Yoshito Hirata, Shunsuke Horai, Kazuhiko Ogimoto, Kazuyuki Aihara (Institute of Industrial Science, The University of Tokyo) and José María Amigó (Universidad Miguel Hernández de Elche)
Abstract: To the best of our knowledge, the method of prediction coordinates is the only forecasting method in nonlinear time series analysis that explicitly uses the stochastic characteristics of a system with dynamical noise. Specifically, it generates multiple predictions to jointly infer the current states and dynamical noises. Recent findings based on hypothesis testing show that weather is nonlinear and stochastic and, therefore, so are renewable energy power outputs. This being the case, in this paper, we apply the method of prediction coordinates to forecast wind power ramps, which are rapid transitions in the wind power output that can deteriorate the quality of the electricity supply. First, the method of prediction coordinates is tested using numerical simulations. Then, we present an example of wind power ramp forecasting with empirical data. The results show that the method of prediction coordinates compares favorably with other methods, validating it as a reliable tool for forecasting transitions in nonlinear stochastic dynamics, particularly in the field of renewable energies.