Wind Power Probabilistic Forecast in the Reproducing Kernel Hilbert Space

Abstract

Wind power probabilistic forecast is a key input in decision-making problems under risk, such as stochastic unit commitment, operating reserve setting and electricity market bidding. While the majority of the probabilistic forecasting methods are based on quantile regression, the associated limitations call for new approaches. This paper described a new quantile regression model based on the Reproducing Kernel Hilbert Space (RKHS) framework. In particular, two versions of the model, off-line and on-line, were implemented and tested for a real wind farm. Results showed the superiority of the on-line approach in terms of performance, robustness and computational cost. Additionally, it was observed that, in the presence of correlated data, the optimal on-line learning may cause unreliable modelling. Potential solutions to this effect are also described and implemented in the paper.