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Procedia Manufacturing 32 (2019) 410–417
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The
The 12th
12th International
International Conference
Conference Interdisciplinarity
Interdisciplinarity in
in Engineering
Engineering

Wind
Wind Energy Energy Forecasting:
Forecasting: A A Comparative
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28-30 June
2017, Vigo (Pontevedra), Spain
(FFANN)
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Cristian-Dragos a, in Industry b 4.0: Trade-off
Cristian-Dragos Dumitru Dumitrua, *, *, Adrian
Adrian Gligor
Gligorb
between used capacity and operational efficiency
0F

0F

a
aDepartment of Electrical Engineering and Computers, University of Medicine, Pharmacy, Sciences and Technology of Targu Mures, Nicolae
Department of Electrical Engineering and Computers, University of Medicine, Pharmacy, Sciences and Technology of Targu Mures, Nicolae
Iorga st. No.1, 540088 Targu Mures, Romania
Iorga
a st. No.1, 540088 a,*Targu Mures, Romania
A. Santana , P. Afonso , A. Zanin , R. Wernke b b

a
University of Minho, 4800-058 Guimarães, Portugal
Abstract b
Unochapecó, 89809-000 Chapecó, SC, Brazil
Abstract
The scope of this work is to analyze different time series modeling methods, reported in literature, for forecasting production of
The scope of this work is to analyze different time series modeling methods, reported in literature, for forecasting production of
electrical energy from renewable energy sources such as wind energy. Two different models are considered: a stochastic model
electrical energy from renewable energy sources such as wind energy. Two different models are considered: a stochastic model
Abstract
(ARIMA) and a model based on neural networks (FFANN or MLP). The studied time series represent the production of electrical
(ARIMA) and a model based on neural networks (FFANN or MLP). The studied time series represent the production of electrical
energy from wind of a national power system during March 2018.
energy from wind of a national power system during March 2018.
Under the concept of "Industry 4.0", production processes will be pushed to be increasingly interconnected,
information
© 2018
© 2018 The
2019 The based on
Authors.
The Authors. a real time
Published basis and,
by Elsevier Ltd. necessarily, much more efficient. In this context, capacity optimization
© Authors. Published
Published byby Elsevier
Elsevier Ltd.
Ltd.
This isbeyond
goes an opentheaccess article under
traditional aim thecapacity
of CC BY-NC-ND
maximization, contributing also for organization’s profitability and value.
license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
This is an open access article under the CC BY-NC-ND license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Selection lean
Indeed, and peer-review
management underand
responsibility
continuous of the 12th International
improvement Conference
approaches Interdisciplinarity
suggest in Engineering.
capacity optimization
Selection and peer-review under responsibility of the 12th International Conference Interdisciplinarity in Engineering.instead of
maximization. The study of capacity optimization and costing models is an important research topic that deserves
Keywords: power systems; energy forecasting; wind energy, neural networks.
contributions
Keywords: powerfrom both
systems; the forecasting;
energy practical andwindtheoretical
energy, neuralperspectives.
networks. This paper presents and discusses a mathematical
model for capacity management based on different costing models (ABC and TDABC). A generic model has been
developed and it was used to analyze idle capacity and to design strategies towards the maximization of organization’s
1. Introduction
1. Introduction
value. The trade-off capacity maximization vs operational efficiency is highlighted and it is shown that capacity
optimization
Forecasting might hide operational
provides inefficiency.
useful information for many domains such as: economics, industry, health, meteorology and
Forecasting
© 2017 provides
The Authors. useful
Published by information
Elsevier B.V.for many domains such as: economics, industry, health, meteorology and
many other domains and subdomains. The result of a forecast is represented by one or more estimated values of a
many otherunder
Peer-review domains and subdomains.
responsibility The result
of the scientific of aofforecast
committee is represented
the Manufacturing by oneSociety
Engineering or more estimatedConference
International values of a
time series, in literature, this is known as time series forecasting. In order to make forecasts, a mathematical model,
time series, in literature, this is known as time series forecasting. In order to make forecasts, a mathematical model,
2017.
which approximates the time series, is derived using different methods. The process of creating a model to
which approximates the time series, is derived using different methods. The process of creating a model to
approximate
Keywords: Cost a time series is called time series modeling [1], [2].Operational Efficiency
approximate aModels; ABC; TDABC;
time series is calledCapacity Management;
time series Idle Capacity;
modeling [1], [2].

