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A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations

Author

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  • Pierre-Julien Trombe

    (DTU Informatics, Technical University of Denmark, Richard Petersens Plads 305, 2800 Kgs., Lyngby, Denmark)

  • Pierre Pinson

    (DTU Informatics, Technical University of Denmark, Richard Petersens Plads 305, 2800 Kgs., Lyngby, Denmark)

  • Henrik Madsen

    (DTU Informatics, Technical University of Denmark, Richard Petersens Plads 305, 2800 Kgs., Lyngby, Denmark)

Abstract

Accurate wind power forecasts highly contribute to the integration of wind power into power systems. The focus of the present study is on large-scale offshore wind farms and the complexity of generating accurate probabilistic forecasts of wind power fluctuations at time-scales of a few minutes. Such complexity is addressed from three perspectives: (i) the modeling of a nonlinear and non-stationary stochastic process; (ii) the practical implementation of the model we proposed; (iii) the gap between working on synthetic data and real world observations. At time-scales of a few minutes, offshore fluctuations are characterized by highly volatile dynamics which are difficult to capture and predict. Due to the lack of adequate on-site meteorological observations to relate these dynamics to meteorological phenomena, we propose a general model formulation based on a statistical approach and historical wind power measurements only. We introduce an advanced Markov Chain Monte Carlo (MCMC) estimation method to account for the different features observed in an empirical time series of wind power: autocorrelation, heteroscedasticity and regime-switching. The model we propose is an extension of Markov-Switching Autoregressive (MSAR) models with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors in each regime to cope with the heteroscedasticity. Then, we analyze the predictive power of our model on a one-step ahead exercise of time series sampled over 10 min intervals. Its performances are compared to state-of-the-art models and highlight the interest of including a GARCH specification for density forecasts.

Suggested Citation

  • Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
    • Handle: RePEc:gam:jeners:v:5:y:2012:i:3:p:621-657:d:16524
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    References listed on IDEAS

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    Cited by:

    1. Zhang, Yao & Wang, Jianxue & Wang, Xifan, 2014. "Review on probabilistic forecasting of wind power generation," Renewable and Sustainable Energy Reviews, Elsevier, vol. 32(C), pages 255-270.
    2. Shen, Zhiwei & Ritter, Matthias, 2016. "Forecasting volatility of wind power production," Applied Energy, Elsevier, vol. 176(C), pages 295-308.
    3. Gong, Zhipeng & Wan, Anping & Ji, Yunsong & AL-Bukhaiti, Khalil & Yao, Zhehe, 2024. "Improving short-term offshore wind speed forecast accuracy using a VMD-PE-FCGRU hybrid model," Energy, Elsevier, vol. 295(C).
    4. Luigi Spezia & Andy Vinten & Roberta Paroli & Marc Stutter, 2021. "An evolutionary Monte Carlo method for the analysis of turbidity high‐frequency time series through Markov switching autoregressive models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
    5. Higgins, P. & Foley, A.M. & Douglas, R. & Li, K., 2014. "Impact of offshore wind power forecast error in a carbon constraint electricity market," Energy, Elsevier, vol. 76(C), pages 187-197.
    6. Lijun Zhang & Kai Liu & Jian Liu, 2018. "Multidiscipline Integrated Platform Based on Probabilistic Analysis for Manufacturing Engineering Processes," Future Internet, MDPI, vol. 10(8), pages 1-10, July.
    7. Mathieu Pichault & Claire Vincent & Grant Skidmore & Jason Monty, 2021. "Short-Term Wind Power Forecasting at the Wind Farm Scale Using Long-Range Doppler LiDAR," Energies, MDPI, vol. 14(9), pages 1-21, May.
    8. Rasmussen, Lisa Buth & Bacher, Peder & Madsen, Henrik & Nielsen, Henrik Aalborg & Heerup, Christian & Green, Torben, 2016. "Load forecasting of supermarket refrigeration," Applied Energy, Elsevier, vol. 163(C), pages 32-40.
    9. Zhiwei Li & Tianran Jin & Shuqiang Zhao & Jinshan Liu, 2018. "Power System Day-Ahead Unit Commitment Based on Chance-Constrained Dependent Chance Goal Programming," Energies, MDPI, vol. 11(7), pages 1-20, July.
    10. repec:hum:wpaper:sfb649dp2015-026 is not listed on IDEAS
    11. Ilias G. Marneris & Pandelis N. Biskas & Anastasios G. Bakirtzis, 2017. "Stochastic and Deterministic Unit Commitment Considering Uncertainty and Variability Reserves for High Renewable Integration," Energies, MDPI, vol. 10(1), pages 1-25, January.

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