ENBIS-18 in Nancy

2 – 25 September 2018; Ecoles des Mines, Nancy (France) Abstract submission: 20 December 2017 – 4 June 2018

Short-Term Forecasting of National Imbalance Volume

3 September 2018, 14:40 – 15:00

Abstract

Submitted by
Shen HUANG
Authors
Shen Huang (EDF R&D)
Abstract
The balance between the production and the consumption of electricity at the national scale must be ensured at every moment. Each imbalance volume is physically compensated by the Transmission System Operator, but it is financially charged a posteriori via the electricity Balancing Mechanism. The design of imbalance volume prices aims to penalise parties who contribute to an overall imbalance and to be beneficial for parties who help the system equilibrium. So an accurate forecast of Net Imbalance Volume (NIV) at national level is critical to make trading decisions and to avoid being out of balance in the same direction to the overall system.

In this talk, we are interested in the forecasting of UK-national net imbalance volume for the next few hours. Different statistical or machine learning models are tested such as linear regression, generalized additive models and random forest. The performance of tested models is evaluated on classical statistical criteria and also earnings/loss-based criteria, which is more meaningful for traders; according to our earnings/loss-based criteria, the annual financial gain made by our best forecast model is estimated to several million British Pounds. A comparison of those tested models will be provided and some further improvements of net imbalance volume forecasts will also be discussed.

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