DER Day-Ahead Offering: A Neural Network Column-and-Constraint Generation Approach

In the day-ahead energy market, the offering strategy of distributed energy resource (DER) aggregators must be submitted before the uncertainty realization in the form of price-quantity pairs. This work addresses the day-ahead offering problem through a two-stage adaptive robust stochastic optimization model, wherein the first-stage price-quantity pairs and second-stage operational commitment decisions are made before and after DER uncertainty is realized, respectively. Uncertainty in day-ahead price is addressed using a stochastic programming-based approach, while uncertainty of DER generation is handled through robust optimization. To address the max-min structure of the second-stage problem, a neural network-accelerated column-and-constraint generation method is developed. A dedicated neural network is trained to approximate the value function, while optimality is maintained by the design of the network architecture. Numerical studies indicate that the proposed method yields high-quality solutions and is up to 100 times faster than Gurobi and 33 times faster than classical column-and-constraint generation on the same 1028-node synthetic distribution network.