Wind Energy Forecasting: A Collaboration of the National Center for Atmospheric Research (NCAR) and Xcel Energy

The focus of this report is the wind forecasting system developed during this contract period with results of performance through the end of 2010. The report is intentionally high-level, with technical details disseminated at various conferences and academic papers. At the end of 2010, Xcel Energy managed the output of 3372 megawatts of installed wind energy. The wind plants span three operating companies1, serving customers in eight states2, and three market structures3. The great majority of the wind energy is contracted through power purchase agreements (PPAs). The remainder is utility owned, Qualifying Facilities (QF), distributed resources (i.e., 'behind the meter'), or merchant entities within Xcel Energy's Balancing Authority footprints. Regardless of the contractual or ownership arrangements, the output of the wind energy is balanced by Xcel Energy's generation resources that include fossil, nuclear, and hydro based facilities that are owned or contracted via PPAs. These facilities are committed and dispatched or bid into day-ahead and real-time markets by Xcel Energy's Commercial Operations department. Wind energy complicates the short and long-term planning goals of least-cost, reliable operations. Due to the uncertainty of wind energy production, inherent suboptimal commitment and dispatch associated with imperfect wind forecasts drives up costs. For example, a gas combined cycle unit may be turned on, or committed, in anticipation of low winds. The reality is winds stayed high, forcing this unit and others to run, or be dispatched, to sub-optimal loading positions. In addition, commitment decisions are frequently irreversible due to minimum up and down time constraints. That is, a dispatcher lives with inefficient decisions made in prior periods. In general, uncertainty contributes to conservative operations - committing more units and keeping them on longer than may have been necessary for purposes of maintaining reliability. The downside is costs are higher. In organized electricity markets, units that are committed for reliability reasons are paid their offer price even when prevailing market prices are lower. Often, these uplift charges are allocated to market participants that caused the inefficient dispatch in the first place. Thus, wind energy facilities are burdened with their share of costs proportional to their forecast errors. For Xcel Energy, wind energy uncertainty costs manifest depending on specific market structures. In the Public Service of Colorado (PSCo), inefficient commitment and dispatch caused by wind uncertainty increases fuel costs. Wind resources participating in the Midwest Independent System Operator (MISO) footprint make substantial payments in the real-time markets to true-up their day-ahead positions and are additionally burdened with deviation charges called a Revenue Sufficiency Guarantee (RSG) to cover out of market costs associated with operations. Southwest Public Service (SPS) wind plants cause both commitment inefficiencies and are charged Southwest Power Pool (SPP) imbalance payments due to wind uncertainty and variability. Wind energy forecasting helps mitigate these costs. Wind integration studies for the PSCo and Northern States Power (NSP) operating companies have projected increasing costs as more wind is installed on the system due to forecast error. It follows that reducing forecast error would reduce these costs. This is echoed by large scale studies in neighboring regions and states that have recommended adoption of state-of-the-art wind forecasting tools in day-ahead and real-time planning and operations. Further, Xcel Energy concluded reduction of the normalized mean absolute error by one percent would have reduced costs in 2008 by over $1 million annually in PSCo alone. The value of reducing forecast error prompted Xcel Energy to make substantial investments in wind energy forecasting research and development

Equilibrium pricing in electricity markets with wind power

Estimates from the World Wind Energy Association assert that world total wind power installed capacity climbed from 18 Gigawatt (GW) to 152 GW from 2000 to 2009. Moreover, according to their predictions, by the end of 2010 global wind power capacity will reach 190 GW. Since electricity is a unique commodity, this remarkable expansion brings forward several key economic questions regarding the integration of significant amount of wind power capacity into deregulated electricity markets. The overall dissertation objective is to develop a comprehensive theoretical framework that enables the modeling of the performance and outcome of wind-integrated electricity markets. This is relevant because the state of knowledge of modeling electricity markets is insufficient for the purpose of wind power considerations. First, there is a need to decide about a consistent representation of deregulated electricity markets. Surprisingly, the related body of literature does not agree on the very economic basics of modeling electricity markets. That is important since we need to capture the fundamentals of electricity markets before we introduce wind power to our study. For example, the structure of the electric industry is a key. If market power is present, the integration of wind power has large consequences on welfare distribution. Since wind power uncertainty changes the dynamics of information it also impacts the ability to manipulate market prices. This is because the quantity supplied by wind energy is not a decision variable. Second, the intermittent spatial nature of wind over a geographical region is important because the market value of wind power capacity is derived from its statistical properties. Once integrated into the market, the distribution of wind will impact the price of electricity produced from conventional sources of energy. Third, although wind power forecasting has improved in recent years, at the time of trading short-term electricity forwards, forecasting precision is still low. Therefore, it is crucial that the uncertainty in forecasting wind power is considered when modeling trading behavior. Our theoretical framework is based on finding a symmetric Cournot-Nash equilibrium in double-sided auctions in both forwards and spot electricity markets. The theoretical framework allows for the first time, to the best of our knowledge, a model of electricity markets that explain two main empirical findings; the existence of forwards premium and spot market mark-ups. That is a significant contribution since so far forward premiums have been explained exclusively by the assumption of risk-averse behavior while spot mark-ups are the outcome of the body of literature assuming oligopolistic competition. In the next step, we extend the theoretical framework to account for deregulated electricity markets with wind power. Modeling a wind-integrated electricity market allows us to analyze market outcomes with respect to three main factors; the introduction of uncertainty from the supply side, ownership of wind power capacity and the geographical diversification of wind power capacity. For the purpose of modeling trade in electricity forwards one should simulate the information agents have regarding future availability of aggregate wind power. This is particularly important for modeling accurately traders\u27 ability to predict the spot price distribution. We develop a novel numerical methodology for the simulation of the conditional distribution of regional wind power at the time of trading short-term electricity forwards. Finally, we put the theoretical framework and the numerical methodology developed in this study to work by providing a detailed computational experiment examining electricity market outcomes for a particular expansion path of wind power capacity

