arXiv subjects

Sébastien Mathieu

Publications and source records attributed to Sébastien Mathieu.

3 recordsLinked to original sources

arXiv2021

Probabilistic Forecasting of Imbalance Prices in the Belgian Context

Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists of computing the net regulation volume state transition probabilities. It is modeled as a matrix computed using historical data. This matrix is then used to infer the imbalance prices since the net regulation volume can be related to the level of reserves activated and the corresponding marginal prices for each activation level are published by the Belgian Transmission System Operator one day before electricity delivery. This approach is compared to a deterministic model, a multi-layer perceptron, and a widely used probabilistic technique, Gaussian Processes.

q-fin.ST↗

arXiv2020

An Artificial Intelligence Solution for Electricity Procurement in Forward Markets

Retailers and major consumers of electricity generally purchase an important percentage of their estimated electricity needs years ahead in the forward market. This long-term electricity procurement task consists of determining when to buy electricity so that the resulting energy cost is minimised, and the forecast consumption is covered. In this scientific article, the focus is set on a yearly base load product from the Belgian forward market, named calendar (CAL), which is tradable up to three years ahead of the delivery period. This research paper introduces a novel algorithm providing recommendations to either buy electricity now or wait for a future opportunity based on the history of CAL prices. This algorithm relies on deep learning forecasting techniques and on an indicator quantifying the deviation from a perfectly uniform reference procurement policy. On average, the proposed approach surpasses the benchmark procurement policies considered and achieves a reduction in costs of 1.65% with respect to the perfectly uniform reference procurement policy achieving the mean electricity price. Moreover, in addition to automating the complex electricity procurement task, this algorithm demonstrates more consistent results throughout the years. Eventually, the generality of the solution presented makes it well suited for solving other commodity procurement problems.

q-fin.TR↗

arXiv2014

A quantitative analysis of the effect of flexible loads on reserve markets

We propose and analyze a day-ahead reserve market model that handles bids from flexible loads. This pool market model takes into account the fact that a load modulation in one direction must usually be compensated later by a modulation of the same magnitude in the opposite direction. Our analysis takes into account the gaming possibilities of producers and retailers, controlling load flexibility, in the day-ahead energy and reserve markets, and in imbalance settlement. This analysis is carried out by an agent-based approach where, for every round, each actor uses linear programs to maximize its profit according to forecasts of the prices. The procurement of a reserve is assumed to be determined, for each period, as a fixed percentage of the total consumption cleared in the energy market for the same period. The results show that the provision of reserves by flexible loads has a negligible impact on the energy market prices but markedly decreases the cost of reserve procurement. However, as the rate of flexible loads increases, the system operator has to rely more and more on non-contracted reserves, which may cancel out the benefits made in the procurement of reserves.

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