1. Introduction
* Corresponding author. Tel.: +4-0265-233-212; fax: +4-0265-233-212.
* The
Corresponding
cost author.
of idle Tel.: +4-0265-233-212;
capacity fax: +4-0265-233-212.
is a fundamental information for companies and their management of extreme importance
E-mail address: cristian.dumitru@ing.upm.ro
E-mail address: cristian.dumitru@ing.upm.ro
in modern production systems. In general, it is defined as unused capacity or production potential and can be measured
in several©ways:
2351-9789 tons
2018 The of production,
Authors. available
Published by Elsevier Ltd.hours of manufacturing, etc. The management of the idle capacity
2351-9789 © 2018 The Authors. Published by Elsevier Ltd.
This is an Afonso.
* Paulo open access
Tel.:article under
+351 253 510the761;
CC BY-NC-ND
+351 253license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
This is an open access article under the CC fax:
BY-NC-ND 604 741
license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Selection
E-mail and peer-review
address: under responsibility of the 12th International Conference Interdisciplinarity in Engineering.
psafonso@dps.uminho.pt
Selection and peer-review under responsibility of the 12th International Conference Interdisciplinarity in Engineering.

2351-9789 © 2017 The Authors. Published by Elsevier B.V.

Peer-review
2351-9789 © under
2019responsibility
The Authors. of the scientificbycommittee
Published Elsevier of the Manufacturing Engineering Society International Conference 2017.
Ltd.
This is an open access article under the CC BY-NC-ND license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Selection and peer-review under responsibility of the 12th International Conference Interdisciplinarity in Engineering.
10.1016/j.promfg.2019.02.234
 Cristian-Dragos Dumitru et al. / Procedia Manufacturing 32 (2019) 410–417 411
2 Cristian-Dragos Dumitru et. al ./ Procedia Manufacturing 00 (2018) 000–000

The forecast of electricity generation from renewable energy sources such as wind contributes to the stability of
the energy system. The knowing in advance and with some probability of the generated power from renewable
energy sources represents an important component of the energy market and a tool for power transportation and for
power system operators. Generally, the data resulted from forecasts are used for strategic purposes and preventive
measures.
One of the most well-known and used stochastic models of time series is the ARIMA model that considers the
time series to be linear and pursues a well-known distribution, such as the Gaussian distribution. These models are
limited by the assumption that the time series is linear, which can lead to unsatisfactory results in many practical
situations [2].
Neural networks have the ability to model nonlinear systems using available or measurable data of a system.
MLP networks are used in a wide range of issues, including forecasting, because they are capable of arbitrarily
linking inputs to outputs. In [3] are presented a series of researches on the application of neural networks in
forecasting.

Nomenclature

ARIMA Autoregressive Integrated Moving Average;

FFANN Feed-Forward Artificial Neural Network;
MLP Multi-Layer Perceptron;
AR Auto Regressive;
MA Moving Average;
ARMA Auto Regressive Moving Average;
SARIMA Seasonal Auto Regressive Moving Average;
MAE Mean Absolute Error;
MAPE Mean Absolute Percentage Error;
SMSE Signed Mean Squared Error;
NMSE Normalized Mean Squared Error;

