3rd International Conference on Renewable Energy Research and Applications
Predicting probabilistic wind power generation using
nonparametric techniques
Soraida Aguilar *, Reinaldo Castro Souza
Department of Electrical Engineering
Pontifical Catholic University of Rio de Janeiro
Rio de Janeiro, Brazil
*saguilar@ele.puc-rio.br
Abstract— Wind power is becoming one of the most interesting
and promising alternative for clean generation of electrical
energy. The incorporation of this alternative source of energy
within existing electric power system generates a series of
challenges for their optimal operation. For such, reliable and
accurate wind energy forecasting is required. A great deal of
literature has been dedicated to this task, the majority of them
departures from point forecasts to the wind speed which
produces the corresponding energy point forecast using the plant
wind power curve. Such methods do not take into account the
uncertainty associated with wind speed. This paper proposes an
alternative approach to generate wind energy forecasts, by
developing a full probabilistic density forecast for the wind
power for each wind speed predicted by time series methods for
each lead time, using Double Seasonal Holt Winters and
conditional density kernel estimation. The method was tested
with real data from a Brazilian wind farm and the results
obtained were very promising
Keywords-wind power; wind speed; forecasting; conditional
kernel estimation.
I. INTRODUCTION
Nowadays, wind power generation has a privileged
position inside the energy matrix. The production of this
energy is growing, and due to these increases, the generation
of predictions of this type of renewable resource becomes
essential for a proper use. Accurate forecasting of wind (and /
or prediction of wind speed) energy reduce the risk of
uncertainty and enable better grid planning and integration of
wind power into the system.
Probabilistic wind power forecasting is a recently approach
of the energy prediction, that aims to provide better
forecasting through the wind power probability density
function instead of a point forecast. Although there are great
advantages in the use of wind energy, the random nature of
wind makes its prediction a very complex task. This directly
affects the power system planning for unit commitment and
dispatch, because once the wind farm comes into operation
and is connected to the electrical system, it is necessary for
operators to obtain accurate predictions in order to minimize
the technical and financial risks.
The uncertainty associated with the wind has been treated
using several statistical techniques, such as prediction tools to
‹,(((
ICRERA 2014
Milwakuee, USA 19-22 Oct 2014
José Francisco Pensanha
Institute of Mathematics and Statistics
Rio de Janeiro State University
Rio de Janeiro, Brazil
forecasts different lead times. The technical literature reports
that point forecasts, which is a deterministic forecasts, is the
major approach employed [1]. However, this kind of
prediction has an important shortcoming, because information
about any deviation from the predicted values is not provided,
limiting its use in decision-making processes. For that reason,
probabilistic forecasting has become increasingly more
attractive option, due to a probability density function (pdf)
gives the necessary flexibility for several decision-making
problems, allowing the incorporation of such uncertainty, for
instance, finding the optimal forecast quantile to bid into the
electricity market. Other application is to the system operators,
since the pdf representation set the required operating reserve
for the current and next days.
The majority of recent publications on forecasting models
of wind generation is done in two stages: in the first stage fits
a model (be it statistical, computational intelligence or even
hybrid) to predict the speed of the wind incident on the wind
turbines blades, and then using the power curve to generate the
conversion of wind energy [2][3]. The most important
physical and statistical algorithms for wind power forecasting
are mentioned in the state-of-the-art report of [4]. Models
based on the analysis of time series of wind speed typically
use a statistical focus to predict the speed, and then forecasts
the wind power output.
On the other hand, quantile regression, kernel density
estimation, probabilistic forecasting based on ensemble and
artificial intelligence are non-parametric models available
today for probabilistic wind power forecasting to VSHFL¿F
quantiles or intervals [5]. Conditional kernel density
estimation provides the tool to build models which is shown in
[6] and [7], and that have as output a pdf of the forecasted
wind power. This can be transformed into several uncertainty
representations, such as quantiles, standard deviation, or
skewness. This approach, therefore, provides a complete and
robust representation of wind power probabilistic forecasts.
II. KERNEL DENSITY FORECAST METHODOLOGY
A. Kernel Density Estimation
The basic idea of the kernel estimation is to provide a
density (pdf) of a random variable Y. Notice, that the kernel
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3rd International Conference on Renewable Energy Research and Applications Milwakuee, USA 19-22 Oct 2014

