Leonardo Rydin Gorjão

Julius Trebbien, Leonardo Rydin Gorjão, Aaron Praktiknjo et al.

Electricity prices in liberalized markets are determined by the supply and demand for electric power, which are in turn driven by various external influences that vary strongly in time. In perfect competition, the merit order principle describes that dispatchable power plants enter the market in the order of their marginal costs to meet the residual load, i.e. the difference of load and renewable generation. Many market models implement this principle to predict electricity prices but typically require certain assumptions and simplifications. In this article, we present an explainable machine learning model for the prices on the German day-ahead market, which substantially outperforms a benchmark model based on the merit order principle. Our model is designed for the ex-post analysis of prices and thus builds on various external features. Using Shapley Additive exPlanation (SHAP) values, we can disentangle the role of the different features and quantify their importance from empiric data. Load, wind and solar generation are most important, as expected, but wind power appears to affect prices stronger than solar power does. Fuel prices also rank highly and show nontrivial dependencies, including strong interactions with other features revealed by a SHAP interaction analysis. Large generation ramps are correlated with high prices, again with strong feature interactions, due to the limited flexibility of nuclear and lignite plants. Our results further contribute to model development by providing quantitative insights directly from data.

Iva Bačić, Jakob Niehues, Philipp C. Böttcher et al.

Dynamic grid stability is traditionally ensured with synchronous generators. Modern grids rely substantially more on inverter-based resources, which require grid-forming control to guarantee adequate system-wide synchronization and stability. Small-signal stability has granted various centralized and decentralized stability certificates - but these have primarily been limited to sufficient criteria only. In this work, we construct a necessary and sufficient small-signal stability criterion for lossless inverter-based power grids with arbitrary topology. We show that asymptotic stability is equivalent to the positive definiteness of a single matrix that combines network topology, operating point, and effective droop gains. We derive graph-theoretic stability criteria based on an augmented cone graph and show that the contribution of graph cycles is typically small, as illustrated for three IEEE test cases. The resulting framework yields decentralized stability criteria, quantifies the conservatism introduced by decentralization, and may support the development of future grid codes.

Hannes Hilger, Dirk Witthaut, Manuel Dahmen et al.

Trading on the day-ahead electricity markets requires accurate information about the realization of electricity prices and the uncertainty attached to the predictions. Deriving accurate forecasting models presents a difficult task due to the day-ahead price's non-stationarity resulting from changing market conditions, e.g., due to changes resulting from the energy crisis in 2021. We present a probabilistic forecasting approach for day-ahead electricity prices using the fully data-driven deep generative model called normalizing flow. Our modeling approach generates full-day scenarios of day-ahead electricity prices based on conditional features such as residual load forecasts. Furthermore, we propose extended feature sets of prior realizations and a periodic retraining scheme that allows the normalizing flow to adapt to the changing conditions of modern electricity markets. Our results highlight that the normalizing flow generates high-quality scenarios that reproduce the true price distribution and yield accurate forecasts. Additionally, our analysis highlights how our improvements towards adaptations in changing regimes allow the normalizing flow to adapt to changing market conditions and enable continued sampling of high-quality day-ahead price scenarios.

Julius Trebbien, Sebastian Pütz, Benjamin Schäfer et al.

Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian invasion of Ukraine, challenging established forecasting methods. Here, we present a Long Short-Term Memory (LSTM) model for the German-Luxembourg day-ahead electricity prices addressing these challenges. The recurrent structure of the LSTM allows the model to adapt to trends, while the joint prediction of both mean and standard deviation enables a probabilistic prediction. Using a physics-inspired approach - superstatistics - to derive an explanation for the statistics of prices, we show that the LSTM model faithfully reproduces both prices and their volatility.

Anup Budhathoki, Leonardo Rydin Gorjão, Pedro G. Lind et al.

