Simulation of the Energy Efficiency Auction Prices via the Markov Chain Monte Carlo Method
Author(s)
Reinaldo Castro Souza
Felipe Leite Coelho da Silva
Natalí Carbo‐Bustinza
Germán Ibacache‐Pulgar
Rodrigo Flora Calili
Date Issued
2 de septiembre de 2020
Type
Article
Volume
13
Issue
17
Start Page
4544
End Page
4544
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 electricity market. The Markov Chain Monte 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 sample which best approximates the original data in accordance with 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 the MCMC method through the Metropolis–Hastings algorithm. The results show that this approach can be used to generate energy price samples.
Subjects