A Predictive Prescription Framework for Stochastic Unit Commitment Using Boosting Ensemble Learning Algorithms
To take unit commitment (UC) decisions under uncertain load, most existing stochastic optimization (SO) frameworks adopt a generic representation of uncertainty. While load levels that materialize on a particular day are influenced by various covariates (such as the day of the week or temperature), SO frameworks typically disregard such side observations, wasting actionable information that could significantly enhance decision quality. Here, this article proposes a contextual SO (CSO) framework for UC under uncertain load, which can effectively exploit covariate observations in conjunction with a class of machine learning (ML) algorithms to improve the out-of-sample performance of UC decisions. It shows how three ML algorithms, adaptive boosting, gradient boosted trees, and extreme gradient boosting, can be used to this end, constituting the first application of these algorithms in any CSO framework. Using real-world data harvested from the New York ISO grid, we measure the out-of-sample performance of the framework in terms of total operation cost, shed load values, locational marginal prices, and total payments by the loads, against several benchmark methods proposed in the literature. The article has an online companion (Yurdakul et al.), wherein we present additional results and lay out further mathematical formulations used in this work.