STOCHASTIC MODELS FOR PREDICTION

AND ITS APPLICATION

Guide : Dr. Anuradha .M
Y. Mounika , Swathi Sharma , Joyce. A
 MARKOV CHAINS
For the prediction of wind speed
Introduction to Markov Chains
• Markov chains is named after Andrey Markov, a Russian Mathematician.

• It is mathematical systems that hops from one "state" (a situation or set of

values) to another.

• Markov process is either discrete or continuous time with a countable state

space.

• Satisfies the Markov Property

• Memorylessness
Representation of a Markov Chain

Let {X𝑛, 𝑛 = 0,1,2, ⋯ , } be a stochastic process that takes a finite number of possible values.

P[Xn+1 = s | Xn= sn , Xn −1 = sn −1, · · · , Xo = so]

P[Xn+1 = s | Xn = sn ].

This equation can be interpreted to say that a Markov chain distribution in the future
conditional status X𝑛+1 , being given all the states in the past X0, X1,⋯, X𝑛−1 and the
present state X𝑛 is independent of past states and depends only on the today’s condition.
STATE TRANSITION DIAGRAM

STATE : A sample space for a given set of events

STATE DIAGRAM : Describes the behavior of the

system and the probability of
occurrence of an event.
Transition Matrix is the mathematical representation of the State
Diagram, Eg:

Next State

0.6 0.1 0.3

Current State P = 0.4 0.5 0.1
0.2 0.5 0.3
Transition Matrix
• Square matrix used to describe the transitions of a Markov chain.
• A.K.A Probability Matrix, Transition Matrix, Substitution Matrix,
or Markov Matrix.
• Each of its entries is a nonnegative real number representing a
probability.
• Where each cell contains a conditional probability.
• This is taken as the base for predicting future values
• Transition matrix reaches a threshold after a certain number of values.
• In our case it is – 49085 values out of the 51632 values.
• The sum of all the values in a row adds up to 1.
If X𝑛 = 𝑖 , this process is in state 𝑖 at the time 𝑛 . We assume that every time the process
is in state 𝑖 , then it is a fixed probability that its next value to be in state 𝑗, which is
represented by Pij. , which says that a Markov Chain is irreducible.

𝑃{𝑋𝑛+1 = 𝑗 |𝑋𝑛 = 𝑖, 𝑋𝑛−1 = 𝑖𝑛−1, ⋯, 𝑋1 = 𝑖1, 𝑋0 = 𝑖0} = 𝑃𝑖𝑗

for all states 𝑖0, 𝑖1, ⋯, 𝑖n-1 , 𝑖, 𝑗 and all 𝑛 ≥ 0

𝑃𝑖𝑗 ≥ 0 , 𝑖, 𝑗 ≥ 0 ; σ∞
𝑗=0 𝑃𝑖𝑗 = 1, 𝑖= 0 , 1 , ⋯ 𝑗 = 0

𝐏 indicates the 1st order transition matrix of 𝑃𝑖𝑗 probabilities, thus

𝑃00 𝑃01 𝑃02 𝑃0𝑖

⋯
P= 𝑃10 𝑃11 𝑃12 𝑃1𝑖
⋮ ⋱ ⋮
𝑃𝑖0 𝑃𝑖1 𝑃𝑖2 ⋯ 𝑃𝑖𝑖
 Transition Matrix from experimental simulations of given data

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29
30

2 0.61 0.23 0.11 0.03 0.01 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

3 0.17 0.31 0.29 0.13 0.06 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

4 0.04 0.14 0.34 0.25 0.15 0.05 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

5 0.01 0.06 0.18 0.32 0.24 0.11 0.04 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

6 0.00 0.01 0.06 0.18 0.34 0.24 0.11 0.03 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

7 0.00 0.00 0.01 0.05 0.21 0.35 0.23 0.08 0.03 0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

8 0.00 0.00 0.01 0.02 0.07 0.20 0.36 0.22 0.08 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

9 0.00 0.00 0.00 0.01 0.02 0.07 0.22 0.36 0.22 0.07 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

10 0.00 0.00 0.00 0.00 0.01 0.02 0.06 0.21 0.37 0.20 0.08 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

11 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.07 0.24 0.33 0.22 0.06 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

12 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.08 0.22 0.36 0.19 0.08 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

13 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.03 0.08 0.27 0.31 0.21 0.06 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.10 0.22 0.35 0.17 0.08 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.05 0.10 0.27 0.27 0.19 0.08 0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.03 0.11 0.22 0.32 0.19 0.06 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.05 0.10 0.24 0.29 0.16 0.09 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

