Scenario reduction is an important topic in stochastic programming problems. Due to the random behavior of load and renewable energy, stochastic programming becomes a useful technique to optimize power systems. Thus, scenario reduction gets more attentions in recent years. Many scenario reduction methods have been proposed to reduce the scenario set in a fast speed. However, the speed of scenario reduction is still very slow, in which it takes at least several seconds to several minutes to finish the reduction. This limitation of speed prevents stochastic programming to be implemented in real-time optimal control problems. In this paper, a fast scenario reduction method based on deep learning is proposed to solve this problem. Inspired by the deep learning based image process, recognition and generation methods, the scenario data are transformed into a 2D image-like data and then to be fed into a deep convolutional neural network (DCNN). The output of the DCNN will be an image of the reduced scenario set. Since images can be processed in a very high speed by neural networks, the scenario reduction by neural network can also be very fast. The results of the simulation show that the scenario reduction with the proposed DCNN method can be completed in very high speed.
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