Relative evaluation of probabilistic methods for spatio-temporal wind forecasting

Short-term wind power forecasting has become a de facto tool to better facilitate the integration of such renewable energy resources into modern power grids. Instead of point predictors, which produce single-value predictions for the expected power, probabilistic forecasts predict probability distributions over the expected power output or associated confidence intervals. In this study, three different parametric and non-parametric methods for uncertainty modelling in wind power forecasting were studied, namely quantile regression (QR), variational inference and a maximum likelihood estimation (MLE) method. Johnson’s SU distribution was studied as a novel candidate for modelling wind power, which is a transformed normal distribution that exhibits both skew and heavy tails. This was one of the first studies to provide a thorough investigation of Johnson’s SU distribution for uncertainty modelling in a complex deep learning framework for wind forecasting. It was found that Johsnon’s SU likelihood and QR-based models significantly outperformed models using Gaussian likelihoods, based on a range of quantitative metrics to evaluate probability distributions and qualitative investigation of produced forecasts. Variational inference models using Johnson’s SU likelihoods performed remarkably well, with near-perfect calibration and higher precision than models using any of the other methods for uncertainty modelling, as evaluated through the pinball loss, Average Coverage Error (ACE) and Prediction Interval Coverage Percentage (PICP) metric. With the superior performance of Johnson’s SU likelihood models, the study mainly contributes to the literature by introducing another candidate distribution for probabilistic wind forecasting, which is analytical, unbounded and easy to integrate into modern deep learning frameworks. •Evaluation of different methods for uncertainty modelling of wind.•Johnson’s SU distribution for probabilistic wind power forecasting.•Probabilistic wind forecasting using a complex spatio-temporal framework.•Variational Inference with Johnson’s SU likelihood outperformed other methods.