Go top
Paper information

Estimating conjectural variations for electricity market models

S. López, P. Sánchez, J. de la Hoz-Ardiz, J. Fernández-Caro

European Journal of Operational Research Vol. 181, nº. 3, pp. 1322 - 1338

Summary:

Agents' behavior in oligopolistic markets has traditionally been represented by equilibrium models. Recently, several approaches based on conjectural variations equilibrium models have been proposed for representing agents' behavior in electrical power markets. These models provide insight of market equilibrium sensitivity to agents’ strategies and external variables, and therefore, they are widely applied. Unfortunately, not enough analysis has been done in how these user-supplied parameters, the conjectural variations, should be estimated. This paper proposes a parameter inference procedure based on two stages. The first stage infers historical values of the parameter by fitting the models' results to historical market data. The second stage is based on a statistical time-series model whose objective is to forecast parameter values in future scenarios. Additionally, results of this procedur's application to a real-size case are presented.


Keywords: Economics; Game theory; Generation scheduling; Equilibrium models


JCR Impact Factor and WoS quartile: 1,096 (2007); 6,000 - Q1 (2023)

DOI reference: DOI icon https://doi.org/10.1016/j.ejor.2005.12.039

Published on paper: September 2007.

Published on-line: January 2011.



Citation:
S. López, P. Sánchez, J. de la Hoz-Ardiz, J. Fernández-Caro, Estimating conjectural variations for electricity market models. European Journal of Operational Research. Vol. 181, nº. 3, pp. 1322 - 1338, September 2007. [Online: January 2011]


    Research topics:
  • *Medium-Term Tactical Planning

pdf Preview
Request Request the document to be emailed to you.