Interpretable Probabilistic Forecasting of Imbalances in Renewable-Dominated Electricity Systems

High penetration of renewable energy such as wind power and photovoltaic (PV) requires large amounts of flexibility to balance their inherent variability. Making an accurate prediction of the future power system imbalance is an efficient approach to reduce these balancing costs. However, the imbalance is affected not only by renewables but also by complex market dynamics and technology constraints, for which the dependence structure is unknown. Therefore, this paper introduces a new architecture of sequence-to-sequence recurrent neural networks to efficiently process time-based information in an interpretable fashion. To that end, the selection of relevant variables is internalized into the model, which provides insights on the relative importance of individual inputs, while bypassing the cumbersome need for data preprocessing. Then, the model is further enriched with an attention mechanism that is tailored to focus on the relevant contextual information, which is useful to better understand the underlying dynamics such as seasonal patterns. Outcomes show that adding modules to generate explainable forecasts makes the model more efficient and robust, thus leading to enhanced performance.