Trading strategy optimization for a prosumer in continuous double auction-based peer-to-peer market: A prediction-integration model

Abstract With increasing prosumers employed with flexible resources, advanced demand-side management has become of great importance. To this end, integrating demand-side flexible resources into electricity markets is a significant trend for smart energy systems. The continuous double auction (CDA) market is viewed as a promising P2P (peer to peer) market mechanism to enable interactions among demand side prosumers and consumers in distribution grids. To achieve optimal operations and maximize profits, prosumers in the electricity market must act as price makers to simultaneously optimize their operations and trading strategies. However, the CDA-based market is difficult to model explicitly because of its information-based clearing mechanism and the stochastic bidding behaviors of its participants. To facilitate prosumers actively participating in the CDA market, this paper proposes a novel prediction-integration strategy optimization (PISO) model. A surrogate market prediction model based on Extreme Learning Machine (ELM) is developed, which learns the interaction relationship between prosumer bidding actions and market responses from historical transaction data. Moreover, the prediction model can be conveniently transformed and integrated into the prosumer operation optimization model in the form of constraints. Therefore, prosumer operations and market trading strategies can be jointly optimized through the proposed approach, facilitating the integration of flexible resources into electricity markets. Numerical studies demonstrate the effectiveness of the proposed model by comparing with existing CDA trading strategies under various market conditions.