Simulation of the energy efficiency auction prices via the markov chain monte carlo method

Javier Linkolk López-Gonzales, Reinaldo Castro Souza, Felipe Leite Coelho Da Silva, Natalí Carbo-Bustinza, Germán Ibacache-Pulgar, Rodrigo Flora Calili

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

Over the years, electricity consumption behavior in Brazil has been analyzed due to financial and social problems. In this context, it is important to simulate energy prices of the energy efficiency auctions in the Brazilian electricitymarket. TheMarkov ChainMonte Carlo (MCMC)method generated simulations; thus, several samples were generated with different sizes. It is possible to say that the larger the sample, the better the approximation to the original data. Then, the Kernel method and the Gaussian mixture model used to estimate the density distribution of energy price, and the MCMC method were crucial in providing approximations of the original data and clearly analyzing its impact. Next, the behavior of the data in each histogram was observed with 500, 1000, 5000 and 10,000 samples, considering only one scenario. The samplewhich best approximates the original data in accordancewith the generated histograms is the 10,000th sample, which consistently follows the behavior of the data. Therefore, this paper presents an approach to generate samples of auction energy prices in the energy efficiency market, using theMCMC method through theMetropolis-Hastings algorithm. The results show that this approach can be used to generate energy price samples.

Original languageEnglish
Article numberen13174544
JournalEnergies
Volume13
Issue number17
DOIs
StatePublished - Sep 2020

Fingerprint

Dive into the research topics of 'Simulation of the energy efficiency auction prices via the markov chain monte carlo method'. Together they form a unique fingerprint.

Cite this