2. Theoretical aspects

2.1. Stochastic models

An important category of stochastic models is that composed of stationary models where the stochastic process is
considered stationary (it has a constant average and variance over time) [5].
Two of the most used models are Autoregressive (AR) and Moving Average (MA). These models are the basis
for other models, such as Auto Regressive Moving Average (ARMA), which is a combination of the two mentioned
models, Integrated or Summed ARMA model (ARIMA) and for time series with a seasonal component: Seasonal
Auto Regressive Moving Average (SARIMA) [1], [2].
In [5], an iterative method for determining a model to be used in the prognosis of a time series was introduced.
The four steps: model class definition, model identification, model parameters tuning and performance checking
represent the iterative method graphically displayed in Figure 1. The first step is to obtain a general class of models
that can be used for the desired purpose. In the second step, methods for identifying a subclass of models and the
number of parameters used by these models are used so that the number of parameters is minimal and their
performance is satisfactory (Parsimonious models). In the third step, the parameter values of the chosen model are
estimated or assigned, so the model is trained using the available data. The fourth step consists in calculating the
performance of the model and highlighting problems such as: lack of training or overfitting (over-dimensioning of
the model or over-tuning of the parameters). Depending on the obtained performances, two cases are considered:
when performance is unsatisfactory, steps two, three and four are repeated, and when the performance is
satisfactory, the model is used further to achieve the desired prognosis or goal.
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Cristian-Dragos Dumitru et. al./ Procedia Manufacturing 00 (2018) 000–000 3

Define a general
models class

Model and its order

identification

Adjust the model

parameters

Compute the model

performances

NO YES
Are the performances Use the obtained
acceptable? model

Fig. 1. Iterative method [5]

2.2. FFANN or MLP model

A Multi-Layer FFANN with hidden layers contains: an input layer, one or more intermediate layers and the
output layer. Between each layer is a weighting matrix and each layer can have a different number of neurons,
different input functions and different activation functions. The connections between layers are made from a bottom
layer to a upper (feed-forward) layer, for example from the input layer to the hidden layer and to the output layer, in
the case of a single hidden layer of a FFANN. Because of these additional elements, the network can make non-
linear classifications (such as convex polygon boundaries) and approximate functions that make them useful in
control and forecasting systems [6], [7].
An FFANN with hidden layers can be seen as a combination of multiple FFANNs without hidden layers where
network inputs are the outputs of the previous network. The graphical representation of an FFANN with L-1 hidden
layers is shown in Figure 2.

Input layer 1st hidden 2nd hidden Output layer

layer layer L
x1 ω1 θ1 a1 ω 2 x2 θ 2 a2 ωL xL θL aL
1 1 1L
θ11 θ12 θ1
ωlj2
1 Fin a11 Fin a12 Fin a1L
x 1
Fa Fa Fa

1 1 1
θi1 θl2 θ nL

Fin ai1 Fin al2 ωnm

L
Fin anL
x1j
Fa Fa Fa

ωij1
1 1 1
θ N1 1
θ N2 2
θ NL L

Fin a1N1 Fin aN2 2 Fin aNL L

x1N0
Fa Fa Fa

Fig. 2. FFANN with L-1 hidden layers

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In Figure 2, the notations 𝑥𝑥 𝑟𝑟 , 𝜔𝜔𝑟𝑟 , 𝜃𝜃 𝑟𝑟 , 𝑎𝑎𝑟𝑟 where 𝑟𝑟 = 1, 𝐿𝐿, represent: the r layer input vector, r layer weight matrix,
r layer weighted vector and r layer output vector. Similarly, the notation extends also at the element level.

3. Experimental results

The experimental results include: a description of the obtained models based on iterative method for ARIMA
model and the experimental approach for neural network model, individual forecasting results and comparisons of
the two models for different forecasting horizons (one step ahead and multiple steps ahead).
The time series used for all models is the production of electricity from wind power in March 2018. The data is
available on Romanian National Power System Operator website [4] and are shown in Figure 3.

