Calibrated uncertainty quantification for prosumer flexibility aggregation in ancillary service markets

arXiv:2601.14663 · eess.SY, cs.AI, cs.SY · Submitted 2026-01-21 · Read on arXiv

eess.SY, cs.AI, cs.SY

Submitted: 2026-01-21

Updated: 2026-01-21

Comments: Single column 31 pages, 10 figures, 3 tables, submitted for review to Applied Energy

Journal ref: Appl. Energy 427 (2026) 129059

DOI: 10.1016/j.apenergy.2026.129059

License: http://creativecommons.org/licenses/by/4.0/

The gist: Reliable forecasting of prosumer flexibility is critical for demand response aggregators participating in frequency controlled ancillary services market, where strict reliability requirements such as

Terminology

Abstract

Reliable forecasting of prosumer flexibility is critical for demand response aggregators participating in frequency controlled ancillary services market, where strict reliability requirements such as the P90 standard are enforced. Limited historical data, dependence on exogeneous factors, and heterogenous prosumer behaviour introduce significant epistemic uncertainty, making deterministic or poorly calibrated probabilistic models unsuitable for market bidding. This paper proposes the use of scalable uncertainty quantification framework that integrates Monte Carlo dropout (MCD) with conformal prediction (CP) to produce calibrated, finite sample prediction intervals for aggregated prosumer flexibility. The proposed framework is applied to a behind-the-meter aggregator participating in the Danish manual frequency restoration reserve capacity market. A large-scale synthetic dataset is generated using a modified industry-grade home energy management system, combined with publicly available load, solar, price, activation and device-level data. The resulting machine learning surrogate model captures aggregate prosumer price responsiveness and provides uncertainty-aware estimates suitable for market bidding. Multiple multivariate CP strategies are evaluated and benchmarked against conventional MCD-based methods. Results show that standalone MCD systematically overestimates available flexibility and violates P90 compliance, whereas the proposed MCD-CP framework achieves reliable coverage with controlled conservatism. When embedded in aggregator bidding model, conformalised methods substantially reduce overbidding risk and achieve upto 70% of perfect-information profit while satisfying regulatory reliability constraints, providing practical, computationally efficient, and market-compliant solution for aggregator flexibility forecasting under uncertainty.

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