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A Probabilistic Forecast-Driven Strategy for a Risk-Aware Participation in the Capacity Firming Market

28 May 2021
Jonathan Dumas
Colin Cointe
Antoine Wehenkel
Antonio Sutera
X. Fettweis
Bertrand Cornélusse
ArXiv (abs)PDFHTML
Abstract

The core contribution is to propose a probabilistic forecast-driven strategy, modeled as a min-max-min robust optimization problem with recourse, and solved using a Benders-dual cutting plane algorithm in a tractable manner. The convergence is improved by building an initial set of cuts. In addition, a dynamic risk-averse parameters selection strategy based on the quantile forecasts distribution is proposed. A secondary contribution is to use a recently developed deep learning model known as normalizing flows to generate quantile forecasts of renewable generation for the robust optimization problem. This technique provides a general mechanism for defining expressive probability distributions, only requiring the specification of a base distribution and a series of bijective transformations. Overall, the robust approach improves the results over a deterministic approach with nominal point forecasts by finding a trade-off between conservative and risk-seeking policies. The case study uses the photovoltaic generation monitored on-site at the University of Li\`ege (ULi\`ege), Belgium.

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