Kühnau, M;
Stratigakos, A;
Camal, S;
Chevalier, S;
Kariniotakis, G;
(2024)
Resilient Feature-driven Trading of Renewable Energy with Missing Data.
In:
IEEE Pes Innovative Smart Grid Technologies Conference Europe.
(pp. pp. 1-5).
IEEE: Grenoble, France.
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Abstract
Advanced data-driven methods can facilitate the participation of renewable energy sources in competitive electricity markets by leveraging available contextual information, such as weather and market conditions. However, the underpinning assumption is that data will always be available in an operational setting, which is not always the case in industrial applications. In this work, we present a feature-driven method that both directly forecasts the trading decisions of a renewable producer participating in a day-ahead market, and is resilient to missing data in an operational setting. Specifically, we leverage robust optimization to formulate a feature-driven method that minimizes the worst-case trading cost when a subset of features used during model training is missing at test time. The proposed approach is validated in numerical experiments against impute-then-regress benchmarks, with the results showcasing that it leads to improved trading performance when data are missing.
| Type: | Proceedings paper |
|---|---|
| Title: | Resilient Feature-driven Trading of Renewable Energy with Missing Data |
| Event: | 2023 IEEE PES Innovative Smart Grid Technologies Europe (ISGT EUROPE) |
| Dates: | 23 Oct 2023 - 26 Oct 2023 |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1109/ISGTEUROPE56780.2023.10408186 |
| Publisher version: | https://doi.org/10.1109/isgteurope56780.2023.10408... |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Renewable energy sources , Costs , Europe , Weather forecasting , Benchmark testing , Numerical models , Optimization |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment > Bartlett School Env, Energy and Resources |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10212754 |
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