Forecasting spot electricity prices: Deep learning approaches and empirical comparison of traditional algorithms

In this paper, a novel modeling framework for forecasting electricity prices is proposed. While many predictive models have been already proposed to perform this task, the area of deep learning algorithms remains yet unexplored. To fill this scientific gap, we propose four different deep learning models for predicting electricity prices and we show how they lead to improvements in predictive accuracy. In addition, we also consider that, despite the large number of proposed methods for predicting electricity prices, an extensive benchmark is still missing. To tackle that, we compare and analyze the accuracy of 27 common approaches for electricity price forecasting. Based on the benchmark results, we show how the proposed deep learning models outperform the state-of-the-art methods and obtain results that are statistically significant. Finally, using the same results, we also show that: (i) machine learning methods yield, in general, a better accuracy than statistical models; (ii) moving average terms do not improve the predictive accuracy; (iii) hybrid models do not outperform their simpler counterparts.Erratum: https://doi.org/10.1016/j.apenergy.2018.06.131Team DeSchutte

Forecasting day-ahead electricity prices in Europe: The importance of considering market integration

Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we propose a deep neural network that considers features from connected markets to improve the predictive accuracy in a local market. To measure the importance of these features, we propose a novel feature selection algorithm that, by using Bayesian optimization and functional analysis of variance, evaluates the effect of the features on the algorithm performance. In addition, using market integration, we propose a second model that, by simultaneously predicting prices from two markets, improves the forecasting accuracy even further. As a case study, we consider the electricity market in Belgium and the improvements in forecasting accuracy when using various French electricity features. We show that the two proposed models lead to improvements that are statistically significant. Particularly, due to market integration, the predictive accuracy is improved from 15.7% to 12.5% sMAPE (symmetric mean absolute percentage error). In addition, we show that the proposed feature selection algorithm is able to perform a correct assessment, i.e. to discard the irrelevant features.Accepted Author ManuscriptTeam DeSchutte

A generalized model for short-term forecasting of solar irradiance

In recent years, as the share of solar power in the electrical grid has been increasing, accurate methods for forecasting solar irradiance have become necessary to manage the electrical grid. More specifically, as solar generators are geographically dispersed, it is very important to have general models that can predict solar irradiance without the need of ground data. In this paper, we propose a novel technique that can accomplish that: using satellite images, the proposed model is able to forecast solar irradiance without the need of ground measurements. To illustrate the performance of the proposed model, we consider 15 locations in The Netherlands, and we show that the proposed model is as accurate as local models that are individually trained with ground data.Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Team DeSchutterDelft Center for Systems and Contro

A 1-dimensional continuous and smooth model for thermally stratified storage tanks including mixing and buoyancy

To mitigate the effects of the intermittent generation of renewable energy sources, reliable and efficient energy storage is critical. Since nearly 80% of households energy consumption is destined to water and space heating, thermal energy storage is particularly important. In this context, we propose and validate a new model for one of the most efficient heat storage systems: stratified thermal storage tanks. The novelty of the model is twofold: first, unlike the non-smooth models from the literature, it identifies the mixing and buoyancy dynamics using a smooth and continuous function. This smoothness property is critical to efficiently integrate thermal storage vessels in optimization and control problems. Second, unlike models from literature, it considers two types of buoyancy: slow, linked to naturally occurring buoyancy, and fast, associated with charging/discharging effects. As we show, this distinction is paramount to identify accurate models. To show the relevance of the model, we consider a real tank that can satisfy heat demands up to 100 kW. Using real data from this vessel, we validate the proposed model and show that the estimated parameters correctly identify the physical properties of the vessel. Then, we employ the model in a control problem where the vessel is operated to minimize the cost of providing a given heat demand and we compare the model performance against that of a non-smooth model from literature. We show that: (1)the smooth model obtains the best optimal solutions; (2)its computation costs are 100 times cheaper; (3)it is the best alternative for use in real-time model- based control strategies, e.g. model predictive control.Team DeSchutterDelft Center for Systems and Contro

Short-term forecasting of solar irradiance without local telemetry: A generalized model using satellite data

Due to the increasing integration of solar power into the electrical grid, forecasting short-term solar irradiance has become key for many applications, e.g. operational planning, power purchases, reserve activation, etc. In this context, as solar generators are geographically dispersed and ground measurements are not always easy to obtain, it is very important to have general models that can predict solar irradiance without the need of local data. In this paper, a model that can perform short-term forecasting of solar irradiance in any general location without the need of ground measurements is proposed. To do so, the model considers satellite-based measurements and weather-based forecasts, and employs a deep neural network structure that is able to generalize across locations; particularly, the network is trained only using a small subset of sites where ground data is available, and the model is able to generalize to a much larger number of locations where ground data does not exist. As a case study, 25 locations in The Netherlands are considered and the proposed model is compared against four local models that are individually trained for each location using ground measurements. Despite the general nature of the model, it is shown show that the proposed model is equal or better than the local models: when comparing the average performance across all the locations and prediction horizons, the proposed model obtains a 31.31% rRMSE (relative root mean square error) while the best local model achieves a 32.01% rRMSE.Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Team DeSchutte

Building day-ahead bidding functions for seasonal storage systems: A reinforcement learning approach

Due to the increasing integration of renewable sources in the electrical grid, electricity generation is expected to become more uncertain. In this context, seasonal thermal energy storage systems (STESSs) are key to shift the delivery of renewable energy sources and tackle their uncertainty problems. In this paper, we propose an optimal controller for STESSs that, using reinforcement learning, builds bidding functions for the day-ahead market. In detail, considering that there is an uncertain energy demand that the STESS has to satisfy, the controller buys energy in the day-ahead market so that the uncertain demand is satisfied while the profits are maximized. Since prices are low during periods of large renewable energy generation (and vice versa), maximizing the profit of a STESS indirectly shifts the delivery of renewable energy to periods of high energy demand while reducing their uncertainty problems. To evaluate the proposed algorithm, we consider a real STESS providing different yearly-demand levels; then, we compare the performance of the controller to the theoretical upper bound, i.e. the optimal cost of buying energy given perfect knowledge of the demand and prices. The results indicate that the proposed controller performs reasonably well: despite the large uncertainty in prices and demand, the proposed controller obtains 70%-50% of the maximum gains given by the theoretical bound.Team DeSchutterDelft Center for Systems and Contro