Iranian Journal of Electrical and Electronic Engineering
IJEEE
Engineering & Technology
http://ijeee.iust.ac.ir
18
agent2
1735-2827
2383-3890
10.22068/IJEEE
en
jalali
1392
6
1
gregorian
2013
9
1
9
3
online
1
fulltext
en
Modeling of the Maximum Entropy Problem as an Optimal Control Problem and its Application to Pdf Estimation of Electricity Price
1-Market Deregulation
Market Deregulation
Research Paper
Research Paper
In this paper, the continuous optimal control theory is used to model and solve the maximum entropy problem for a continuous random variable. The maximum entropy principle provides a method to obtain least-biased probability density function (Pdf) estimation. In this paper, to find a closed form solution for the maximum entropy problem with any number of moment constraints, the entropy is considered as a functional measure and the moment constraints are considered as the state equations. Therefore, the Pdf estimation problem can be reformulated as the optimal control problem. Finally, the proposed method is applied to estimate the Pdf of the hourly electricity prices of New England and Ontario electricity markets. Obtained results show the efficiency of the proposed method.
Electricity price, Probability density function (Pdf), Maximum entropy (ME), Optimal control.
150
157
http://ijeee.iust.ac.ir/browse.php?a_code=A-10-804-2&slc_lang=en&sid=1
M. E.
Haji Abadi
m.e.hajiabadi@stu-mail.um.ac.ir
`180031947532846002949`

180031947532846002949
No
Ferdowsi university
H.
Rajabi Mashhadi
h_mashhadi@um.ac.ir
`180031947532846002950`

180031947532846002950
Yes
Ferdowsi University of Mashhad