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25_07_phd_defense/index.qmd
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25_07_phd_defense/index.qmd
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---
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title: "Data Science Methods for Forecasting in Energy and Economics"
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date: 2025-07-10
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author:
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- name: Jonathan Berrisch
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affiliations:
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- ref: hemf
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affiliations:
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- id: hemf
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name: University of Duisburg-Essen, House of Energy Markets and Finance
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format:
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revealjs:
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embed-resources: true
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footer: ""
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logo: logos_combined.png
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theme: [default, clean.scss]
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smaller: true
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fig-format: svg
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execute:
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daemon: false
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highlight-style: github
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---
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## Outline
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::: {.hidden}
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$$
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\newcommand{\A}{{\mathbb A}}
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$$
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:::
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<br>
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::: {style="font-size: 150%;"}
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[{{< fa bars-staggered >}}]{style="color: #404040;"}   Introduction & Research Motivation
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[{{< fa bars-staggered >}}]{style="color: #404040;"}   Overview of the Thesis
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[{{< fa table >}}]{style="color: #404040;"}   Online Learning
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[{{< fa circle-nodes >}}]{style="color: #404040;"}   Probabilistic Forecasting of European Carbon and Energy Prices
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[{{< fa lightbulb >}}]{style="color: #404040;"}   Limitations
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[{{< fa binoculars >}}]{style="color: #404040;"}   Contributions & Outlook
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:::
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## EfeMOD
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**Empirisch fundierte Elektrizitätsmarkt-Modellierung mit Open Data**
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:::: {.columns}
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::: {.column width="65%"}
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[{{< fa users-gear >}}]{style="color: #404040;"} **Project Entities:**
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Chair of Prof. Dr. Christoph Weber (Management Sciences and Energy Economics)
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Chair of Prof. Dr. Florian Ziel (Data Science in Energy and Environment)
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[{{< fa bullseye >}}]{style="color: #404040;"}   **Project Goal:**
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Use publicly available data (particularly ENTSO-E Transparency Platform) to estimate parameters for energy system and energy market models.
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:::
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::: {.column width="5%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="30%"}
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:::
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::::
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## EfeMOD
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## Motivation and Objective
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**Identification of Power Plant Operation States Using Clustering**
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[{{< fa earth-europe >}}]{style="color: #404040;"} Gain Knowledge about the Power Plant Characteristics
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- Operation Points,
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- Efficiency
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- Capacity, etc.
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[{{< fa display >}}]{style="color: #404040;"} This Presentation:
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Identify Operation States:
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- Stable Operation
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- Startup
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- Minimum-Stable Operation, etc.
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Provide these characteristics to other researchers
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[{{< fa right-long >}}]{style="color: #404040;"} e.g. to estimate efficiency
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## Data
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[{{< fa database >}}]{style="color:#404040;"} Entsoe Data:
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- ActualGenerationOutputPerGenerationUnit_16.1.A
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- UnavailabilityOfGenerationUnits_15.1.A_B
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[{{< fa fire-flame-simple >}}]{style="color:rgb(0, 200, 255);"} We focus on natural gas units:
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- 63 units in `DE_LU` bidding zone
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- 299 units across all bidding zones
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[{{< fa calendar-days >}}]{style="color:#404040;"} We use recent data:
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- 2020-01-01 until "now"
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## Data
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## Data
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## Data
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::: {.panel-tabset}
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## Lausward
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:::: {.columns}
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::: {.column width="42%"}
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**Heizkraftwerk Lausward **
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Location: Düsseldorf
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Block Anton (*Block AGuD*)
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Combined cycle gas turbine (CCGT)
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Electrical output: 103 MW [{{< fa bolt >}}]{style="color: #ffc400;"}
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75 MW of district heating can be decoupled
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Efficiency: 54%
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Fuel Utilization Rate: 87% (with district heating)
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:::
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::: {.column width="3%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="55%"}
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:::
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::::
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## Emsland
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:::: {.columns}
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::: {.column width="42%"}
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**Erdgaskraftwerk Emsland**
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Location: Lingen (Ems)
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*Block C*
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Combined cycle gas turbine (CCGT)
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Electrical output: 475 MW [{{< fa bolt >}}]{style="color: #ffc400;"}
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Efficiency: 46%
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Black start enabled.
