Stochastic search for a parametric cost function approximation: energy storage with rolling forecasts

DOI10.1016/J.EJOR.2023.08.003MaRDI QIDQ6090164zbMATH OpenFDO

Authors Saeed Ghadimi, Warren Powell

Publication date 14 November 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.07317

zbMATH Keywords

stochastic programmingenergy storagesimulation optimizationparametric cost function approximationrolling forecast

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Abstract: Rolling forecasts have been almost overlooked in the renewable energy storage literature. In this paper, we provide a new approach for handling uncertainty not just in the accuracy of a forecast, but in the evolution of forecasts over time. Our approach shifts the focus from modeling the uncertainty in a lookahead model to accurate simulations in a stochastic base model. We develop a robust policy for making energy storage decisions by creating a parametrically modified lookahead model, where the parameters are tuned in the stochastic base model. Since computing unbiased stochastic gradients with respect to the parameters require restrictive assumptions, we propose a simulation-based stochastic approximation algorithm based on numerical derivatives to optimize these parameters. While numerical derivatives, calculated based on the noisy function evaluations, provide biased gradient estimates, an online variance reduction technique built in the framework of our proposed algorithm, will enable us to control the accumulated bias errors and establish the finite-time rate of convergence of the algorithm. Our numerical experiments show the performance of this algorithm in finding policies outperforming the deterministic benchmark policy.

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Cited in

(1)

• Zeroth-order Riemannian averaging stochastic approximation algorithms

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