Electricity market forecasting via low-rank multi-kernel learning

Vassilis Kekatos, Yu Zhang, Georgios B. Giannakis

Research output: Contribution to journalArticlepeer-review

25 Scopus citations

Abstract

The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged here for electricity market inference. Day-ahead price forecasting is cast as a low-rank kernel learning problem. Uniquely exploiting the market clearing process, congestion patterns are modeled as rank-one components in the matrix of spatio-temporally varying prices. Through a novel nuclear norm-based regularization, kernels across pricing nodes and hours can be systematically selected. Even though market-wide forecasting is beneficial from a learning perspective, it involves processing high-dimensional market data. The latter becomes possible after devising a block-coordinate descent algorithm for solving the non-convex optimization problem involved. The algorithm utilizes results from block-sparse vector recovery and is guaranteed to converge to a stationary point. Numerical tests on real data from the Midwest ISO (MISO) market corroborate the prediction accuracy, computational efficiency, and the interpretative merits of the developed approach over existing alternatives.

Original languageEnglish (US)
Article number2336611
Pages (from-to)1182-1193
Number of pages12
JournalIEEE Journal on Selected Topics in Signal Processing
Volume8
Issue number6
DOIs
StatePublished - Dec 1 2014

Keywords

  • Block-coordinate descent
  • day-ahead energy prices
  • graph Laplacian
  • kernel-based learning
  • learning
  • low-rank matrix
  • multi-kernel learning
  • nuclear norm regularization

Fingerprint Dive into the research topics of 'Electricity market forecasting via low-rank multi-kernel learning'. Together they form a unique fingerprint.

Cite this