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Seamless intra-day and day-ahead multivariate probabilistic forecasts at high temporal resolution

Abstract : High temporal resolution intra-day and day-ahead photovoltaic (PV) power forecasts are important to maximize the value of PV systems because they enable stakeholders to participate in both the energy and ancillary services markets. Whereas most day-ahead electricity markets feature an hourly temporal resolution, intra-day markets may require forecasts at 5-minute resolution. In addition, battery integration can improve power system management in isolated grids with high PV power penetration, but battery control requires high temporal resolution forecasts. We propose an efficient method based on pattern matching to generate multivariate probabilistic forecasts, approximated by trajectories, at high temporal resolution and without the need to separately forecast the marginals and estimate the covariance matrix. We compare the proposed method against quantile regression forests in combination with copula theory and show that our method reduces the forecast time by approximately 98% and simplifies the modeling chain while incurring a minor performance penalty.
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https://hal-mines-paristech.archives-ouvertes.fr/hal-03638925
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Submitted on : Tuesday, April 12, 2022 - 2:13:39 PM
Last modification on : Saturday, July 9, 2022 - 3:16:51 AM
Long-term archiving on: : Wednesday, July 13, 2022 - 7:03:36 PM

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Dennis van Der Meer, Simon Camal, Georges Kariniotakis. Seamless intra-day and day-ahead multivariate probabilistic forecasts at high temporal resolution. 17th International Conference on Probabilistic Methods Applied to Power Systems, PMAPS 2022, Jun 2022, Manchester - Online, United Kingdom. ⟨10.1109/PMAPS53380.2022.9810606⟩. ⟨hal-03638925⟩

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