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:::
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::: {.column width="3%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="55%"}
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:::
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::::
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:::
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## Empirical Approach
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:::: {.columns}
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::: {.column width="42%"}
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### Overview
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Empirical identification of states
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3-Step Approach:
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- Prior Partitioning
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- We create preliminary clusters
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- They will be used to initialize the main clustering
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- Main Clustering
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- Gaussian Model Based Clustering
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- Label Assignment
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- We assign meaningful labels to the final clusters
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:::
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::: {.column width="3%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="55%"}
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:::
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::::
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:::
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## Empirical Approach
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:::: {.columns}
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::: {.column width="42%"}
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### Prior Partitioning
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[{{< fa arrow-up-right-dots >}}]{style="color: #202020FF;"} Divide the space in meaningful partitions:
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Define the Capacity: $\zeta = max(t0)$
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Define a threshold: $\gamma = \frac{\zeta}{50}$
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[{{< fa circle >}}]{style="color: #2D7D32FF;"} $\pm \gamma$ around the diagonal: Stable <br>
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[{{< fa circle >}}]{style="color: #202020FF;"} $t0 < 1$ & $t1 < 1$: Zero <br>
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[{{< fa circle >}}]{style="color: #FA8C00FF;"} $t0 < \gamma$ & $t1 > 1$: Startup <br>
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[{{< fa circle >}}]{style="color: #D81A5FFF;"} $t0 > 1$ & $t1 < \gamma$: Shutdown <br>
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[{{< fa circle >}}]{style="color: #FDD834FF;"} $t1 > t0$: Ramp-Up <br>
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[{{< fa circle >}}]{style="color: #8D24AAFF;"} $t1 < t0$: Ramp-Down
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We project <b style="color: #2D7D32FF;">Stable</b> observations onto the diagonal, <font style = "opacity: 0.4;"> <b style="color: #FA8C00FF;">Startup</b> on $t1$ and <b style="color: #D81A5FFF;">Shutdown</b> on $t0$ for the next step. </font>
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:::
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::: {.column width="3%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="55%"}
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:::
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::::
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:::
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## Empirical Approach
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:::: {.columns}
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::: {.column width="42%"}
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### Prior Partitioning
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Model-Based Clustering of the Regions using `mclust::Mclust` in `R`.
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- <b style="color: #2D7D32FF;">Stable</b>: 2-5 Clusters
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- <b style="color: #FDD834FF;">Ramp Up</b>: 2-4 Clusters
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- <b style="color: #8D24AAFF;">Ramp Down</b>: 2-4 Clusters
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[{{< fa lightbulb >}}]{style="color:rgb(255, 166, 0);"} Obtain finite mixture distribution:
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$$\sum_{k=1}^{G}{\pi_k f_k (\mathbf{x}; \mathbf{\theta}_k)}$$
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$f_k$ Density of k's component<br>
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$\pi_k$ Mixture weights<br>
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$\theta_k$ parameters of k's density component
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:::
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::: {.column width="3%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="55%"}
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:::
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::::
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## Empirical Approach
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### Prior Partitioning
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:::: {.columns}
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::: {.column width="49%"}
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$$f(\mathbf{x}; \mathbf{\Psi}) = \sum_{k=1}^{G}{\pi_k \phi (\mathbf{x}; \mathbf{\mu}_k; \mathbf{\Sigma}_k)}$$
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$\phi(\cdot)$ Multivariate Gaussian density<br>
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Maximum Likelihood Estimation via Expectation Maximization (EM) algorithm
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Likelihood for Gaussian Mixture Models (GMMs):
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\begin{align}
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\ell(\Psi) = \sum_{i=1}^n \log \left\{ \sum_{k=1}^G \pi_k \phi(x_i; \mu_k, \Sigma_k) \right\}
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\end{align}
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[{{< fa retweet >}}]{style="color: #404040;"} We Re-Formulate this likelihood to a complete-data likelihood to utilize the EM algorithm
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:::
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::: {.column width="2%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="49%"}
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\begin{align}
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\ell_{\mathcal{C}}(\Psi) = \sum_{i=1}^n \sum_{k=1}^G z_{ik} \left\{ \log \pi_k + \log \phi(x_i; \mu_k, \Sigma_k) \right\}
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\end{align}
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\begin{align}
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z_{ik} =
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\begin{cases}
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1 & \text{if } x_i \text{ belongs to component }k \\
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0 & \text{otherwise.}
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\end{cases}
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\end{align}
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E-Step:
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\begin{align}
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\hat{z}_{ik} = \frac{\hat{\pi}_k \phi(x_i; \hat{\mu}_k, \hat{\Sigma}_k)}{\sum_{g=1}^{G} \hat{\pi}_g \phi(x_i; \hat{\mu}_g, \hat{\Sigma}_g)},
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\end{align}
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M-Step:
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\begin{align}
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\quad \hat{\mu}_k = \frac{\sum_{i=1}^{n} \hat{z}_{ik} x_i}{n_k}, \quad \text{where} \quad n_k = \sum_{i=1}^{n} \hat{z}_{ik}.
