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Estimation of Electricity Market Distribution Functions

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  • E.J. Anderson
  • A.B. Philpott

Abstract

In an electricity pool market the market distribution function gives the probability that a generator offering a certain quantity of power at a certain price will not be dispatched all of this quantity by the pool. It represents the uncertainty in a pool market associated with the offers of the other agents as well as demand. We present a general Bayesian update scheme for market distribution functions. To illustrate the approach a particular form of this procedure is applied to real data obtained from a New Zealand electricity generator. Copyright Kluwer Academic Publishers 2003

Suggested Citation

  • E.J. Anderson & A.B. Philpott, 2003. "Estimation of Electricity Market Distribution Functions," Annals of Operations Research, Springer, vol. 121(1), pages 21-32, July.
    • Handle: RePEc:spr:annopr:v:121:y:2003:i:1:p:21-32:10.1023/a:1023342816908
    DOI: 10.1023/A:1023342816908
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    Cited by:

    1. Robert Wilson, 2008. "Supply Function Equilibrium in a Constrained Transmission System," Operations Research, INFORMS, vol. 56(2), pages 369-382, April.
    2. Geoffrey Pritchard & Golbon Zakeri & Andrew Philpott, 2006. "Nonparametric Estimation of Market Distribution Functions in Electricity Pool Markets," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 621-636, August.
    3. Derek W. Bunn & Fernando S. Oliveira, 2008. "Modeling the Impact of Market Interventions on the Strategic Evolution of Electricity Markets," Operations Research, INFORMS, vol. 56(5), pages 1116-1130, October.

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