New path-based scenario generation method for day-ahead electricity price uncertainty modeling

New path-based scenario generation method for day-ahead electricity price uncertainty modeling

Day ahead electricity price is one of the most important realities and uncertainties in electricity markets. Electricity price uncertainty is modeled based on scenario generation in this paper. Path-based ARMA scenario generation method based on autoregressive moving average is developed and enhanced in this paper. Comparison of expected values obtained from the proposed method and path-based ARMA method, as well as real values, shows lower mean absolute percentage error for proposed method. It is observed that the mean absolute percentage error is decreased 18.6% for day-ahead electricity price using newly proposed scenario generation method. Lower mean absolute percentage error indicates higher accuracy of this method for generation of scenarios.