18 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.03 0.12 0.25 0.26 0.19 0.06 0.03 0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00

19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.06 0.16 0.20 0.27 0.15 0.08 0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00

20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.08 0.12 0.23 0.20 0.18 0.08 0.04 0.01 0.01 0.00 0.00 0.00 0.00 0.00

21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.06 0.16 0.20 0.25 0.14 0.09 0.03 0.02 0.01 0.00 0.00 0.00 0.00

22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.02 0.08 0.15 0.24 0.18 0.18 0.08 0.04 0.02 0.01 0.00 0.00 0.00

23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.04 0.07 0.15 0.20 0.24 0.12 0.08 0.03 0.02 0.01 0.00 0.00

24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.01 0.05 0.10 0.17 0.21 0.18 0.16 0.04 0.03 0.02 0.01 0.01

25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.03 0.09 0.13 0.15 0.30 0.12 0.08 0.04 0.01 0.01

26 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.01 0.01 0.02 0.02 0.04 0.08 0.15 0.21 0.21 0.09 0.06 0.06 0.04

27 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.02 0.01 0.00 0.03 0.09 0.09 0.17 0.17 0.15 0.12 0.03 0.12

28 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.02 0.04 0.09 0.04 0.19 0.11 0.19 0.14 0.16

29 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.03 0.06 0.07 0.20 0.16 0.22 0.25

30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.02 0.02 0.01 0.07 0.07 0.11 0.11 0.57
Wind Speed collection
Wind Speed values were collected from Jogimatti Wind Farm and VV Sagara wind farm, CHITRADURGA.
Data collected from 2010 January to 2012 December taken at an interval of 10 minutes. APPENDIX 4
APPENDIX 3
Layout Diagram of Jogimatti Wind Farm Layout Diagram of VV Sagara wind farm

SUZLON
33/66 KV
SUB-STATION
2X2.50 KVA
K34
MSPL
1.25MW K35 K51
K33 MSPL Vandana Ispat
MSPL 1.25MW 1.25 MW
1.25MW
K50
Vandana Ispat SUZLON
1.25 MW
K31
Khariganur Iron
33/66 KV
Steels SUB-STATION
1.25MW
K38
Mantri
Developers
K32 K37
Khariganur Iron & Mantri
K29 Steels Developers 66KV DOUBLE LINE
Navalaka Trans 1.25MW K23 1.25MW
Lines K30 MSPL
1.25MW Abhishek Exp. Ltd. 1.25MW K36
1.25MW Mantri
K27
Devolopers K48 KPTCL
FEEDER NO:3
MSPL K26
Rajesh 66/220 KV
1.25MW MSPL K24 Constructions SUB-STATION
1.25MW MSPL 1.25 MW (SRS)
1.25MW K49
Rajesh
Construction
FEEDER NO : 4
K28
MSPL K25
1.25MW MSPL
1.25MW
FEEDER NO : 4

JOGIMATTI
K39
Jivraj Tea
1.25MW

K40
K47
Amtronics K41
Farmar WIND TURBINE
33KV DOUBLE LINE FROM

Sanjana Power
1.25MW
1.25MW
Shipping 1250 KW
1.25 mw
FEEDER NO : 3

JOGIMATTI

SWITCH YARD
WITH BREAKER
K46
G.N.
WIND TURBINE Agarawal
1250 KW
SWITCH YARD WITH
1.25 mw
OUT BREAKER

SUZLON SWITCH YARD

33/66KV WITH BREAKER
SUB-STATION METERING POINT
2X25MVA

SWITCH YARD WITH

OUT BREAKER
D.P. STRUCTURE
66KV DOUBLE LINE K45
G.N. Agarawal
METERING POINT 1.25 mw

KPTCL SINGLE CKT

66/220 KV VVSAGARA
D.P. STRUCTURE
SUB-STATION
(SRS) K03
HGML DOUBLE CKT
1.5MW
SINGLE CKT

FEEDER NO.1 SPARE

K02
DOUBLE CKT HGML FEEDER NO.2 K45, K46, K47, K48, K49, K50, K51
1.5MW
K28, K29, K30, K31, K32, K33, K34
FEEDER NO.1 SPARE K01 FEEDER NO.3 K35, K39, K40, K41
HGML
FEEDER NO.2 K45, K46, K47, K48, K49, K50, K51 1.5MW K23, K24, K25, K26, K27, K36, K37
FEEDER NO.4
K28, K29, K30, K31, K32, K33, K34
K38
FEEDER NO.3 K35, K39, K40, K41