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\end{align}
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:::
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::::
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::: {.notes}
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- log-likelihood in (2.2) is hard to maximize directly
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- even numerically
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- As a consequence, mixture models are usually fitted by reformulating the mixture
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problem as an incomplete-data problem within the EM framework.
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General EM Steps:
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- Init
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- Estimate latent component memberships
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- M-Step obtain the updated parameter estimates
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- Check convergence criteria
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:::
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## Empirical Approach
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:::: {.columns}
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::: {.column width="42%"}
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### Prior Partitioning
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**Initialization**
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We initialize the EM algorithm (E-Step) using the partitions
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obtained from model-based agglomerative hierarchical clustering (MBAHC)
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**Estimation**
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The Bayesian information criterion (BIC) is used for model selection
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**Prior Partitioning Results**
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Right graph shows prior clusters.
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:::
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::: {.column width="3%"}
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<!-- empty column to create gap -->
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:::
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::: {.column width="55%"}
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::: {.panel-tabset}
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## Lausward
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## Emsland
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:::
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:::
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::::
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::: {.notes}
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||||
|
||||
recursively merging the two clusters that yield the maximum
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||||
likelihood of a probability model over all possible merges
|
||||
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:::
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||||
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||||
## Empirical Approach
|
||||
|
||||
:::: {.columns}
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::: {.column width="42%"}
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### Main Clustering
|
||||
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**MBAHC**
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||||
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Prior Clusters are used in MBAHC
|
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|
||||
The results of the MBAHC are used to initialize the EM Algorithm in the main Gaussian Model Based Clustering
|
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|
||||
**Main Clustering Results**
|
||||
|
||||
Right graph shows *Maximum A Posteriori (MAP) Classification*
|
||||
|
||||
Colour indicates cumulated log(density) of all components.
|
||||
|
||||
:::
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||||
|
||||
::: {.column width="3%"}
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||||
<!-- empty column to create gap -->
|
||||
:::
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||||
|
||||
::: {.column width="55%"}
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||||
|
||||
::: {.panel-tabset}
|
||||
|
||||
## Lausward
|
||||
|
||||
|
||||
|
||||
## Emsland
|
||||
|
||||
|
||||
|
||||
:::
|
||||
|
||||
:::
|
||||
|
||||
::::
|
||||
|
||||
::: {.notes}
|
||||
|
||||
recursively merging the two clusters that yield the maximum
|
||||
likelihood of a probability model over all possible merges
|
||||
|
||||
:::
|
||||
|
||||
|
||||
|
||||
## Empirical Approach
|
||||
|
||||
### Label Assignment
|
||||
|
||||
:::: {.columns}
|
||||
|
||||
::: {.column width="48%"}
|
||||
|
||||
We assign labels to the clusters using their mean $\mu$ and correlation $\rho$
|
||||
|
||||
Multiple clusters may describe one Generation State (e.g., along the diagonal)
|
||||
|
||||
:::
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||||
::: {.column width="4%"}
|
||||
<!-- empty column to create gap -->
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||||
:::
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||||
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||||
::: {.column width="48%"}
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||||
|
||||
```{r}
|
||||
library(dplyr)
|
||||
load("figures/Block AGuD/clusters.RDS")
|
||||
clusters %>%
|
||||
select(classification, mu_t0, mu_t1, cor) %>%
|
||||
head()
|
||||
```
|
||||
|
||||
:::
|
||||
|
||||
::::
|
||||
|
||||
\begin{align}
|
||||
\text{State} =
|
||||
\begin{cases}
|
||||
\color{#202020FF}{\text{Zero}} & (\mu_{t0} < 1) \land (\mu_{t1} < 1), \\
|
||||
\text{MSO} & \left[ (\mu_{t0} > \zeta/10) \land (\mu_{t1} > \zeta / 10) \land (\right| \mu_{t0} - \mu_{t1} \left| > \zeta / 10) \right]\\ & \rightarrow \operatorname{argmin}(\mu_{t0} + \mu_{t1}), \\
|
||||
\text{Max Capacity} & \rightarrow \operatorname{argmax}(\mu_{t0} + \mu_{t1}), \\
|
||||
\text{Startup} & (\mu_{t1} \geq \zeta / 10) \land (\mu_{t0} < \gamma) \land (\rho < 0.3), \\
|
||||
\text{Shutdown} & (\mu_{t0} \geq \zeta / 10) \land (\mu_{t1} < \gamma) \land (\rho < 0.3), \\
|
||||
\text{Stable Operation} & \text{Remaining clusters with cor} > 0.8, \\
|
||||
\text{Ramp Up} & \text{Remaining clusters: } \mu_{t1} > \mu_{t0}, \\
|
||||
\text{Ramp Down} & \text{Remaining clusters: } \mu_{t1} < \mu_{t0}.
