Spatiotemporal wind forecasting by learning a hierarchically sparse inverse covariance matrix using wind directions

Yin Liu, Sam Davanloo Tajbakhsh and Antonio J. Conejo

International Journal of Forecasting, 2021, vol. 37, issue 2, 812-824

Abstract: Given the advances in online data acquisition systems, statistical learning models are increasingly used to forecast wind speed. In electricity markets, wind farm production forecasts are needed for the day-ahead, intra-day, and real-time markets. In this work, we use a spatiotemporal model that leverages wind dynamics to forecast wind speed. Using a priori knowledge of the wind direction, we propose a maximum likelihood estimate of the inverse covariance matrix regularized with a hierarchical sparsity-inducing penalty. The resulting inverse covariance estimate not only exhibits the benefits of a sparse estimator, but also enables meaningful sparse structures by considering wind direction. A proximal method is used to solve the underlying optimization problem. The proposed methodology is used to forecast six-hour-ahead wind speeds in 20-minute time intervals for a case study in Texas. We compare our method with a number of other statistical methods. Prediction performance measures and the Diebold–Mariano test show the potential of the proposed method, specifically when reasonably accurate estimates of the wind directions are available.

Keywords: Spatio-temporal prediction; Hierarchical sparsity structure; Covariance selection; Nonsmooth optimization; Proximal map (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:37:y:2021:i:2:p:812-824

DOI: 10.1016/j.ijforecast.2020.09.009

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