A Hybrid Strategy for Probabilistic Forecasting and Trading of Aggregated Wind-Solar Power: Design and Analysis in HEFTCom2024

TL;DR

This paper introduces a hybrid probabilistic forecasting and trading strategy for wind-solar energy systems, demonstrating high accuracy and revenue in the HEFTCom2024 competition through innovative ensemble, post-processing, and stochastic methods.

Contribution

It presents a novel hybrid approach combining ensemble forecasting, online post-processing, and probabilistic aggregation, along with a stochastic trading strategy, to improve energy forecast accuracy and trading revenue.

Findings

Achieved top rankings in HEFTCom2024 competition.

Demonstrated effective probabilistic forecasts for hybrid wind-solar systems.

Validated methods through detailed case studies.

Abstract

Obtaining accurate probabilistic energy forecasts and making effective decisions amid diverse uncertainties are routine challenges in future energy systems. This paper presents the winning solution of team GEB, which ranked 3rd in trading, 4th in forecasting, and 1st among student teams in the IEEE Hybrid Energy Forecasting and Trading Competition 2024 (HEFTCom2024). The solution provides accurate probabilistic forecasts for a wind-solar hybrid system, and achieves substantial trading revenue in the day-ahead electricity market. Key components include: (1) a stacking-based approach combining sister forecasts from various Numerical Weather Predictions (NWPs) to provide wind power forecasts, (2) an online solar post-processing model to address the distribution shift in the online test set caused by increased solar capacity, (3) a probabilistic aggregation method for accurate quantile forecasts of hybrid generation, and (4) a stochastic trading strategy to maximize expected trading revenue considering uncertainties in electricity prices. This paper also explores the potential of end-to-end learning to further enhance the trading revenue by shifting the distribution of forecast errors. Detailed case studies are provided to validate the effectiveness of these proposed methods. Code for all mentioned methods is available for reproduction and further research in both industry and academia.