1. Resilient Feature-driven Trading of Renewable Energy with Missing Data
- Author
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Kühnau, Matias, Stratigakos, Akylas, Camal, Simon, Chevalier, Samuel, Kariniotakis, Georges, Danmarks Tekniske Universitet = Technical University of Denmark (DTU), Centre Procédés, Énergies Renouvelables, Systèmes Énergétiques (PERSEE), Mines Paris - PSL (École nationale supérieure des mines de Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Université Paris sciences et lettres (PSL), And part by the Carnot M.I.N.E.S project Flexi4Value (Grant No 220000499) supported by ANR., and European Project: 864337,Smart4RES
- Subjects
data-driven optimization ,missing data ,[SPI]Engineering Sciences [physics] ,robust optimization ,energy trading ,renewable energy sources - 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.
- Published
- 2023