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arXiv 1003.0996stat.APphysics.ao-phstat.ME
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多步密度预测方法及其在风力发电中的应用

Approaches for multi-step density forecasts with application to aggregated wind power

Ada Lau, Patrick McSharry

摘要:

非高斯数据的多步密度预测的生成主要依赖于计算密集的蒙特卡罗模拟。利用爱尔兰的风电场,我们研究了两种多步密度预测方法,这种方法可以从简单的迭代中获得,从而避免了密集的计算。在第一种方法中,我们应用逻辑变换来近似地规范化数据,并使用ARIMA-GARCH模型来描述变换后的数据,以便可以容易地迭代多步预测。在第二种方法中,我们用截断的正态分布来描述预测密度,该分布由两个参数,即条件均值和条件方差决定。我们采用指数平滑法同时预测这两个参数。由于指数平滑的基础模型是高斯模型,我们能够通过简单的迭代获得参数的多步预测,从而生成截断正态分布的预测密度。我们提前15分钟到24小时生成风力发电预测。结果表明,第一种方法产生更好的预测,并略优于第二种方法在各种适当的分数。尽管如此,第二种方法在计算上更有效,并且在不同长度的训练数据下给出更稳健的结果。它还提供了一个有吸引力的替代方法,因为人们可以选择一个特定的参数密度的预测,是有价值的,当没有明显的转换来规范化的数据。

英文摘要:

The generation of multi-step density forecasts for non-Gaussian data mostly relies on Monte Carlo simulations which are computationally intensive. Using aggregated wind power in Ireland, we study two approaches of multi-step density forecasts which can be obtained from simple iterations so that intensive computations are avoided. In the first approach, we apply a logistic transformation to normalize the data approximately and describe the transformed data using ARIMA--GARCH models so that multi-step forecasts can be iterated easily. In the second approach, we describe the forecast densities by truncated normal distributions which are governed by two parameters, namely, the conditional mean and conditional variance. We apply exponential smoothing methods to forecast the two parameters simultaneously. Since the underlying model of exponential smoothing is Gaussian, we are able to obtain multi-step forecasts of the parameters by simple iterations and thus generate forecast densities as truncated normal distributions. We generate forecasts for wind power from 15 minutes to 24 hours ahead. Results show that the first approach generates superior forecasts and slightly outperforms the second approach under various proper scores. Nevertheless, the second approach is computationally more efficient and gives more robust results under different lengths of training data. It also provides an attractive alternative approach since one is allowed to choose a particular parametric density for the forecasts, and is valuable when there are no obvious transformations to normalize the data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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