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- W2973001045 abstract "The single imbalance pricing is an emerging mechanism in European electricity markets where all positive and negative imbalances are settled at a unique price. This real-time scheme thereby stimulates market participants to deviate from their schedule to restore the power system balance. However, exploiting this market opportunity is very risky due to the extreme volatility of the real-time power system conditions. In order to address this issue, we implement a new tailored deep-learning model, named encoder-decoder, to generate improved probabilistic forecasts of the imbalance signal, by efficiently capturing its complex spatio-temporal dynamics. The predicted distributions are then used to quantify and optimize the risk associated with the real-time participation of market players, acting as price-makers, in the imbalance settlement. This leads to an integrated forecast-driven strategy, modeled as a robust bi-level optimization. Results show that our probabilistic forecaster achieves better performance than other state of the art tools, and that the subsequent risk-aware robust dispatch tool allows finding a tradeoff between conservative and risk-seeking policies, leading to improved economic benefits. Moreover, we show that the model is computationally efficient and can thus be incorporated in the very-short-term dispatch of market players with flexible resources." @default.
- W2973001045 created "2019-09-19" @default.
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- W2973001045 date "2020-03-01" @default.
- W2973001045 modified "2023-10-06" @default.
- W2973001045 title "Very-Short-Term Probabilistic Forecasting for a Risk-Aware Participation in the Single Price Imbalance Settlement" @default.
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- W2973001045 doi "https://doi.org/10.1109/tpwrs.2019.2940756" @default.
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