Feature-driven improvement of renewable energy forecasting and trading

M. A. Muñoz, J. M. Morales, and S. Pineda, Feature-driven Improvement of Renewable Energy Forecasting and Trading, IEEE Transactions on Power Systems, 2020.Inspired from recent insights into the common ground of machine learning, optimization and decision-making, this paper proposes an easy-to-implement, but effective procedure to enhance both the quality of renewable energy forecasts and the competitive edge of renewable energy producers in electricity markets with a dual-price settlement of imbalances. The quality and economic gains brought by the proposed procedure essentially stem from the utilization of valuable predictors (also known as features) in a data-driven newsvendor model that renders a computationally inexpensive linear program. We illustrate the proposed procedure and numerically assess its benefits on a realistic case study that considers the aggregate wind power production in the Danish DK1 bidding zone as the variable to be predicted and traded. Within this context, our procedure leverages, among others, spatial information in the form of wind power forecasts issued by transmission system operators (TSO) in surrounding bidding zones and publicly available in online platforms. We show that our method is able to improve the quality of the wind power forecast issued by the Danish TSO by several percentage points (when measured in terms of the mean absolute or the root mean square error) and to significantly reduce the balancing costs incurred by the wind power producer.European Research Council (ERC) under the EU Horizon 2020 research and innovation programme (grant agreement No. 755705) Spanish Ministry of Economy, Industry, and Competitiveness through project ENE2017-83775-P

Is learning for the unit commitment problem a low-hanging fruit?

The blast wave of machine learning and artificial intelligence has also reached the power systems community, and amid the frenzy of methods and black-box tools that have been left in its wake, it is sometimes difficult to perceive a glimmer of Occam’s razor principle. In this letter, we use the unit commitment problem (UCP), an NP- hard mathematical program that is fundamental to power system operations, to show that simplicity must guide any strategy to solve it, in particular those that are based on learning from past UCP instances. To this end, we apply a naive algorithm to produce candidate solutions to the UCP and show, using a variety of realistically sized power systems, that we are able to find optimal or quasi-optimal solutions with remarkable speedups. To the best of our knowledge, this is the first work in the technical literature that quantifies how challenging learning the solution of the UCP actually is for real-size power systems. Our claim is thus that any sophistication of the learning method must be backed up with a statistically significant improvement of the results in this letterThis work was supported in part by the Spanish Ministry of Science and Innovation through project PID2020-115460GB-I00, by the Anda-lusian Regional Government through project P20-00153, and by the Research Program for Young Talented Researchers of the University of Málaga under Project B1-2019-11. This project has also received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (grant agreement No 755705). Finally, the authors thankfully acknowledge the computer re- sources, technical expertise, and assistance provided by the SCBI (Supercomputing and Bioinformatics) center of the University of Málaga. Funding for open access charge: Universidad de Málaga /CBU

Is learning for the unit commitment problem a low-hanging fruit?

The blast wave of machine learning and artificial intelligence has also reached the power systems community, and amid the frenzy of methods and black-box tools that have been left in its wake, it is sometimes difficult to perceive a glimmer of Occam’s razor principle. In this letter, we use the unit commitment problem (UCP), an NP-hard mathematical program that is fundamental to power system operations, to show that simplicity must guide any strategy to solve it, in particular those that are based on learning from past UCP instances. To this end, we apply a naive algorithm to produce candidate solutions to the UCP and show, using a variety of realistically sized power systems, that we are able to find optimal or quasi-optimal solutions with remarkable speedups. To the best of our knowledge, this is the first work in the technical literature that quantifies how challenging learning the solution of the UCP actually is for real-size power systems. Our claim is thus that any sophistication of the learning method must be backed up with a statistically significant improvement of the results in this letter.Universidad de Málaga. Campus de Excelencia Internaciona

Chronological Time-Period Clustering for Optimal Capacity Expansion Planning

To reduce the computational burden of capacity expansion models, power system operations are commonly accounted for in these models using representative time periods of the planning horizon such as hours, days or weeks. However, the validity of these time-period aggregation approaches to determine the capacity expansion plan of future power systems is arguable, as they fail to capture properly the mid-terms dynamics of renewable power generation and to model accurately the operation of electricity storage. In this paper we propose a new time-period clustering method that overcomes the aforementioned drawbacks by maintaining the chronology of the input time series throughout the whole planning horizon. Thus, the proposed method can correctly assess the economic value of combining renewable power generation with interday storage devices. Numerical results from a test case based on the European electricity network show that our method provides more efficient capacity expansion plans than existing methods while requiring similar computational needs.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

Learning the price response of active distribution networks for TSO-DSO coordination

