Advanced Computational Techniques for Electricity Market Management and Analysis
Speaker: Junhua Zhao, ITEE
When: 2005-11-24 12:00:00
Venue: 78-420
Host: Dr ZY Dong & Dr X Li
Abstract:Electricity market has been in operation in many countries over the
past decades, however still facing many problems. One of the major
concerns is the extreme electricity price volatility, which is also
known as price spikes. Price spikes currently occur in almost every
deregulated electricity markets in the world. Although with very low
probability, price spikes can be hundreds of times higher than
normal market price; consequently a market participant could lose
its annual revenue over very short period of time of un-expected
price spikes. It is extremely important for market participants to
predict such rare but extremely important price spikes together with
normal price forecasts. Accurate forecasting is essential for
designing bidding strategy, risk management, and market
operation. However, existing price forecasting techniques lack the
ability of accurately predicting price spikes.
The major objective of this research is proposing and development of
a general electricity price forecasting frame work for electricity
market management. The framework can be used to effectively and
accurately handle the extreme volatility caused by price spikes. The
framework is based on data mining and other computational
techniques. The major procedure of the framework is divided into
four steps. First, feature selection techniques are used to identify
relevant factors of price spikes. Second, classification algorithms
are employed predicting the occurrence of price spikes. Third, both
regression and time series models are used predicting the values of
spikes, when a spike is predicted to occur by second step. Fourth,
results of spike prediction is combined with normal price
forecasting to give a compete result of price forecasting. The
effectiveness of this framework has been proven by our initial
experiments conducted on real Australia market price data.
Biography:(biography unavailable)
Type: Ph.D confirmation
Contact:Dr ZY Dong & Dr X Li, seminar host (zdong@itee.uq.edu.au)
or Guido Governatori (ITEE seminar co-ordinator)
(guido@itee.uq.edu.au)