Improving Sequential Market Coordination via Value-oriented Renewable Energy Forecasting

Fuente: arXiv
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Autori principali: Zhang, Yufan, Wen, Honglin, Bian, Yuexin, Shi, Yuanyuan
Natura: Preprint
Pubblicazione: 2024
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author Zhang, Yufan
Wen, Honglin
Bian, Yuexin
Shi, Yuanyuan
author_facet Zhang, Yufan
Wen, Honglin
Bian, Yuexin
Shi, Yuanyuan
contents Large penetration of renewable energy sources (RESs) brings huge uncertainty into the electricity markets. The current deterministic clearing approach in the day-ahead (DA) market, where RESs participate based on expected production, has been criticized for causing a lack of coordination between the DA and real-time (RT) markets, leading to high overall operating costs. Previous works indicate that improving day-ahead RES entering quantities can significantly mitigate the drawbacks of deterministic clearing. In this work, we propose using a trained forecasting model, referred to as value-oriented forecasting, to determine RES Improved Entering Quantities (RIEQ) more efficiently during the operational phase. Unlike traditional models that minimize statistical forecasting errors, our approach trains model parameters to minimize the expected overall operating costs across both DA and RT markets. We derive the exact form of the loss function used for training, which becomes piecewise linear when market clearing is modeled by linear programs. Additionally, we provide the analytical gradient of the loss function with respect to the forecast, enabling an efficient training strategy. Numerical studies demonstrate that our forecasts significantly reduce overall operating costs for deterministic market clearing compared to conventional forecasts based on expected RES production.
format Preprint
id arxiv_https___arxiv_org_abs_2405_09004
institution arXiv
publishDate 2024
record_format arxiv
spellingShingle Improving Sequential Market Coordination via Value-oriented Renewable Energy Forecasting
Zhang, Yufan
Wen, Honglin
Bian, Yuexin
Shi, Yuanyuan
Systems and Control
Machine Learning
Large penetration of renewable energy sources (RESs) brings huge uncertainty into the electricity markets. The current deterministic clearing approach in the day-ahead (DA) market, where RESs participate based on expected production, has been criticized for causing a lack of coordination between the DA and real-time (RT) markets, leading to high overall operating costs. Previous works indicate that improving day-ahead RES entering quantities can significantly mitigate the drawbacks of deterministic clearing. In this work, we propose using a trained forecasting model, referred to as value-oriented forecasting, to determine RES Improved Entering Quantities (RIEQ) more efficiently during the operational phase. Unlike traditional models that minimize statistical forecasting errors, our approach trains model parameters to minimize the expected overall operating costs across both DA and RT markets. We derive the exact form of the loss function used for training, which becomes piecewise linear when market clearing is modeled by linear programs. Additionally, we provide the analytical gradient of the loss function with respect to the forecast, enabling an efficient training strategy. Numerical studies demonstrate that our forecasts significantly reduce overall operating costs for deterministic market clearing compared to conventional forecasts based on expected RES production.
title Improving Sequential Market Coordination via Value-oriented Renewable Energy Forecasting
topic Systems and Control
Machine Learning
url https://arxiv.org/abs/2405.09004