Rare-Event Risk-Based Bidding Strategy for Photovoltaic Systems in the Balancing Market

The increased deployment of photovoltaic (PV) technology has led to an increased demand for grid-balancing capacity owing to growing short-term variability and forecast uncertainty. Simultaneously, higher PV penetration can lead to daytime energy market oversupply, pushing day-ahead prices toward zero and undermining PV revenues. Against this backdrop, this study investigated a market participation paradigm in which PV power plants supply reserve power themselves while actively absorbing their own uncertainty, rather than merely relying on balancing the services provided by external resources. We propose a risk-aware framework that classifies solar irradiance prediction errors into four risk categories using GPV-GSM numerical weather forecast data, translating the inferred risk level into practical bidding rules for balancing market participation. We adopted a hierarchical classification pipeline consisting of sign determination (stage 1, under- vs. overprediction), followed by degree determination (Stages 2 and 3), implemented with a multi-layer perceptron. To enhance class separability and reduce features, we introduced a stage-wise area under the curve (AUC)-based feature selection and compared AUC-selected and all-features settings under identical training conditions. The proposed strategies substantially reduce shortage events compared with directly using the original predictions as bids, although they increase surplus energy. The AUC-based model achieves comparable imbalance evaluation results, indicating that the selected features are sufficient for practical bidding support.