Power Market.

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Abstract:Eneco trades power on several power markets, including the day-ahead power market, where power is exchanged for delivery the next day. On the day-ahead power market market parties of different countries participate, which makes it possible to import or export power from other countries. When making trades between market parties in different countries, transport capacity must be taken into account and can limit the amount of exchange between the countries. Consequently the transport capacity has influence on the market clearing prices in different countries. The transport capacity is determined in advance by the Transmission System Operators (TSOs) of the countries participating in the day-ahead power market. Since the $20^{th}$ of May 2015 the TSOs use a so-called `flow-based' model to determine the transport capacity. As the details of the used approach are not public, Eneco does not know in advance how the transport capacity resulting from the flow-based model is impacting the trades for the next day. This makes it harder for Eneco to forecast the day-ahead market clearing prices. In this research, different methods are designed based on flow-based transport capacity data from the past, to predict the transport capacity constraints used in an upcoming day. The method Eneco currently uses to estimate the transport capacity is used as benchmark for the designed methods. The first designed method is a fairly naive method, which searches for one or more similar hours (similar in the sense that certain characteristics of these hours are equal) and uses this hour to estimate the transport capacity. Another designed method uses probabilities to determine which transport capacity constraints from the past are used to estimate the transport capacity. The last designed method also takes correlation between the constraints into account, when deciding which constraints from the past are used to estimate the transport capacity. The main results of this research is that the benchmark method works relatively well, but the probabilistic method provides also a quite good estimation, when comparing how close the forecast market clearing price is to the actual market clearing price, in mean absolute error. The similar hour method can be less accurate but in some specific cases it provides a relatively good estimation. It turns out that the probabilistic method in combination with correlation does not provide a good estimation for the transport capacity.
Item Type:Essay (Master)
Clients:
Eneco, Rotterdam, The Netherlands
Faculty:EEMCS: Electrical Engineering, Mathematics and Computer Science
Subject:31 mathematics
Programme:Applied Mathematics MSc (60348)
Link to this item:http://purl.utwente.nl/essays/69571
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