Risk Management using Model Predictive Control

Forward planning and risk management are crucial for the success of any system or business dealing with the uncertainties of the real world. Previous approaches have largely assumed that the future will be similar to the past, or used simple forecasting techniques based on ad-hoc models. Improving solutions requires better projection of future events, and necessitates robust forward planning techniques that consider forecasting inaccuracies. This work advocates risk management through optimal control theory, and proposes several techniques to combine it with time-series forecasting. Focusing on applications in foreign exchange (FX) and battery energy storage systems (BESS), the contributions of this thesis are three-fold. First, a short-term risk management system for FX dealers is formulated as a stochastic model predictive control (SMPC) problem in which the optimal risk-cost profiles are obtained through dynamic control of the dealers’ positions on the spot market. Second, grammatical evolution (GE) is used to automate non-linear time-series model selection, validation, and forecasting. Third, a novel measure for evaluating forecasting models, as a part of the predictive model in finite horizon optimal control applications, is proposed. Using both synthetic and historical data, the proposed techniques were validated and benchmarked. It was shown that the stochastic FX risk management system exhibits better risk management on a risk-cost Pareto frontier compared to rule-based hedging strategies, with up to 44.7% lower cost for the same level of risk. Similarly, for a real-world BESS application, it was demonstrated that the GE optimised forecasting models outperformed other prediction models by at least 9%, improving the overall peak shaving capacity of the system to 57.6%

Risk Management using Model Predictive Control

Forward planning and risk management are crucial for the success of any system or business dealing with the uncertainties of the real world. Previous approaches have largely assumed that the future will be similar to the past, or used simple forecasting techniques based on ad-hoc models. Improving solutions requires better projection of future events, and necessitates robust forward planning techniques that consider forecasting inaccuracies. This work advocates risk management through optimal control theory, and proposes several techniques to combine it with time-series forecasting. Focusing on applications in foreign exchange (FX) and battery energy storage systems (BESS), the contributions of this thesis are three-fold. First, a short-term risk management system for FX dealers is formulated as a stochastic model predictive control (SMPC) problem in which the optimal risk-cost profiles are obtained through dynamic control of the dealers’ positions on the spot market. Second, grammatical evolution (GE) is used to automate non-linear time-series model selection, validation, and forecasting. Third, a novel measure for evaluating forecasting models, as a part of the predictive model in finite horizon optimal control applications, is proposed. Using both synthetic and historical data, the proposed techniques were validated and benchmarked. It was shown that the stochastic FX risk management system exhibits better risk management on a risk-cost Pareto frontier compared to rule-based hedging strategies, with up to 44.7% lower cost for the same level of risk. Similarly, for a real-world BESS application, it was demonstrated that the GE optimised forecasting models outperformed other prediction models by at least 9%, improving the overall peak shaving capacity of the system to 57.6%

A Comprehensive Survey on Particle Swarm Optimization Algorithm and Its Applications

Particle swarm optimization (PSO) is a heuristic global optimization method, proposed originally by Kennedy and Eberhart in 1995. It is now one of the most commonly used optimization techniques. This survey presented a comprehensive investigation of PSO. On one hand, we provided advances with PSO, including its modifications (including quantum-behaved PSO, bare-bones PSO, chaotic PSO, and fuzzy PSO), population topology (as fully connected, von Neumann, ring, star, random, etc.), hybridization (with genetic algorithm, simulated annealing, Tabu search, artificial immune system, ant colony algorithm, artificial bee colony, differential evolution, harmonic search, and biogeography-based optimization), extensions (to multiobjective, constrained, discrete, and binary optimization), theoretical analysis (parameter selection and tuning, and convergence analysis), and parallel implementation (in multicore, multiprocessor, GPU, and cloud computing forms). On the other hand, we offered a survey on applications of PSO to the following eight fields: electrical and electronic engineering, automation control systems, communication theory, operations research, mechanical engineering, fuel and energy, medicine, chemistry, and biology. It is hoped that this survey would be beneficial for the researchers studying PSO algorithms

