Very-short-term probabilistic wind power forecasts by sparse vector autoregression

A spatio-temporal method for producing very-short-term parametric probabilistic wind power forecasts at a large number of locations is presented. Smart grids containing tens, or hundreds, of wind generators require skilled very-short-term forecasts to operate effectively, and spatial information is highly desirable. In addition, probabilistic forecasts are widely regarded as necessary for optimal power system management as they quantify the uncertainty associated with point forecasts. Here we work within a parametric framework based on the logit-normal distribution and forecast its parameters. The location parameter for multiple wind farms is modelled as a vector-valued spatio-temporal process, and the scale parameter is tracked by modified exponential smoothing. A state-of-the-art technique for fitting sparse vector autoregressive models is employed to model the location parameter and demonstrates numerical advantages over conventional vector autoregressive models. The proposed method is tested on a dataset of 5 minute mean wind power generation at 22 wind farms in Australia. 5-minute-ahead forecasts are produced and evaluated in terms of point and probabilistic forecast skill scores and calibration. Conventional autoregressive and vector autoregressive models serve as benchmarks

Forecasting Uncertainty in Electricity Demand

Generalized Additive Models (GAM) are a widely popular class of regression models to forecast electricity demand, due to their high accuracy, flexibility and interpretability. However, the residuals of the fitted GAM are typically heteroscedastic and leptokurtic caused by the nature of energy data. In this paper we propose a novel approach to estimate the time-varying conditional variance of the GAM residuals, which we call the GAM^2 algorithm. It allows utility companies and network operators to assess the uncertainty of future electricity demand and incorporate it into their planning processes. The basic idea of our algorithm is to apply another GAM to the squared residuals to explain the dependence of uncertainty on exogenous variables. Empirical evidence shows that the residuals rescaled by the estimated conditional variance are approximately normal. We combine our modeling approach with online learning algorithms that adjust for dynamic changes in the distributions of demand. We illustrate our method by a case study on data from RTE, the operator of the French transmission grid

Large-scale Probabilistic Forecasting in Energy Systems using Sparse Gaussian Conditional Random Fields

Short-term forecasting is a ubiquitous practice in a wide range of energy systems, including forecasting demand, renewable generation, and electricity pricing. Although it is known that probabilistic forecasts (which give a distribution over possible future outcomes) can improve planning and control, many forecasting systems in practice are just used as “point forecast” tools, as it is challenging to represent high-dimensional non-Gaussian distributions over multiple spatial and temporal points. In this paper, we apply a recently-proposed algorithm for modeling high-dimensional conditional Gaussian distributions to forecasting wind power and extend it to the non-Gaussian case using the copula transform. On a wind power forecasting task, we show that this probabilistic model greatly outperforms other methods on the task of accurately modeling potential distributions of power (as would be necessary in a stochastic dispatch problem, for example).</p

Pervasive Data Analytics for Sustainable Energy Systems

With an ever growing population, global energy demand is predicted to keep increasing. Furthermore, the integration of renewable energy sources into the electricity grid (to reduce carbon emission and humanity's dependency on fossil fuels), complicates efforts to balance supply and demand, since their generation is intermittent and unpredictable. Traditionally, it has always been the supply side that has adapted to follow energy demand, however, in order to have a sustainable energy system for the future, the demand side will have to be better managed to match the available energy supply. In the first part of this thesis, we focus on understanding customers' energy consumption behavior (demand analytics). While previously, information about customer's energy consumption could be obtained only with coarse granularity (e.g., monthly or bimonthly), nowadays, using advanced metering infrastructure (or smart meters), utility companies are able to retrieve it in near real-time. By leveraging smart meter data, we then develop a versatile customer segmentation framework, track cluster changes over time, and identify key characteristics that define a cluster. Additionally, although household-level consumption is hard to predict, it can be used to improve aggregate-level forecasting by first segmenting the households into several clusters, forecasting the energy consumption of each cluster, and then aggregating those forecasts. The improvements provided by this strategy depend not only on the number of clusters, but also on the size of the customer base. Furthermore, we develop an approach to model the uncertainty of future demand. In contrast to previous work that used computationally expensive methods, such as simulation, bootstrapping, or ensemble, we construct prediction intervals directly using the time-varying conditional mean and variance of future demand. While analytics on customer energy data are indeed essential to understanding customer behavior, they could also lead to breaches of privacy, with all the attendant risks. The first part of this thesis closes by exploring symbolic representations of smart meter data which still allow learning algorithms to be performed on top of them, thus providing a trade-off between accurate analytics and the protection of customer privacy. In the second part of this thesis, we focus on mechanisms for incentivizing changes in customers' energy usage in order to maintain (electricity) grid stability, i.e., Demand Response (DR). We complement previous work in this area (which typically targeted large, industrial customers) by studying the application of DR to residential customers. We first study the influence of DR baselines, i.e., estimates of what customers would have consumed in the absence of a DR event. While the literature to date has focused on baseline accuracy and bias, we go beyond these concepts by explaining how a baseline affects customer participation in a DR event, and how it affects both the customer and company profit. We then discuss a strategy for matching the demand side with the supply side by using a multiunit auction performed by intelligent agents on behalf of customers. The thesis closes by eliciting behavioral incentives from the crowd of customers for promoting and maintaining customer engagement in DR programs