We present a data-driven framework to model the stochastic evolution of volume-price distribution from the New York Stock Exchange (NYSE) equities. The empirical distributions are sampled every 10 minutes over 976 trading days, and fitted to different models, namely Gamma, Inverse Gamma, Weibull, and Log-Normal distributions. Each of these models is parameterized by a shape parameter, $phi$, and a scale parameter, $θ$, which are detrended from their daily average behavior. The time series of the detrended parameters is analyzed using adaptive binning and regression-based extraction of the Kramers-Moyal (KM) coefficients, up to their sixth order, enabling to classification of its intrinsic dynamics. We show that (i) $ϕ$ is well described as a pure diffusion with a linear mean regression for the Gamma, Inverse Gamma, and Weibull models, while $θ$ shows dominant jump-diffusion dynamics, with an elevated fourth- and sixth-order moment contributions; (ii) the log-normal model shows however the opposite: $θ$ is predominantly diffusive, with $ϕ$ showing weak jump signatures; (iii) global moment inversion yields jump rates and amplitudes that account for a large share of total variance for $θ$, confirming that rare discontinuities dominate volatility.

Xinyi Wen, Xiao Li, Leonardo Rydin Gorjão et al.

System identification plays a crucial role in physics and machine learning for discovering governing equations directly from data. A powerful approach is the Sparse Identification of Nonlinear Dynamics (SINDy) method, which assumes that only a few dominant terms drive the essential behavior of a nonlinear dynamical system. While SINDy methods have shown excellent results, they are most often illustrated on synthetic or simulated systems, leaving open the question of how well they perform on complex, noisy, real-world data. Power grid frequency dynamics provide a highly relevant and challenging environment for advancing system identification methods. In this work, we propose PowerSINDy as a framework for empirical power system data. We apply this framework to empirical frequency data from the Continental Europe (CE) and South Korea (SK) synchronous grids, two major power systems with distinct dynamical characteristics. PowerSINDy, which also includes time-dependent terms, can identify the dynamics of these complex real-world systems. Furthermore, we benchmark three sparsity-promoting regression strategies: Sequentially Thresholded Least Squares (STLSQ), Least Absolute Shrinkage and Selection Operator (LASSO), and Sparse Relaxed Regularized Regression (SR3) to evaluate trade-offs between accuracy, sparsity, and robustness. Results show that LASSO consistently achieves the lowest stable RMSEs, reaching 0.0101 for the CE, while STLSQ provides the best balance between accuracy and stability. SR3 exhibits higher variability and sensitivity to regularization, with L0 and L1 producing nearly indistinguishable outcomes.

Eike Cramer, Leonardo Rydin Gorjão, Alexander Mitsos et al.

The design and operation of modern energy systems are heavily influenced by time-dependent and uncertain parameters, e.g., renewable electricity generation, load-demand, and electricity prices. These are typically represented by a set of discrete realizations known as scenarios. A popular scenario generation approach uses deep generative models (DGM) that allow scenario generation without prior assumptions about the data distribution. However, the validation of generated scenarios is difficult, and a comprehensive discussion about appropriate validation methods is currently lacking. To start this discussion, we provide a critical assessment of the currently used validation methods in the energy scenario generation literature. In particular, we assess validation methods based on probability density, auto-correlation, and power spectral density. Furthermore, we propose using the multifractal detrended fluctuation analysis (MFDFA) as an additional validation method for non-trivial features like peaks, bursts, and plateaus. As representative examples, we train generative adversarial networks (GANs), Wasserstein GANs (WGANs), and variational autoencoders (VAEs) on two renewable power generation time series (photovoltaic and wind from Germany in 2013 to 2015) and an intra-day electricity price time series form the European Energy Exchange in 2017 to 2019. We apply the four validation methods to both the historical and the generated data and discuss the interpretation of validation results as well as common mistakes, pitfalls, and limitations of the validation methods. Our assessment shows that no single method sufficiently characterizes a scenario but ideally validation should include multiple methods and be interpreted carefully in the context of scenarios over short time periods.