Probabilistic Forecast of Real-Time LMP via Multiparametric Programming

TitleProbabilistic Forecast of Real-Time LMP via Multiparametric Programming
Publication TypeConference Paper
Year of Publication2015
AuthorsYuting Ji, Robert J Thomas, Lang Tong
Conference Name48th Hawaii International Conference on System Sciences (HICSS)
Date Published01/2015
Conference LocationKauai, HI
KeywordsCERTS, locational marginal pricing, reliability and markets, RM13-002

The problem of short-term probabilistic forecast of real-time locational marginal price (LMP) is considered. A new forecast technique is proposed based on a multiparametric programming formulation that partitions the uncertainty parameter space into critical regions from which the conditional probability mass function of the real-time LMP is estimated using Monte Carlo techniques. The proposed methodology incorporates uncertainty models such as load and stochastic generation forecasts and system contingency models. With the use of offline computation of multiparametric linear programming, online computation cost is significantly reduced.