An Integrated Approach for Value-oriented Energy Forecasting and Data-driven Decision-making. Application to Renewable Energy Trading

International audienceShort-term forecasts of generation or demand are required as inputs into several power system management functions. Forecast models are in general tuned to provide optimal accuracy and reliable estimations of associated uncertainty. In a second step, these forecasts are used as input in tools that perform various functions such as scheduling, reserves estimation, and trading in electricity markets. These functions often integrate algorithms that in turn optimize a value-related criterion, like cost, reliability, income, etc. The literature has shown that in some processes, like energy trading, this value may be optimized if a specific quantile forecast is selected rather than the forecast considered as most accurate. In this paper we propose a new data-driven approach in which the two steps of forecasting and decision-making are unified into one function that is optimized considering a single criterion, i.e. the value featured in the decision-making process. This approach allows us to bypass the use of specific forecasting models and could be extended to any decision-making process for which the inputs, outputs and objective functions are well defined. An intermediate approach is evaluated where a meta-optimization is applied to tune the forecast model as a function of the value it brings. This intermediate approach can also prove efficient, but does not allow us to bypass the forecasting models. The applications considered to evaluate the concept are photovoltaic and wind power generation trading in a day-ahead market, where we simultaneously optimize a forecasting model and a trading strategy, considering the final revenue on the electricity market as the objective function. For the meta-optimization, an Analog Ensemble (AnEn) model is used to forecast PV production, coupled with a Support Vector Regression (SVR) to forecast market prices. For the data-driven approach, we use an Extreme Learning Machine (ELM). As the objective function is highly complex and non-linear, the optimization is carried out by Particle Swarm Optimization (PSO)