Probabilistic forecasting of wind power at the minute time-scale with Markov-switching autoregressive models

Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed.