Predicting and Publishing Accurate Imbalance Prices Using Monte Carlo Tree Search

TL;DR

This paper introduces a Monte Carlo Tree Search approach to accurately predict and publish imbalance prices in power grids, accounting for participant responses and system dynamics, thus improving price accuracy significantly.

Contribution

The paper presents a novel Monte Carlo Tree Search method that models system responses and improves imbalance price predictions over existing methods.

Findings

Price prediction accuracy improved by 20.4% under ideal conditions.

Prediction accuracy increased by 12.8% in realistic scenarios.

The approach addresses a previously unexplored problem in imbalance price publishing.

Abstract

The growing reliance on renewable energy sources, particularly solar and wind, has introduced challenges due to their uncontrollable production. This complicates maintaining the electrical grid balance, prompting some transmission system operators in Western Europe to implement imbalance tariffs that penalize unsustainable power deviations. These tariffs create an implicit demand response framework to mitigate grid instability. Yet, several challenges limit active participation. In Belgium, for example, imbalance prices are only calculated at the end of each 15-minute settlement period, creating high risk due to price uncertainty. This risk is further amplified by the inherent volatility of imbalance prices, discouraging participation. Although transmission system operators provide minute-based price predictions, the system imbalance volatility makes accurate price predictions challenging to obtain and requires sophisticated techniques. Moreover, publishing price estimates can prompt participants to adjust their schedules, potentially affecting the system balance and the final price, adding further complexity. To address these challenges, we propose a Monte Carlo Tree Search method that publishes accurate imbalance prices while accounting for potential response actions. Our approach models the system dynamics using a neural network forecaster and a cluster of virtual batteries controlled by reinforcement learning agents. Compared to Belgium's current publication method, our technique improves price accuracy by 20.4% under ideal conditions and by 12.8% in more realistic scenarios. This research addresses an unexplored, yet crucial problem, positioning this paper as a pioneering work in analyzing the potential of more advanced imbalance price publishing techniques.