Unit commitment decisions made in the day-ahead market and during subsequent reliability assessments are critically based on forecasts of load. Tra-ditional, deterministic unit commitment is based on point or expectation-based load forecasts. In contrast, stochastic unit commitment relies on multiple load sce-narios, with associated probabilities, that in aggregate capture the range of likely load time-series. The shift from point-based to scenario-based forecasting necessi-tates a shift in forecasting technologies, to provide accurate inputs to stochastic unit commitment. In this paper, we discuss a novel scenario generation method-ology for load forecasting in stochastic unit commitment, with application to real data associated with the Independent System Operator for New England (ISO-NE). The accuracy of the expected scenario generated using our methodology is consistent with that of point forecasting methods. The resulting sets of realistic scenarios serve as input to rigorously test the scalability of stochastic unit com-mitment solvers, as described in the companion paper. The scenarios generated by our method are available as an online supplement to this paper, as part of a novel, publicly available large-scale stochastic unit commitment benchmark. Abstract Unit commitment decisions made in the day-ahead market and during subsequent reliability assessments are critically based on forecasts of load. Traditional, deterministic unit commitment is based on point or expectation-based load forecasts. In contrast, stochastic unit commitment relies on multiple load scenarios, with associated probabilities, that in aggregate capture the range of likely load time-series. The shift from point-based to scenario-based forecasting necessitates a shift in forecasting technologies, to provide accurate inputs to stochastic unit commitment. In this paper, we discuss a novel scenario generation methodology for load forecasting in stochastic unit commitment, with application to real data associated with the Independent System Operator for New England (ISO-NE). The accuracy of the expected scenario generated using our methodology is consistent with that of point forecasting methods. The resulting sets of realistic scenarios serve as input to rigorously test the scalability of stochastic unit commitment solvers, as described in the companion paper. The scenarios generated Disciplines Industrial Engineering | Systems Engineering
Artículo de publicación ISIA new methodology is laid out for the modeling of commodity prices, it departs from the ‘standard’ approach in that it makes a definite distinction between the analysis of the short term and long term regimes. In particular, this allows us to come up with an explicit drift term for the short-term process whereas the long-term process is primarily driftless due to inherent high volatility of commodity prices excluding an almost negligible mean reversion term. Not unexpectedly, the information used to build the short-term process relies on more than just historical prices but takes into account additional information about the state of the market. This work is done in the context of copper prices but a similar approach should be applicable to wide variety of commodities although certainly not all since commodities come with very distinct characteristics. In addition, our model also takes into account inflation which leads us to consider a multi-dimensional system for which one can generate explicit solutions
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