Can Agent-Based Models Forecast Spot Prices in Electricity Markets? Evidence from the New Zealand Electricity Market

Author(s):  
David Young ◽  
Stephen Poletti ◽  
Oliver Browne
2021 ◽  
Author(s):  
◽  
D'Arcy Webber

<p>Stock assessment models are used to determine the population size of fish stocks. Although stock assessment models are complex, they still make simplifying assumptions. Generally, they treat each species separately, include little, if any, spatial structure, and may not adequately quantify uncertainty. These assumptions can introduce bias and can lead to incorrect inferences. This thesis is about more realistic models and their inference. This realism may be incorporated by explicitly modelling complex processes, or by admitting our uncertainty and modelling it correctly.  We develop an agent-based model that can describe fish populations as a collection of individuals which differ in their growth, maturation, migration, and mortality. The aim of this model is to better capture the richness in natural processes that determine fish abundance and subsequent population response to anthropogenic removals. However, this detail comes at considerable computational cost. A single model run can take many hours, making inference using standard methods impractical. We apply this model to New Zealand snapper (Pagurus auratus) in northern New Zealand.  Next, we developed an age-structured state-space model. We suggest that this sophisticated model has the potential to better represent uncertainty in stock assessment. However, it pushes the boundaries of the current practical limits of computing and we admit that its practical application remains limited until the MCMC mixing issues that we encountered can be resolved.   The processes that underpin agent-based models are complex and we may need to seek new sources of data to inform these types of models. To make a start here we derive a state-space model to estimate the path taken by individual fish from the day they are tagged to the day of their recapture. The model uses environmental information collected using pop-up satellite archival tags. We use tag recorded depth and oceanographic temperature to estimate the location at any given time. We apply this model to Antarctic toothfish (Dissostichus mawsoni) in the Ross Sea.  Finally, to reduce the computational burden of agent-based models we use Bayesian emulation. This approach replaces the simulation model with an approximating algorithm called an emulator. The emulator is calibrated using relatively few runs of the original model. A good emulator provides a close approximation to the original model and has significant speed gains. Thus, inferences become tractable.  We have made the first steps towards developing a tractable approach to fisheries modelling in complex settings through the creation of realistic models, and their emulation. With further development, Bayesian emulation could result in the increased ability to consider and evaluate innovative methods in fisheries modelling. Future avenues for application and exploration range from spatial and multi species models, to ecosystem-based models and beyond.</p>


Forecasting ◽  
2018 ◽  
Vol 1 (1) ◽  
pp. 26-46 ◽  
Author(s):  
Radhakrishnan Angamuthu Chinnathambi ◽  
Anupam Mukherjee ◽  
Mitch Campion ◽  
Hossein Salehfar ◽  
Timothy Hansen ◽  
...  

Forecasting hourly spot prices for real-time electricity markets is a key activity in economic and energy trading operations. This paper proposes a novel two-stage approach that uses a combination of Auto-Regressive Integrated Moving Average (ARIMA) with other forecasting models to improve residual errors in predicting the hourly spot prices. In Stage-1, the day-ahead price is forecasted using ARIMA and then the resulting residuals are fed to another forecasting method in Stage-2. This approach was successfully tested using datasets from the Iberian electricity market with duration periods ranging from one-week to ninety days for variables such as price, load and temperature. A comprehensive set of 17 variables were included in the proposed model to predict the day-ahead electricity price. The Mean Absolute Percentage Error (MAPE) results indicate that ARIMA-GLM combination performs better for longer duration periods, while ARIMA-SVM combination performs better for shorter duration periods.


2021 ◽  
Author(s):  
◽  
D'Arcy Webber

<p>Stock assessment models are used to determine the population size of fish stocks. Although stock assessment models are complex, they still make simplifying assumptions. Generally, they treat each species separately, include little, if any, spatial structure, and may not adequately quantify uncertainty. These assumptions can introduce bias and can lead to incorrect inferences. This thesis is about more realistic models and their inference. This realism may be incorporated by explicitly modelling complex processes, or by admitting our uncertainty and modelling it correctly.  We develop an agent-based model that can describe fish populations as a collection of individuals which differ in their growth, maturation, migration, and mortality. The aim of this model is to better capture the richness in natural processes that determine fish abundance and subsequent population response to anthropogenic removals. However, this detail comes at considerable computational cost. A single model run can take many hours, making inference using standard methods impractical. We apply this model to New Zealand snapper (Pagurus auratus) in northern New Zealand.  Next, we developed an age-structured state-space model. We suggest that this sophisticated model has the potential to better represent uncertainty in stock assessment. However, it pushes the boundaries of the current practical limits of computing and we admit that its practical application remains limited until the MCMC mixing issues that we encountered can be resolved.   The processes that underpin agent-based models are complex and we may need to seek new sources of data to inform these types of models. To make a start here we derive a state-space model to estimate the path taken by individual fish from the day they are tagged to the day of their recapture. The model uses environmental information collected using pop-up satellite archival tags. We use tag recorded depth and oceanographic temperature to estimate the location at any given time. We apply this model to Antarctic toothfish (Dissostichus mawsoni) in the Ross Sea.  Finally, to reduce the computational burden of agent-based models we use Bayesian emulation. This approach replaces the simulation model with an approximating algorithm called an emulator. The emulator is calibrated using relatively few runs of the original model. A good emulator provides a close approximation to the original model and has significant speed gains. Thus, inferences become tractable.  We have made the first steps towards developing a tractable approach to fisheries modelling in complex settings through the creation of realistic models, and their emulation. With further development, Bayesian emulation could result in the increased ability to consider and evaluate innovative methods in fisheries modelling. Future avenues for application and exploration range from spatial and multi species models, to ecosystem-based models and beyond.</p>


Buildings ◽  
2020 ◽  
Vol 10 (8) ◽  
pp. 138 ◽  
Author(s):  
Marco Lovati ◽  
Xingxing Zhang ◽  
Pei Huang ◽  
Carl Olsmats ◽  
Laura Maturi

Solar photovoltaic (PV) is becoming one of the most significant renewable sources for positive energy district (PED) in Sweden. The lack of innovative business models and financing mechanisms are the main constraints for PV’s deployment installed in local communities. This paper therefore proposes a peer-to-peer (P2P) business model for 48 individual building prosumers with PV installed in a Swedish community. It considers energy use behaviour, electricity/financial flows, ownerships and trading rules in a local electricity market. Different local electricity markets are designed and studied using agent-based modelling technique, with different energy demands, cost–benefit schemes and financial hypotheses for an optimal evaluation. This paper provides an early insight into a vast research space, i.e., the operation of an energy system through the constrained interaction of its constituting agents. The agents (48 households) show varying abilities in exploiting the common PV resource, as they achieve very heterogeneous self-sufficiency levels (from ca. 15% to 30%). The lack of demand side management suggests that social and lifestyle differences generate huge impacts on the ability to be self-sufficient with a shared, limited PV resource. Despite the differences in self-sufficiency, the sheer energy amount obtained from the shared PV correlates mainly with annual cumulative demand.


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