Wind power interval forecasting based on confidence interval optimization

Abstract

Most of the current wind power interval forecast methods are based on the assumption the point forecast error is subject to a known distribution (such as a normal distribution, beta distribution, etc.). The interval forecast of wind power is obtained after solving the confidence interval of the known distribution. However, this assumption does not reflect the truth because the distribution of error is random and does not necessary obey any known distribution. Moreover, the current method for calculating the confidence interval is only good for a known distribution. Therefore, those interval forecast methods cannot be applied generally, and the forecast quality is not good. In this paper, a general method is proposed to determine the optimal interval forecast of wind power. Firstly, the distribution of the point forecast error is found by using the non-parametric Parzen window estimation method which is suitable for the distribution of an arbitrary shape. Secondly, an optimal method is used to find the minimum confidence interval of arbitrary distribution. Finally the optimal forecast interval is obtained. Simulation results indicate that this method is not only generally applicable, but also has a better comprehensive evaluation index.