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Modelling an energy market with Bayesian networks for non-normal data

Modelling an energy market with Bayesian networks for non-normal data Energy markets are typically characterized by high complexity due to several reasons such as the large number of occurring variables, different in nature, and their associative structure. Estimating a statistical model that properly represents the dependencies among the variables is crucial for managing such a complexity. In this paper, a simple energy market influenced by hydroelectric availability is studied by using Bayesian networks. Since the variables of interest are quantitative but non Gaussian, non-parametric strategies are used to infer the Colombian energy market association structure. We propose a comparison between the UniNet learning algorithm and the Rank PC algorithm, both based on normal copula assumption and Spearman correlation measure, in order to explore differences in the estimated models. Finally, model usability for energy managers is shown through the discussion of some scenarios. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Computational Management Science Springer Journals

Modelling an energy market with Bayesian networks for non-normal data

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References (22)

Publisher
Springer Journals
Copyright
Copyright © Springer-Verlag GmbH Germany, part of Springer Nature 2018
Subject
Business and Management; Operations Research/Decision Theory; Optimization
ISSN
1619-697X
eISSN
1619-6988
DOI
10.1007/s10287-018-0320-2
Publisher site
See Article on Publisher Site

Abstract

Energy markets are typically characterized by high complexity due to several reasons such as the large number of occurring variables, different in nature, and their associative structure. Estimating a statistical model that properly represents the dependencies among the variables is crucial for managing such a complexity. In this paper, a simple energy market influenced by hydroelectric availability is studied by using Bayesian networks. Since the variables of interest are quantitative but non Gaussian, non-parametric strategies are used to infer the Colombian energy market association structure. We propose a comparison between the UniNet learning algorithm and the Rank PC algorithm, both based on normal copula assumption and Spearman correlation measure, in order to explore differences in the estimated models. Finally, model usability for energy managers is shown through the discussion of some scenarios.

Journal

Computational Management Science – Springer Journals

Published: Jan 1, 2020

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