Using conditional kernel density estimation for wind power density forecasting

Of the various renewable energy resources, wind power is widely recognized as one of the most promising. The management of wind farms and electricity systems can benefit greatly from the availability of estimates of the probability distribution of wind power generation. However, most research has focused on point forecasting of wind power. In this paper, we develop an approach to producing density forecasts for the wind power generated at individual wind farms. Our interest is in intraday data and prediction from 1 to 72 hours ahead. We model wind power in terms of wind speed and wind direction. In this framework, there are two key uncertainties. First, there is the inherent uncertainty in wind speed and direction, and we model this using a bivariate VARMA-GARCH (vector autoregressive moving average-generalized autoregressive conditional heteroscedastic) model, with a Student t distribution, in the Cartesian space of wind speed and direction. Second, there is the stochastic nature of the relationship of wind power to wind speed (described by the power curve), and to wind direction. We model this using conditional kernel density (CKD) estimation, which enables a nonparametric modeling of the conditional density of wind power. Using Monte Carlo simulation of the VARMA-GARCH model and CKD estimation, density forecasts of wind speed and direction are converted to wind power density forecasts. Our work is novel in several respects: previous wind power studies have not modeled a stochastic power curve; to accommodate time evolution in the power curve, we incorporate a time decay factor within the CKD method; and the CKD method is conditional on a density, rather than a single value. The new approach is evaluated using datasets from four Greek wind farms

Characterisation of large changes in wind power for the day-ahead market using a fuzzy logic approach

Wind power has become one of the renewable resources with a major growth in the electricity market. However, due to its inherent variability, forecasting techniques are necessary for the optimum scheduling of the electric grid, specially during ramp events. These large changes in wind power may not be captured by wind power point forecasts even with very high resolution Numerical Weather Prediction (NWP) models. In this paper, a fuzzy approach for wind power ramp characterisation is presented. The main benefit of this technique is that it avoids the binary definition of ramp event, allowing to identify changes in power out- put that can potentially turn into ramp events when the total percentage of change to be considered a ramp event is not met. To study the application of this technique, wind power forecasts were obtained and their corresponding error estimated using Genetic Programming (GP) and Quantile Regression Forests. The error distributions were incorporated into the characterisation process, which according to the results, improve significantly the ramp capture. Results are presented using colour maps, which provide a useful way to interpret the characteristics of the ramp events

Ellipsoidal Prediction Regions for Multivariate Uncertainty Characterization

While substantial advances are observed in probabilistic forecasting for power system operation and electricity market applications, most approaches are still developed in a univariate framework. This prevents from informing about the interdependence structure among locations, lead times and variables of interest. Such dependencies are key in a large share of operational problems involving renewable power generation, load and electricity prices for instance. The few methods that account for dependencies translate to sampling scenarios based on given marginals and dependence structures. However, for classes of decision-making problems based on robust, interval chance-constrained optimization, necessary inputs take the form of polyhedra or ellipsoids. Consequently, we propose a systematic framework to readily generate and evaluate ellipsoidal prediction regions, with predefined probability and minimum volume. A skill score is proposed for quantitative assessment of the quality of prediction ellipsoids. A set of experiments is used to illustrate the discrimination ability of the proposed scoring rule for misspecification of ellipsoidal prediction regions. Application results based on three datasets with wind, PV power and electricity prices, allow us to assess the skill of the resulting ellipsoidal prediction regions, in terms of calibration, sharpness and overall skill.Comment: 8 pages, 7 Figures, Submitted to IEEE Transactions on Power System