@Article{Yamaguchi2018,
author="Yamaguchi, Naoya
and Hori, Maiya
and Ideguchi, Yoshinari",
title="Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption",
journal="Pacific Journal of Mathematics for Industry",
year="2018",
month="Aug",
day="31",
volume="10",
number="1",
pages="4",
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.",
issn="2198-4115",
doi="10.1186/s40736-018-0038-7",
url="https://doi.org/10.1186/s40736-018-0038-7"
}