Machine learning methods for short-term bid forecasting in the renewable energy market: A case study in Italy

In liberalized markets, there usually exists a day-ahead session where energy is sold and acquired for the following production day. Owing to the high uncertainty of its production, renewable energy (wind in particular) can significantly influence the network imbalance of the following day. In this work, we consider the problem of predicting the sum of the bid volumes for wind energy of all the producers inside the day-ahead energy market. This is a valuable tool to be used by an energy provider in order to determine the imbalance of a market zone and, thus, properly size its bids. In particular, we focus on the estimation of the possible relationship between the meteorological forecasts and the wind power offered on the market by the companies for a market zone. We propose a machine learning model which is used to compute a 1-day-ahead forecast. The input-output mapping is obtained by support vector regression. The input feature vector is defined by a suitable feature extraction technique since the meteorological forecasts are given on a lattice of thousands of geographical points. The computational experiments are performed considering the Italian market as a case study (years 2012-2016). The results show that the proposed feature extraction technique, selecting only some geographical zones, manages to reduce the error attained using all the features. Moreover, classical statistical methods are shown to be outperformed by machine learning models. The analysis reveals also some weaknesses of the model, which may be due to other nonmeteorological factors at play.