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An Artificial Intelligence Solution for Electricity Procurement in Forward Markets

Author

Listed:
  • Thibaut Théate

    (Montefiore Institute, University of Liège, Allée de la Découverte 10, 4000 Liège, Belgium)

  • Sébastien Mathieu

    (Montefiore Institute, University of Liège, Allée de la Découverte 10, 4000 Liège, Belgium)

  • Damien Ernst

    (Montefiore Institute, University of Liège, Allée de la Découverte 10, 4000 Liège, Belgium)

Abstract

Retailers and major consumers of electricity generally purchase an important percentage of their estimated electricity needs years ahead in the forward market. This long-term electricity procurement task consists of determining when to buy electricity so that the resulting energy cost is minimised, and the forecast consumption is covered. In this scientific article, the focus is set on a yearly base load product from the Belgian forward market, named calendar (CAL), which is tradable up to three years ahead of the delivery period. This research paper introduces a novel algorithm providing recommendations to either buy electricity now or wait for a future opportunity based on the history of CAL prices. This algorithm relies on deep learning forecasting techniques and on an indicator quantifying the deviation from a perfectly uniform reference procurement policy. On average, the proposed approach surpasses the benchmark procurement policies considered and achieves a reduction in costs of 1.65% with respect to the perfectly uniform reference procurement policy achieving the mean electricity price. Moreover, in addition to automating the complex electricity procurement task, this algorithm demonstrates more consistent results throughout the years. Eventually, the generality of the solution presented makes it well suited for solving other commodity procurement problems.

Suggested Citation

  • Thibaut Théate & Sébastien Mathieu & Damien Ernst, 2020. "An Artificial Intelligence Solution for Electricity Procurement in Forward Markets," Energies, MDPI, vol. 13(23), pages 1-17, December.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:23:p:6435-:d:457313
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    References listed on IDEAS

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