FEEDER NO.4
K23, K24, K25, K26, K27, K36, K37 LOCATION WISE SWITCH YARDS AND HT LINE (33KV)
K38
W SAGARA
LOCATION WISE SWITCH YARDS AND HT LINE 33 SUZLON ENERGY LIMITED, CHITRADURGA
JOGIMATTI

SUZLON ENERGY LIMITED, CHITRADURGA

Prepared By
CHITRADURGA Prepared By
Drawing No: Srikanth, OMS, Chitradurga
Srikanth, OMS, Chitradurga
 OBSERVATIONS FOR 13 STATES

No of inputs No . Of predictions Time Mean of Real Mean of Predicted MAE MSE RMSE MAPE Accuracy
made Period Values Values

4.9855 4.6103 2.1654 7.2178 0.0846 95.959

51632 1008 7 days 5%

5.6750 2.1227 7.5033 0.0913

51632 900 6 days 4.9084 67.630 33%

4.7744 5.6750 1.9468 6.9469 0.0932

51632 800 5 days 62.923 38%

5.6750 2.4237 9.0264 0.1136

51632 700 4 days 4.8504 46.967 54%

4.9452 1.9214 6.1582 0.1013

51632 600 3 days 5.7163 35.943 65%

2.1053 8.2942 0.1697

51632 288 48 hours 5.1929 5.5946 40.772 60%

2.9047 0.1420 30.035

51632 144 24 hours 5.5735 5.2641 1.3386 70%

1.5278 3.8316 0.1957

51632 100 14 hours 5.2159 5.2202 24.116 76%
 OBSERVATIONS FOR 30 STATES
No of No . Of predictions made Time Mean of Real Mean of Predicted MAE MSE RMSE MAPE Accuracy
inputs Period Values Values

51632 1008 7 days 4.9707 5.4763 2.1738 8.8564 0.0937 104.02% 0%

51632 900 6 days 4.9084 5.0568 2.5525 9.3707 0.102 63.04% 37%

51632 800 5 days 4.77 4.844 2.2755 8.5656 0.1035 40.47% 60%

51632 700 4 days 4.8504 6.0156 1.7929 5.7967 0.091 38.99% 62%

51632 600 3 days 4.8763 4.7365 2.4624 8.8549 0.1215 42.86% 58%

51632 288 48 hours 5.1929 5.2792 1.6263 4.1262 0.1197 34.14% 66%

51632 144 24 hours 5.5735 4.2617 1.249 2.643 0.1355 21.82% 79%

51632 100 14 hours 5.2159 5.0033 1.3271 3.4552 0.1859 15.15% 85%
PLOTS

CASE 1 CASE 2
(1 WEEK ) (6 DAYS)

ACCURACY = 0% ACCURACY = 37%

 CASE 3 CASE 4
(5 DAYS) (4 DAYS)

ACCURACY = 60% ACCURACY = 62%

 CASE 5 CASE 6
(48 HOURS) (24 HOURS)

ACCURACY = 66% ACCURACY = 58%

CASE 7 (14 HOURS)

ACCURACY = 85%
13 STATES , 14 HOUR PREDICTION

ACCURACY = 76%
Conclusion
• Markov Chains are used for short term prediction, as they lose their
precision for long durations.

• Very helpful in filling up the gaps in time-series predictions.

• By using the 1st order transition matrix, we made a wind speed

forecast between 14-48hours.
Regression
Prediction of dependent variable when independent variable is known

We have considered,
Dependent variable : Wind Speed
Independent variable : Power Generated

What we have done so far :

Collection of Data
Implemented Linear Regression ( But variance was very low).
Planning on Implementation for Non-Linear Regression (Polynomial Order 3)
TIMELINE
DATE:20th JAN 16th FEB 17th FEB 28th FEB 1st MAR 15th MAR

MARKOV CHAIN REGRESSION TIME SERIES

COMPLETION %: 100 % 20% 0%

Flow of Markov Chain Flow of Regression

Collection of Data(Wind
Speed)
Implementation on
Matlab
Verification with
experimental values
Collection of Data(Wind
speed & Power
Generated)
Implementation on SPSS
Verification with
experimental values
References
• An introduction to Markov chains and their applications within finance, David Schön , Myers Lisa Wallin and
Petter Wikström

• The use of Markov chains in forecasting wind speed and applied case study ,
Ionut Alexandru Petre, Mihai Rebenciuc, Ștefan Cristian Ciucu.

• Markov chains and prediction , Devika Subramanian Comp 140 ,Fall 2008