Alexandre Huynen

Matthias Pirlet, Adrien Bolland, Alexandre Huynen et al.

Estimating generation costs from observed electricity market data is essential for market simulation, strategic bidding, and system planning. To that end, we model the relationship between generation costs and production schedules with a latent variable model. Estimating generation costs from observed schedules is then formulated as Bayesian inference. A prior distribution encodes an initial belief on parameters, and the inference consists of updating the belief with the posterior distribution given observations. We use balanced neural posterior estimation (BNPE) to learn this posterior. Validation on the IEEE RTS-96 test system shows that marginal costs are recovered with narrow credible intervals, while start-up costs remain largely unidentifiable from schedules alone. The method is benchmarked against an inverse-optimization algorithm that exhibits larger parameter errors without uncertainty quantification.

Ioannis Boukas, Damien Ernst, Thibaut Théate et al.

The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in particular the intraday market are considered a suitable trading floor for these exchanges to occur. A key component for the successful renewable energy sources integration is the usage of energy storage. In this paper, we propose a novel modelling framework for the strategic participation of energy storage in the European continuous intraday market where exchanges occur through a centralized order book. The goal of the storage device operator is the maximization of the profits received over the entire trading horizon, while taking into account the operational constraints of the unit. The sequential decision-making problem of trading in the intraday market is modelled as a Markov Decision Process. An asynchronous distributed version of the fitted Q iteration algorithm is chosen for solving this problem due to its sample efficiency. The large and variable number of the existing orders in the order book motivates the use of high-level actions and an alternative state representation. Historical data are used for the generation of a large number of artificial trajectories in order to address exploration issues during the learning process. The resulting policy is back-tested and compared against a benchmark strategy that is the current industrial standard. Results indicate that the agent converges to a policy that achieves in average higher total revenues than the benchmark strategy.