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Bidding strategy with forecast technology based on support vector machine in the electricity market

Authors
Journal
Physica A Statistical Mechanics and its Applications
0378-4371
Publisher
Elsevier
Publication Date
Volume
387
Issue
15
Identifiers
DOI: 10.1016/j.physa.2008.02.080
Keywords
  • Electricity Market
  • Strategic Bidding
  • Price Forecast
  • Support Vector Machine

Abstract

Abstract The participants in the electricity market are concerned very much with the market price evolution. Various technologies have been developed for price forecasting. The SVM (Support Vector Machine) has shown its good performance in market price forecasting. Two approaches for forming the market bidding strategies based on SVM are proposed. One is based on the price forecasting accuracy, with which the rejection risk is defined. The other takes into account the impact of the producer’s own bid. The risks associated with the bidding are controlled by the parameter settings. The proposed approaches have been tested on a numerical example.

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