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As a result of the legislation for gas markets introduced by the European Union in 2005, separate independent companies have to conduct the transport and trading of natural gas. The current gas market of Germany, which has a market value of more than 54 billion USD, consists of Transmission System Operators (TSO), network users, and traders. Traders can nominate a certain amount of gas anytime and anywhere in the network. Such unrestricted access for the traders, on the other hand, increase the uncertainty in the gas supply management. Some customers’ behaviors may cause abrupt structural changes in gas flow time series. In particular, it is a challenging task for the TSO operators to predict gas nominations 6 to 10 h-ahead. In our study, we aim to investigate the regime changes in time series of nominations to predict the 6 to 10 h-ahead of gas nominations.
This work presents an innovative short to mid-term forecasting
model that analyzes nonlinear complex spatial and temporal
dynamics in energy networks under demand and supply balance constraints
using Network Nonlinear Time Series (TS) and Mathematical
Programming (MP) approach. We address three challenges simultaneously,
namely, the adjacency matrix is unknown; the total amount in the
network has to be balanced; dependence is unnecessarily linear. We use
a nonparametric approach to handle the nonlinearity and estimate the
adjacency matrix under the sparsity assumption. The estimation is conducted
with the Mathematical Optimisation method. We illustrate the
accuracy and effectiveness of the model on the example of the natural gas
transmission network of one of the largest transmission system operators
(TSOs) in Germany, Open Grid Europe. The obtained results show that,
especially for shorter forecasting horizons, proposed method outperforms
all considered benchmark models, improving the avarage nMAPE for
5.1% and average RMSE for 79.6% compared to the second-best model.
The model is capable to capture the nonlinear dependencies in the complex
spatial-temporal network dynamics and benefits from both sparsity
assumption and the demand and supply balance constraint.