In this section
@article{Wen:2026:10.1016/j.ejor.2025.12.011,
author = {Wen, H and Pinson, P},
doi = {10.1016/j.ejor.2025.12.011},
journal = {European Journal of Operational Research},
pages = {492--504},
title = {Value-oriented forecast reconciliation for renewables in electricity markets},
url = {http://dx.doi.org/10.1016/j.ejor.2025.12.011},
volume = {332},
year = {2026}
}
TY - JOUR
AB - Forecast reconciliation is considered an effective method to achieve coherence (within a forecast hierarchy) and to improve forecast quality. However, the value of reconciled forecasts in downstream decision-making tasks has been mostly overlooked. In a multi-agent setup with heterogeneous loss functions, this oversight may lead to unfair outcomes, hence resulting in conflicts during the reconciliation process. To address this, we propose a value-oriented forecast reconciliation approach that focuses on the forecast value for all individual agents. Fairness is ensured through the use of a Nash bargaining framework. Specifically, we model this problem as a cooperative bargaining game, where each agent aims to optimize their own gain while contributing to the overall reconciliation process. We then present a primal-dual algorithm for parameter estimation based on empirical risk minimization. From an application perspective, we consider an aggregated wind energy trading problem, where profits are distributed using a weighted allocation rule. We demonstrate the effectiveness of our approach through several numerical experiments, showing that it consistently results in increased profits for all agents involved.
AU - Wen,H
AU - Pinson,P
DO - 10.1016/j.ejor.2025.12.011
EP - 504
PY - 2026///
SN - 0377-2217
SP - 492
TI - Value-oriented forecast reconciliation for renewables in electricity markets
T2 - European Journal of Operational Research
UR - http://dx.doi.org/10.1016/j.ejor.2025.12.011
VL - 332
ER -