Fig. 3. Wind energy production in national power system in March 2018

Different error statistics are used to compare performance across models, such as [2]:
• the Mean Absolute Error (MAE) indicates that the total error of the forecast is not influenced by the error sign or
direction (above or below the actual value).
• the Mean Absolute Percentage Error (MAPE) percentage is not affected by the range of time series values.
• Signed Mean Squared Error (SMSE) penalizes large errors, and due to the sign, the error direction can also be
determined.
• Normalized Mean Squared Error (NMSE), is not affected by the error direction and also penalizes large errors,
like SMSE. In addition, it is divided by the time series variance.
• Theil's U statistics measure the total forecast error in the [0,1] range, where 0 means that there are no prediction
errors.
Time series processing and implementation of models is performed in Python programming language. The
stochastic model is implemented by using the StatsModels package. The ANN-based model is implemented with
Keras package.

3.1. ARIMA model analysis and implementation

The ARIMA model is implemented by using the steps presented in Fig. 1. Determination of the AR and MA
order is performed by using the autocorrelation function and the partial autocorrelation function.
The autocorrelation function of the first 100 previous (delay) samples of the time series has a slow decrease in
autocorrelation which means that the time series is not a MA process, and the MA order of the model might be zero
(Figure 4a).
The partial autocorrelation function of the first 20 delays of the time series has a sharp decrease in partial
autocorrelation after the number 2 delay (Figure 4b). This suggests that the time series is an AR type process and the
chosen order is 4.
Because the time series in Figure 3 shows variations, an order 1 is used for the integrative part of the ARIMA
model, the initial model being ARIMA (4,1,0).
414 Cristian-Dragos
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Fig. 4. a) Autocorrelation and b) partial autocorrelation functions.

The forecast is performed by using a walk-forward method, where a sample window is selected from the time
series and the model is trained on these values. The resulting model is used to predict the next sample. Initially, the
selected window is 120 samples. For model training (parameter allocation), the StatsModels package with default
settings is used: the allocation with a Kalman filter and the parameters direction change is given by a quasi-
Newtonian method named limited Broyden-Fletcher-Goldfarb-Shannon method.
In order to verify that there is an AR order for which better performance can be achieved, the AR order was
iterated between 1 and 10 with one step and with the calculated statistics of the predicted error (Figure 5). Another
parameter to be adjusted is the size of the window; it was iterated between 36 and 288 samples with the 36-step
sample corresponding to six hours.

Fig. 5. The influence of AR order on error a) MAE; b) MAPE; c) SMSE d) Theil’s U statistics.

In Fig. 5 it can be observed that for values of AR order higher than 2, the error increases slowly (Fig.5a, b) and
d)), and comparing order 2 to 3 (Fig. 5c)) there is a decrease of the mean square error with a sign that can describe
that errors are generally lower, negative errors are lower or positive errors are greater. The chosen AR order is 3.
Regarding the window size, the biggest difference of error occurs between 36 and 72 samples sizes for longer
lengths the differences being much smaller (Figure 6).

Fig. 6. The impact of window size on error a) MAE; b) MAPE; c) SMSE d) Theil’s U statistics.
 Cristian-Dragos Dumitru et al. / Procedia Manufacturing 32 (2019) 410–417 415
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Finally, the selected window is 144 samples corresponding to one day of the time series the resulted model being
ARIMA(3,1,0); the predicted values and model performance are shown in Figure 7 and Table 1.

a b

Fig. 7. ARIMA (3,1,0) forecast results a) during a month (March 2018), b) during a 3 days window (between 12 and 14 of March 2018)

Table 1. ARIMA (3,1,0) model performances.

Error Statistics Value
MAE 20,41
MAPE 5,38
SMSE -46,76
NMSE 0,0027
Theil’s U statistics 3,22 ∙ 10-5

The forecast with the considered model shows a good performance. Larger errors occur with sudden and frequent
variations of the time series when a strong directional change occurs as can be seen at the end of the graph in Fig. 7.
A problem encountered in this model occurs when the training for a window of the time series cannot be
accomplished with the chosen model. In this case, the previous value is maintained. The problem occurs more often
at small window sizes.

