Project Steinke

Probabilistic electricity price forecasting for several markets

In the course of the energy transition the share of renewable energy sources (RES) in the total electricity generation has steadily increased. One main characteristic of RES is their dependence on the given supply, i.e. solar radiation or wind speed, which renders the expected production from these sources volatile and uncertain. This motivates the efforts currently undertaken to increase the ability of the supply and demand side to react flexible to the increasingly volatile generation. Furthermore, the markets for energy and power gained in importance. Market prices play the key role for the effective and efficient coordination of the volatile and uncertain generation from RES, the residual thermal generation, and the flexible share of the demand. Therefore, the goal of this project is to develop and validate methods for the reliable forecasting of electricity prices for several markets including the estimation of the forecast uncertainty. The developed methods should help to encourage and facilitate the active participation of small and medium sized suppliers, prosumers, and consumers in modern energy markets.

Project Kick-Off 2018. Persons from left to right: Prof. Dr. Florian Steinke (head of project), M.Sc. Tim Janke (project team), M.Sc. Robert Heitzmann (Innovation Manager of TU Darmstadt, Pioneer Fund).
Project Kick-Off 2018. Persons from left to right: Prof. Dr. Florian Steinke (head of project), M.Sc. Tim Janke (project team), M.Sc. Robert Heitzmann (Innovation Manager of TU Darmstadt, Pioneer Fund).

Energy markets

Different types of generation are characterized by their different ability to be scheduled. In order to ensure a stable electrical power supply, generation and load in the electrical grid must be equal at all times. Over the years, several markets for the provision and consumption of electrical energy (kWh) and reserve power (kW) have been established (see the figure below), e.g. the EPEX Spot day ahead auction (trading of electrical energy by the hour) or the Minutenreserve (provision of power within 15 minutes to control frequency deviations). Those markets enable the efficient coordination of the market participants.

Economic relevance

Operators of flexibility options, such gas turbines, heat pumps, or virtual power plants, must decide at all times on bid prices and quantities as well as on the market at which they place their offer under an uncertain future market price. This decision is vital for the maximization of their profits. Furthermore, a better understanding of the price formation promotes a transparent operation of energy markets and hence contributes to an economically efficient operation of the complex energy system.