Day Ahead Market price scenario generation using a Combined Quantile Regression Deep Neural Network and a Non-parametric Bayesian Network: A framework for risk-based Demand Response

In this manuscript we propose a methodology to generate electricity price scenarios from probabilistic forecasts. Using a Combined Quantile Regression Deep Neural Network, we forecast hourly marginal price distribution quantiles for the DAM on which we fit parametric distributions. A Non-parametric Bayesian Network (BN) is applied to sample from...

Probabilistic DAM price forecasting using a combined Quantile Regression Deep Neural Network with less-crossing quantiles

In this paper we propose a Quantile Regression Deep Neural Network capable of forecasting multiple quantiles in one model using a combined quantile loss function, and apply it to probabilistically forecast the prices of 8 European Day Ahead Markets. We show that the proposed loss function significantly reduces the quantile crossing problem to ...

Electricity price forecasting in European Day Ahead Markets: a greedy consideration of market integration

In this manuscript we explore European feature importance in Day Ahead Market (DAM) price forecasting models, and show that model performance can deteriorate when too many features are included due to over-fitting. We propose a greedy algorithm to search over candidate countries for European features to be used in a DAM price forecasting model,...