Abstract
In this paper, we formulate a method for minimising the expectation value of the procurement cost of electricity in two popular spot markets: day-ahead and intra-day, under the assumption that expectation value of unit prices and the distributions of prediction errors for the electricity demand traded in two markets are known. The expectation value of the total electricity cost is minimised over two parameters that change the amounts of electricity. Two parameters depend only on the expected unit prices of electricity and the distributions of prediction errors for the electricity demand traded in two markets. That is, even if we do not know the predictions for the electricity demand, we can determine the values of two parameters that minimise the expectation value of the procurement cost of electricity in two popular spot markets. We demonstrate numerically that the estimate of two parameters often results in a small variance of the total electricity cost, and illustrate the usefulness of the proposed procurement method through the analysis of actual data.
Highlights
In recent years, many power exchanges, such as the Japan Electric Power eXchange (JEPX), Amsterdam Power Exchange, European Power EXchange Spot and PJM Interconnection L.L.C., have been involved in the transfer of energy
To overcome the aforementioned problems, we formulate a method for minimising the expectation value of the procurement cost of electricity
We demonstrate numerically that our proposed method results in a smaller variance of total electricity cost than a procurement method that does not take the prediction errors into account
Summary
Many power exchanges, such as the Japan Electric Power eXchange (JEPX), Amsterdam Power Exchange, European Power EXchange Spot and PJM Interconnection L.L.C., have been involved in the transfer of energy. We determine that with the proposed method, and under the procurement conditions stated above, we were able to purchase electricity with a more stable price than in the case that procurement was made in accordance with demand predictions. This effect can be understood as resulting from a suppression of the penalty paid because of an increase in the amount of electricity procured in the day-ahead market. If the previous-day prediction of the demand was perfect and we procured all the electricity in the day-ahead market, we would obtain a total procurement cost of 51,140.72 yen. If the simulation time was long and the simulation scale was large, a significant cost reduction could be expected
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