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An Application of Decision Trees Algorithm to Project Hourly Electricity Spot price as Support for Decision Making on Electricity Trading in Brazil

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Energy and Power Engineering 2022年第8期14卷 327-342页

作者： Cosme Rodolfo R. dos Santos Roberto Castro Rafael Marques State University of Campinas School of Electrical and Computer Engineering Campinas Brazil Independent Consultant Vinhedo/SP Brazil Brazilian Association of Photovoltaic Solar Energy (ABSOLAR) S&atilde o Paulo Brazil

Estimating the price of a financial asset or any tradable product is a complex task that depends on the availability of a reasonable amount of data samples. In the Brazilian electricity market environment, where spot prices are centrally calculated by computational models, the projection of hourly energy prices at the spot market is essential for decision-making, and with the particularities of this sector, this task becomes even more complex due to the stochastic behavior of some variables, such as the inflow to hydroelectric power plants and the correlation between variables that affect electricity generation, traditional statistical techniques of time series forecasting present an additional complexity when one tries to project scenarios of spot prices on different time horizons. To address these complexities of traditional forecasting methods, this study presents a new approach based on Machine Learning methodology applied to the electricity spot prices forecasting process. The model’s Learning Base is obtained from public information provided by the Brazilian official computational models: NEWAVE, DECOMP, and DESSEM. The application of the methodology to real cases, using back-testing with actual information from the Brazilian electricity sector demonstrates that the research is promising, as the adherence of the projections with the realized values is significant.

关键词： Artificial Intelligence Machine Learning price estimation Energy Planning Spot Electricity Market Spot prices Forecast

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