The increase in distributed energy resources and flexible electricity consumers has turned TSO-DSO coordination strategies into a challenging problem. Existing decomposition/decentralized methods apply divide-and-conquer strategies to trim down the computational burden of this complex problem, but rely on access to proprietary information or fail-safe real-time communication infrastructures. To overcome these drawbacks, we propose in this paper a TSO-DSO coordination strategy that only needs a series of observations of the nodal price and the power intake at the substations connecting the transmission and distribution networks. Using this information, we learn the price response of active distribution networks (DN) using a decreasing step-wise function that can also adapt to some contextual information. The learning task can be carried out in a computationally efficient manner and the curve it produces can be interpreted as a market bid, thus averting the need to revise the current operational procedures for the transmission network. Inaccuracies derived from the learning task may lead to suboptimal decisions. However, results from a realistic case study show that the proposed methodology yields operating decisions very close to those obtained by a fully centralized coordination of transmission and distribution

A bilevel framework for decision-making under uncertainty with contextual information

In this paper, we propose a novel approach for data-driven decision-making under uncertainty in the presence of contextual information. Given a finite collection of observations of the uncertain parameters and potential explanatory variables (i.e., the contextual information), our approach fits a parametric model to those data that is specifically tailored to maximizing the decision value, while accounting for possible feasibility constraints. From a mathematical point of view, our framework translates into a bilevel program, for which we provide both a fast regularization procedure and a big-M-based reformulation that can be solved using off-the-shelf optimization solvers. We showcase the benefits of moving from the traditional scheme for model estimation (based on statistical quality metrics) to decision-guided prediction using three different practical problems. We also compare our approach with existing ones in a realistic case study that considers a strategic power producer that participates in the Iberian electricity market. Finally, we use these numerical simulations to analyze the conditions (in terms of the firm’s cost structure and production capacity) under which our approach proves to be more advantageous to the producer.This work was supported in part by the European Research Council (ERC) under the EU Horizon 2020 research and innovation program (grant agreement No. 755705), in part by the Spanish Ministry of Science and Innovation (AEI/10.13039/501100011033) through project PID2020-115460GB-I00, and in part by the Junta de Andalucía (JA), the Universidad de Málaga and the European Regional Development Fund (FEDER) through the research projects P20_00153 and UMA2018‐FEDERJA‐001. M. Á. Muñoz is also funded by the Spanish Ministry of Science, Innovation and Universities through the State Training Subprogram 2018 of the State Program for the Promotion of Talent and its Employability in R&D&I, within the framework of the State Plan for Scientific and Technical Research and Innovation 2017-2020 and by the European Social Fund. Finally, the authors thankfully acknowledge the computer resources, technical expertise, and assistance provided by the SCBI (Supercomputing and Bioinformatics) center of the University of Malaga

A data-based approach for solving the Rank Pricing Problem.

The Rank Pricing Problem is a challenging mixed-integer optimization problem. It aims to determine the optimal pricing strategies of a set of products ranked by customer preferences. Given its NP-hard nature, existing literature offers various exact methodologies. However, these approaches can be intricate to formulate and computationally intensive. In contrast, in this talk, we propose a novel data-based methodology that is simple but effective. Even though our heuristic proposal cannot guarantee to obtain the optimal solution, the numerical results in different instances show its capacity to deliver high-quality results, providing a pragmatic alternative within a short computational timeframe.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

Learning‑assisted optimization for transmission switching

The design of new strategies that exploit methods from machine learning to facilitate the resolution of challenging and large-scale mathematical optimization problems has recently become an avenue of prolific and promising research. In this paper, we propose a novel learning procedure to assist in the solution of a well-known compu- tationally difficult optimization problem in power systems: The Direct Current Opti- mal Transmission Switching (DC-OTS) problem. The DC-OTS problem consists in finding the configuration of the power network that results in the cheapest dispatch of the power generating units. With the increasing variability in the operating con- ditions of power grids, the DC-OTS problem has lately sparked renewed interest, because operational strategies that include topological network changes have proved to be effective and efficient in helping maintain the balance between generation and demand. The DC-OTS problem includes a set of binaries that determine the on/off status of the switchable transmission lines. Therefore, it takes the form of a mixed- integer program, which is NP-hard in general. In this paper, we propose an approach to tackle the DC-OTS problem that leverages known solutions to past instances of the problem to speed up the mixed-integer optimization of a new unseen model. Although our approach does not offer optimality guarantees, a series of numerical experiments run on a real-life power system dataset show that it features a very high success rate in identifying the optimal grid topology (especially when compared to alternative competing heuristics), while rendering remarkable speed-up factors.Funding for open access charge: Universidad de Málaga / CBU

Tight big-Ms for optimal transmission switching

This paper addresses the Optimal Transmission Switching (OTS) problem in electricity networks, which aims to find an optimal power grid topology that minimizes system operation costs while satisfying physical and operational constraints. Existing methods typically convert the OTS problem into a Mixed-Integer Linear Program (MILP) using big-M constants. However, the computational performance of these approaches relies significantly on the tightness of these big-Ms. In this paper, we propose an iterative tightening strategy to strengthen the big-Ms by efficiently solving a series of bounding problems that account for the economics of the OTS objective function through an upper-bound on the generating cost. We also discuss how the performance of the proposed tightening strategy is enhanced if reduced line capacities are considered. Using the 118-bus test system we demonstrate that the proposed methodology outperforms existing approaches, offering tighter bounds and significantly reducing the computational burden of the OTS problem.Funding for open access charge: Universidad de Málaga / CBU