|
||||
\end{cases}
|
||||
\end{align}
|
||||
|
||||
::: {.notes}
|
||||
|
||||
recursively merging the two clusters that yield the maximum
|
||||
likelihood of a probability model over all possible merges
|
||||
|
||||
:::
|
||||
|
||||
## Empirical Approach
|
||||
|
||||
:::: {.columns}
|
||||
|
||||
::: {.column width="39%"}
|
||||
|
||||
### Label Assignment
|
||||
|
||||
Right graphs show *assigned states*
|
||||
|
||||
The points are coloured according to
|
||||
|
||||
- MAP
|
||||
- Probability (each pure colour reflects a probability of 1)
|
||||
|
||||
Some points below /above the diagonal are assigned to Ramp Up / Ramp Down
|
||||
|
||||
- Can be easily fixed for MAP
|
||||
- Fixing probabilistic predictions not that easy
|
||||
|
||||
:::
|
||||
|
||||
::: {.column width="2%"}
|
||||
<!-- empty column to create gap -->
|
||||
:::
|
||||
|
||||
::: {.column width="59%"}
|
||||
|
||||
::: {.panel-tabset}
|
||||
|
||||
## LSW
|
||||
|
||||
|
||||
|
||||
## LSW Pr
|
||||
|
||||
|
||||
|
||||
## LSW Pr
|
||||
|
||||
|
||||
|
||||
## EMS
|
||||
|
||||
|
||||
|
||||
## EMS Pr
|
||||
|
||||
|
||||
|
||||
## EMS Pr
|
||||
|
||||
|
||||
|
||||
:::
|
||||
|
||||
:::
|
||||
|
||||
::::
|
||||
|
||||
::: {.notes}
|
||||
|
||||
recursively merging the two clusters that yield the maximum
|
||||
likelihood of a probability model over all possible merges
|
||||
|
||||
:::
|
||||
|
||||
## Empirical Approach
|
||||
|
||||
:::: {.columns}
|
||||
|
||||
::: {.column width="42%"}
|
||||
|
||||
### Label Assignment
|
||||
|
||||
*Fixing assignments*
|
||||
|
||||
Relabeling Ramp Up and Ramp Down MAP predictions is trivial:
|
||||
|
||||
\begin{align}
|
||||
\text{State} =
|
||||
\begin{cases}
|
||||
\text{Ramp Up} & x_{t1} > x_{t0}, \\
|
||||
\text{Ramp Down} & x_{t1} < x_{t0}.
|
||||
\end{cases}
|
||||
\end{align}
|
||||
|
||||
Fixing the probability array is more involved:
|
||||
|
||||
Find observations $x_{t1} < x_{t0}$ that can not be "Ramp Up":
|
||||
|
||||
Set probability of all Ramp Up clusters to $0$.
|
||||
|
||||
Normalize the probabilities.
|
||||
|
||||
:::
|
||||
|
||||
::: {.column width="3%"}
|
||||
<!-- empty column to create gap -->
|
||||
:::
|
||||
|
||||
::: {.column width="55%"}
|
||||
|
||||
::: {.panel-tabset}
|
||||
|
||||
|
||||
## LSW Pr
|
||||
|
||||
|
||||
|
||||
## LSW Pr
|
||||
|
||||
|
||||
|
||||
## EMS Pr
|
||||
|
||||
|
||||
|
||||
## EMS Pr
|
||||
|
||||
|
||||
|
||||
:::
|
||||
|
||||
:::
|
||||
|
||||
::::
|
||||
|
||||
## Outlook
|
||||
|
||||
<br>
|
||||
<br>
|
||||
|
||||
- The approach works in general
|
||||
- Conceptually simple
|
||||
- Label assignment needs some more work
|
||||
- Probabilistic statements may need adjustments for Ramp-Up Ramp-Down predictions
|
||||
- Some kind of validation would be desirable
|
||||
- Results will be used party on another research project in the EFEMOD project
|
||||
Reference in New Issue
Block a user