Multilayer perceptron network optimization for chaotic time series modeling

Chaotic time series are widely present in practice, but due to their characteristics—such as internal randomness, nonlinearity, and long-term unpredictability—it is difficult to achieve high-precision intermediate or long-term predictions. Multi-layer perceptron (MLP) networks are an effective tool for chaotic time series modeling. Focusing on chaotic time series modeling, this paper presents a generalized degree of freedom approximation method of MLP. We then obtain its Akachi information criterion, which is designed as the loss function for training, hence developing an overall framework for chaotic time series analysis, including phase space reconstruction, model training, and model selection. To verify the effectiveness of the proposed method, it is applied to two artificial chaotic time series and two real-world chaotic time series. The numerical results show that the proposed optimized method is effective to obtain the best model from a group of candidates. Moreover, the optimized models perform very well in multi-step prediction tasks.This research was funded in part by the NSFC grant numbers 61972174 and 62272192, the Science-Technology Development Plan Project of Jilin Province grant number 20210201080GX, the Jilin Province Development and Reform Commission grant number 2021C044-1, the Guangdong Universities’ Innovation Team grant number 2021KCXTD015, and Key Disciplines Projects grant number 2021ZDJS138

Artificial Intelligence and Machine Learning Approaches to Energy Demand-Side Response: A Systematic Review

Recent years have seen an increasing interest in Demand Response (DR) as a means to provide flexibility, and hence improve the reliability of energy systems in a cost-effective way. Yet, the high complexity of the tasks associated with DR, combined with their use of large-scale data and the frequent need for near real-time de-cisions, means that Artificial Intelligence (AI) and Machine Learning (ML) — a branch of AI — have recently emerged as key technologies for enabling demand-side response. AI methods can be used to tackle various challenges, ranging from selecting the optimal set of consumers to respond, learning their attributes and pref-erences, dynamic pricing, scheduling and control of devices, learning how to incentivise participants in the DR schemes and how to reward them in a fair and economically efficient way. This work provides an overview of AI methods utilised for DR applications, based on a systematic review of over 160 papers, 40 companies and commercial initiatives, and 21 large-scale projects. The papers are classified with regards to both the AI/ML algorithm(s) used and the application area in energy DR. Next, commercial initiatives are presented (including both start-ups and established companies) and large-scale innovation projects, where AI methods have been used for energy DR. The paper concludes with a discussion of advantages and potential limitations of reviewed AI techniques for different DR tasks, and outlines directions for future research in this fast-growing area

Predictive modelling of global solar radiation with artificial intelligence approaches using MODIS satellites and atmospheric reanalysis data for Australia

Global solar radiation (GSR) prediction is a prerequisite task for agricultural management and agronomic decisions, including photovoltaic (PV) power generation, biofuel exploration and several other bio-physical applications. Since short-term variabilities in the GSR incorporate stochastic and intermittent behaviours (such as periodic fluctuations, jumps and trends) due to the dynamicity of atmospheric variables, GSR predictions, as required for solar energy generation, is a challenging endeavour to satisfactorily predict the solar generated electricity in a PV system. Additionally, the solar radiation data, as required for solar energy monitoring purposes, are not available in all geographic locations due to the absence of meteorological stations and this is especially true for remote and regional solar powered sites. To surmount these challenges, the universally (and freely available) atmospheric gridded datasets (e.g., reanalysis and satellite variables) integrated into solar radiation predictive models to generate reliable GSR predictions can be considered as a viable medium for future solar energy exploration, utilisation and management. Hence, this doctoral thesis aims to design and evaluate novel Artificial Intelligence (AI; Machine Learning and Deep Learning) based predictive models for GSR predictions, using the European Centre for Medium Range Weather Forecasting (ECMWF) Interim-ERA reanalysis and Moderate Resolution Imaging Spectroradiometer (MODIS) Satellite variables enriched with ground-based weather station datasets for the prediction of both long-term (i.e., monthly averaged daily) as well as the short-term (i.e., daily and half-hourly) GSR. The focus of the study region is Queensland, the sunshine state, as well as a number of major solar cities in Australia where solar energy utilisation is actively being promoted by the Australian State and Federal Government agencies. Firstly, the Artificial Neural Networks (ANN), a widely used Machine Learning model is implemented to predict daily GSR at five different cities in Australia using ECMWF Reanalysis fields obtained from the European Centre for Medium Range Weather Forecasting repository. Secondly, the Self-Adaptive Differential Evolutionary Extreme Learning Machine (i.e., SaDE-ELM) is also proposed for monthly averaged daily GSR prediction trained with ECMWF reanalysis and MODIS satellite data from the Moderate Resolution Imaging Spectroradiometer. Thirdly, a three-phase Support Vector Regression (SVR; Machine Learning) model is developed to predict monthly averaged daily GSR prediction where the MODIS data are used to train and evaluate the model and the Particle Swarm Algorithm (PSO) is used as an input selection algorithm. The PSO selected inputs are further transformed into wavelet subseries via non-decimated Discrete Wavelet Transform to unveil the embedded features leading to a hybrid PSO-W-SVR model, seen to outperform the comparative hybrid models. Fourthly, to improve the accuracy of conventional techniques adopted for GSR prediction, Deep Learning (DL) approach based on Deep Belief Network (DBN) and Deep Neural Network (DNN) algorithms are developed to predict the monthly averaged daily GSR prediction using MODIS-based dataset. Finally, the Convolutional Neural Network (CNN) integrated with a Long Short-Term Memory Network (LSTM) model is used to construct a hybrid CLSTM model which is tested to predict the half-hourly GSR values over multiple time-step horizons (i.e., 1-Day, 1-Week, 2-Week, and 1-Month periods). Here, several statistical, Machine Learning and Deep Learning models are adopted to benchmark the proposed DNN and CLSTM models against conventional models (ANN, SaDE-ELM, SVR, DBN). In this doctoral research thesis, a Global Sensitivity Analysis method that attempts to utilise the Gaussian Emulation Machine (GEM-SA) algorithm is employed for a sensitivity analysis of the model predictors. Sensitivity analysis of selected predictors ascertains that the variables: aerosol, cloud, and water vapour parameters used as input parameters for GSR prediction play a significant role and the most important predictors are seen to vary with the geographic location of the tested study site. A suite of alternative models are also developed to evaluate the input datasets classified into El Niño, La Niña and the positive and negative phases of the Indian Ocean Dipole moment. This considers the impact of synoptic-scale climate phenomenon on long-term GSR predictions. A seasonal analysis of models applied at the tested study sites showed that proposed predictive models are an ideal tool over several other comparative models used for GSR prediction. This study also ascertains that an Artificial Intelligence based predictive model integrated with ECMWF reanalysis and MODIS satellite data incorporating physical interactions of the GSR (and its variability) with the other important atmospheric variables can be considered to be an efficient method to predict GSR. In terms of their practical use, the models developed can be used to assist with solar energy modelling and monitoring in solar-rich sites that have diverse climatic conditions, to further support cleaner energy utilization. The outcomes of this doctoral research program are expected to lead to new applications of Artificial Intelligence based predictive tools for GSR prediction, as these tools are able to capture the non-linear relationships between the predictor and the target variable (GSR). The Artificial Intelligence models can therefore assist climate adaptation and energy policymakers to devise new energy management devices not only for Australia but also globally, to enable optimal management of solar energy resources and promote renewable energy to combat current issues of climate change. Additionally, the proposed predictive models may also be applied to other renewable energy areas such as wind, drought, streamflow, flood and electricity demand for prediction