estimator is a generalization of the naive estimator which

allows one to overcome the problem of continuity and
differentiability at all points were the function is continuous.
The methods of density estimation may be classified as
parametric and non-parametric. Such parametric approach
aims to choose a distribution family from both; a Weibull
distribution or a Gaussian distribution, while the non-
parametric approach estimate from the data based the
underlying distribution. The kernel density estimator computes
a smooth density estimation from the data sample by placing
to each sample point a function representing its contribution
to the density. The distribution is obtained by summing all
these contributions.
Different kernel estimators has been used to compute the
Figure 1. Conditional density estimation of wind power on wind speed
conditional density of the wind power output. In [6] was
employed an adaptation of the classic Nadaraya-Watson kernel
density, while [8] applied the two-step CKD estimator of [9] III. DOUBLE SEASONAL HOLT-WINTERS EXPONENTIAL
and the Parzen-Rossenblatt estimator [10] [11], in which the SMOOTHING METHODS
two-step CKD estimator led them to results slightly more
accurate than those produced by Parzen-Rosenblantt estimator. The basic Holt-Winter method deals with series that have
In [12] the estimator used was Nadaraya-Watson with time level, trend and a single seasonal pattern. The multiplicative
adaptive. Following the same approach of those works our seasonality structure of the method is presented in expressions
focus will be on Nadaraya-Watson estimator. (4)-(7) in the basic form [13]. There are two main variations of
this method that differ of the seasonal component. The
B. The Nadaraya-Watson Estimator additive method is chosen when the seasonal variations are
practically constant through the series, while the multiplicative
Conditional density estimation provides the assessment of
method is chosen when the seasonal variations are changing
the pdf of a random variable Y, given an explanatory variable
proportional to the level of the series.
X with the value of x known to be predicted for time t + k
given the information available up to time t:
§ Xt ·
Level: S t D ¨¨ ¸¸  1  D S t 1  Tt 1  (4)
f Y (Yt  k X t )
f Y , X (Yt  k , X t )
(1)
© I t s ¹
fX (Xt ) Trend: Tt J S t  S t 1   1  J Tt 1 (5)
§ Xt ·
The expressions in (1) is unknown, for this reason, this Seasonality: I t G ¨¨ ¸¸  1  G I t  s (6)
density function is estimated from the data, i.e., with the © St ¹
sample available and using the non-parametric estimator Forecasting: Xˆ t k  S t  kTt I t sk (7)
known as the Nadaraya-Watson estimator. According with [9],
the conditional density estimation is given by where X t , is an observed value, I t is the local s-period
seasonal index, ĮȖDQGįDUHVPRRWKLQJSDUDPHWHUVDQG Xˆ t k 
N
fˆ ( y | X x) ¦K i 1
hy  y  Yi ˜ wi x  (2) is the k-step-ahead forecast. Despite of this method being
widely used, it is only able to perform one seasonal pattern,
where expression (8)-(12) present the extension considering an
additional seasonal pattern [13].
K hx x  X i 
wi x  (3) § Xt ·
N
Level: S t D¨ ¸  1  D S t 1  Tt 1 
¦K
(8)
hx x  X i  ¨ D t s W t s ¸
© 1 2 ¹
i 1
Trend: Tt J S t  S t 1   1  J Tt 1 (9)
and where N is the length of the sample, K h (·) = K(·/h)/h is § Xt ·
a kernel function and h the bandwidth parameter. This Seasonality 1: Dt G¨ ¸  1  G D t  s (10)
estimator has two bandwidth, h x and h y , that controls the ¨ S tW t  s ¸ 1
© 2 ¹
amount of smoothing; i.e., h y controls the smoothing of each
conditional density and h x controls the smoothing of the § Xt ·
Seasonality 2: Wt Z¨ ¸  1  Z W t  s (11)
explanatory variable. ¨ S t D t s ¸ 2
© 1 ¹
Using (2) and (3), the resulting conditional density
estimation is depicted in Figure. 1.

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3rd International Conference on Renewable Energy Research and Applications Milwakuee, USA 19-22 Oct 2014

Forecasting: Xˆ t k  S t  kTt D t s k W t s k (12) formulation was considered, i.e., a constant model for the trend
1 2
implying that only one smoothing constant for the trend need to
be estimated. Thus, we use a more simplified structure than
where D t and W t represent the daily and weekly seasonal that one suggested by the equations (8)-(12) was used, with
factors. The additive Double Seasonal Holt-Winters Model VPRRWKLQJFRQVWDQWVĮįDQGȦ.
can be obtained in a similar fashion from the basic additive
Holt-Winters Model, by the addition of the corresponding Figure 4 below presents observed and forecasted wind
speed for a lead-time of 24 hours to January 1st, 2008. The in
seasonal effects and updating equations.
sample period used to obtained the smoothing parameters was
January 1st, 2007 to December 31th, 2007. The smoothing
A. The wind power and wind speed data constants found by the optimization procedure.
The database used belongs to a wind farm in Brazil, but for
confidentiality reasons we are not allowed to publish its name
and the location of the park. The dataset is composed of data
ranging from January 1, 2007 until January 1, 2008, a total of
8784 hourly observations of wind speed in m/s (Figure 2) and
power in kW for one turbine, whose capacity is around of
2,200kW. In the Figure 3 it is shown the wind power output
versus wind speed for the time period described above, thereby
generating the power curve of history dataset.

Figure 4. Wind speed (m/s) forecasting 24 hours ahead.

It was calculated some error measures in-sample to assess

the model, as well as some out-of-sample ones. The RMSE and
MAE statistics depicted in Table I indicate good quality of the
model fit to the time series of wind speed.

TABLE I. ERROR MEASURES TO WIND SPEED

In-Sample Out-of-Sample
Figure 2. Wind speed (m/s)
RMSE (m/s) 1.6879 1,4878
MAE (m/s) 1.2704 1,1620

Using these results to provide the forecasting of wind

power output we have Figure 5:

Figure 3. Power Curve Figure 5. Wind speed (m/s) forecasting 24 hours ahead.

IV. RESULTS V. CONCLUSIONS

After estimate the double seasonal Holt-Winters method The results show that the process of probabilistic forecasts
wind speed was forecasted for the time horizon considered (24- of wind generation is consistent. This density has a good fit
hours-ahead), there was no need to assume a growth for the because it provides reasonable point forecasts of the wind
trend model. Therefore, a further simplification in the power output, which is validated with the error measures that

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3rd International Conference on Renewable Energy Research and Applications
were reasonably good. The nonlinear nature of the wind speed
series is an indication that other models should be tested.
Although the point forecasting was not the aim, conditional
density of the wind power enabled us to obtain different
quantiles as well as mean, median among others. As a future
work, Multiplicative ARIMA and Neural Network models will
be tried to model the wind speed, to check for the possibility of
improvements on the accuracy of the wind power forecasts.
ACKNOWLEDGMENT
The authors would like to thank CAPES PEC-PG for their
financial support.
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ICRERA 2014
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