Probabilistic simulation of electricity price scenarios using Conditional Generative Adversarial Networks

A novel approach for generative time series simulation of electricity price scenarios is presented. A “Time Series Simulation Conditional Generative Adversarial Network” (TSS-CGAN) generates short-term electricity price scenarios. In particular, the network is capable of generating a 24-dimensional output vector that corresponds to the expected behavior of electricity markets. The model can replace typical approaches from financial mathematics like statistical factor models to model the price distribution around a given forecast. The data cover a 3-year period from 2020 to 2023. Our empirical study is conducted on the EPEX SPOT market in Europe. An electricity price scenario includes the prices of the hourly contracts of a day-ahead auction at the EPEX SPOT power exchange. The model uses multivariate time series as input factors, consisting of point forecasts of electricity prices and fundamental data on generation and load profiles. The architecture of a TSS-CGAN is based on the idea of Conditional Generative Adversarial Networks combined with 1D Convolutional Neural Networks and Bidirectional Long Short-Term Memory. The model is evaluated using qualitative and quantitative criteria. For the evaluation, 10,000 simulations of a test period are carried out. Qualitative criteria are whether the model follows certain electricity market-specific regularities and depicts them adequately. The quantitative analysis includes common error metric, compared to benchmark models, like DeepAR, Prophet and Temporal Fusion Transformer, the examination of the quantile ranges, the error distribution and a sensitivity analysis. The results show that the TSS-CGAN outperforms benchmark models such as DeepAR by reducing the continuous ranked probability score by 50% and considers market-specific circumstances such as the production of fluctuating energies and reacts correctly to changes in the corresponding variables. • Multi-step time series modelling with generative neural networks. • Probabilistic simulation of day-ahead electricity price scenarios. • Generating probabilistic scenarios based on price forecast and fundamental data.