3.2. FFANN or MLP model analysis and implementation

The selected FFANN has an input layer, a single hidden layer and an output layer. The number of neurons in the
hidden layer depends on the number of previous time points (samples) taken into account; initially six were
considered. The hidden layer contains 3 neurons, half the number of neurons in the input layer. In the hidden layer is
a single neuron, so by applying six previous samples to the input of the neural network, the prediction of a future
sample is obtained. The predictive horizon is a forward sample and since the time series samples (Figure 3) are at a
distance of 10 minutes from each other, a forward sample represents 10 minutes.
The neurons activating function in the hidden layer is the unipolar sigmoid function, therefore the time series is
normalized in the range [0,1] and the output neurons activating function is the linear function.
Neural network training is performed at each prediction; this method is called walk-forward validation. The
method consists in choosing a number of samples to be used in neural network training, the number representing a
piece or a value window from all time series values. After the neural network training, the forecast of the next
sample is made and the window moves with a sample before. The process is repeated until the entire time series has
been scrolled and tested. The size of the selected window is 144 samples, which is about one day. The training can
take place in several epochs for the same window, but the training time increases proportionally with the number of
epochs; therefore a single epoch was chosen.
The method for determining optimal parameters is the experimental method. Therefore, one of the neural network
parameters is modified and when the optimum parameter or the best performing value is found, this value is
maintained and another parameter is changed. The steps are repeated until all parameters are scrolled.
For the initial values, the predicted values and performance of the FFANN model (6-3-1) are shown in Figure 8,
respectively in Table 2:
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Cristian-Dragos Dumitru et. al./ Procedia Manufacturing 00 (2018) 000–000 7

Fig. 8. Initial FFANN (6,3,1) forecast results during March 2018

Table 2. Initial FFANN (6,3,1) model performances.

Error Statistics Value
MAE 64,85
MAPE 83,93
SMSE 2530
NMSE 0,03
Theil’s U statistics 1,13 ∙ 10-4

The answer of the model from Figure 8 shows strong variations in the first half of the graph, possibly due to the
low learning window and to a single training epoch. Next, it is intended to adjust the neural network parameters to
achieve a more satisfactory performance that means lower values of errors presented in Table 2.
The first chosen to be changed parameter is represented by the size of the training window. Starting with the
initial value of 144, the size of the training window is doubled at each iteration of the experiment. The maximum
chosen window size is 2880, which corresponds to 20 days. It has to be noted that the first training window contains
samples before the first sample of the time series (before 1st of March in Figure 8).
In Figure 9 it can be seen a significant decrease in error by doubling the window size from the initial value 144 to
288, and for larger values, the differences are smaller. The NMSE error indicates a decrease in error for values
greater than 288, which is not highlighted by the MAE error. The chosen value for the window size is 720 (5 days).

Fig. 9. a) MAE; b) NMSE of FFANN at different values of training window size

Figure 10 shows that in the first half the oscillations are reduced, which is also evidenced by the low errors in
Table 3. The SMSE error enhancement was not calculated because the difference between the two is significant and
highlighted by the NMSE error.
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8 Cristian-Dragos Dumitru et. al ./ Procedia Manufacturing 00 (2018) 000–000

Fig. 10. FFANN (6,3,1) forecast results during March 2018 (720 samples)

Table 3. FFANN (6,3,1) model performances (720 samples).

Error Statistics Value Improvement
vs.initial FFANN
MAE 54,59 15,82%
MAPE 43,60 48,05%
SMSE -56,85 -
NMSE 0,013 60,77%
Theil’s U statistics 7,07 ∙ 10-5 37,19%

4. Conclusions

In this paper, two different time series forecasting methods are studied: ARIMA stochastic model and neural
networks (FFANN or MLP) based model. However, there are a multitude of models recorded in literature, some are
generalized and can be applied to multiple domains and others are more specific to one domain or application.
Furthermore, no other variables, except the production of electrical energy, have been considered. For example, the
wind speed and weather forecasts can be used to forecast and results with and without these added variables can be
compared.

References

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