Online adaptive lasso estimation in vector autoregressive models for high dimensional wind power forecasting

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Wind power forecasts with lead times of up to a few hours are essential to the optimal and economical operation of power systems and markets. Vector autoregression (VAR) is a framework that has been shown to be well suited to predicting for several wind farms simultaneously by considering the spatio-temporal dependencies in their time series. Lasso penalisation yields sparse models and can avoid overfitting the large numbers of coefficients in higher dimensional settings. However, estimation in VAR models usually does not account for changes in the spatio-temporal wind power dynamics that are related to factors such as seasons or wind farm setup changes, for example. This paper tackles this problem by proposing a time-adaptive lasso estimator and an efficient coordinate descent algorithm for updating the VAR model parameters recursively online. The approach shows good abilities to track changes in the multivariate time series dynamics on simulated data. Furthermore, in two case studies it shows clearly better predictive performances than the non-adaptive lasso VAR and univariate autoregression.

Original languageEnglish
JournalInternational Journal of Forecasting
Volume35
Issue number4
Pages (from-to)1485-1498
ISSN0169-2070
DOIs
Publication statusPublished - 1 Oct 2019
CitationsWeb of Science® Times Cited: No match on DOI

    Research areas

  • Energy forecasting, Model selection, Multivariate time series

ID: 194871478