Data science for buildings, a multi-scale approach bridging occupants to smart-city energy planning

In a context of global carbon emission reduction goals, buildings have been identified to detain valuable energy-saving abilities. With the exponential increase of smart, connected building automation systems, massive amounts of data are now accessible for analysis. These coupled with powerful data science methods and machine learning algorithms present a unique opportunity to identify untapped energy-saving potentials from field information, and effectively turn buildings into active assets of the built energy infrastructure.However, the diversity of building occupants, infrastructures, and the disparities in collected information has produced disjointed scales of analytics that make it tedious for approaches to scale and generalize over the building stock.This coupled with the lack of standards in the sector has hindered the broader adoption of data science practices in the field, and engendered the following questioning:How can data science facilitate the scaling of approaches and bridge disconnected spatiotemporal scales of the built environment to deliver enhanced energy-saving strategies?This thesis focuses on addressing this interrogation by investigating data-driven, scalable, interpretable, and multi-scale approaches across varying types of analytical classes. The work particularly explores descriptive, predictive, and prescriptive analytics to connect occupants, buildings, and urban energy planning together for improved energy performances.First, a novel multi-dimensional data-mining framework is developed, producing distinct dimensional outlines supporting systematic methodological approaches and refined knowledge discovery. Second, an automated building heat dynamics identification method is put forward, supporting large-scale thermal performance examination of buildings in a non-intrusive manner. The method produced 64\% of good quality model fits, against 14\% close, and 22\% poor ones out of 225 Dutch residential buildings. %, which were open-sourced in the interest of developing benchmarks. Third, a pioneering hierarchical forecasting method was designed, bridging individual and aggregated building load predictions in a coherent, data-efficient fashion. The approach was evaluated over hierarchies of 37, 140, and 383 nodal elements and showcased improved accuracy and coherency performances against disjointed prediction systems.Finally, building occupants and urban energy planning strategies are investigated under the prism of uncertainty. In a neighborhood of 41 Dutch residential buildings, occupants were determined to significantly impact optimal energy community designs in the context of weather and economic uncertainties.Overall, the thesis demonstrated the added value of multi-scale approaches in all analytical classes while fostering best data-science practices in the sector from benchmarks and open-source implementations