Scenario Reduction for Stochastic Day-Ahead Scheduling: A Mixed Autoencoder Based Time-Series Clustering Approach

Scenario based stochastic scheduling has drawn a tremendous amount of interests worldwide in tackling the uncertainty of renewable energy and accounting for risks. It is important to generate representative time-series scenarios of renewable energy, while keeping the dimensionality of the scenario set tractable. This article presents a mixed autoencoder based clustering approach to select a reduced scenario set from high-dimensional time series. In contrast to other techniques targeting on minimizing different probability distances, the proposed architecture accounts for the pattern recognition within a large set of scenarios. The effectiveness of the model is verified in the case studies, where the data sets from the Bonneville Power Administration and Elia are used. The numerical results show that the model outperforms the state of the art, in terms of statistical metrics and through empirical analysis.