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Minimizing asymmetric loss in medium-term wind power forecasting

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  • Croonenbroeck, Carsten
  • Stadtmann, Georg

Abstract

In this article we propose a new wind power forecasting model that does not focus on providing the most precise forecasts, but minimizes the financial loss of forecasting impreciseness. We show that the loss function is asymmetric and therefore account for asymmetry during the estimation stage of our model. The new model's forecasts are compared to two state-of-the-Art models and we are able to show that the new model can increase the financial profit for power producers, power traders and/or network operators by a severe degree.

Suggested Citation

  • Croonenbroeck, Carsten & Stadtmann, Georg, 2015. "Minimizing asymmetric loss in medium-term wind power forecasting," Renewable Energy, Elsevier, vol. 81(C), pages 197-208.
    • Handle: RePEc:eee:renene:v:81:y:2015:i:c:p:197-208
    DOI: 10.1016/j.renene.2015.03.049
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    References listed on IDEAS

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    1. Croonenbroeck, Carsten & Møller Dahl, Christian, 2014. "Accurate medium-term wind power forecasting in a censored classification framework," Discussion Papers 351, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    2. P. Pinson, 2012. "Very-short-term probabilistic forecasting of wind power with generalized logit–normal distributions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 61(4), pages 555-576, August.
    3. Croonenbroeck, Carsten & Dahl, Christian Møller, 2014. "Accurate medium-term wind power forecasting in a censored classification framework," Energy, Elsevier, vol. 73(C), pages 221-232.
    4. Lei, Ma & Shiyan, Luan & Chuanwen, Jiang & Hongling, Liu & Yan, Zhang, 2009. "A review on the forecasting of wind speed and generated power," Renewable and Sustainable Energy Reviews, Elsevier, vol. 13(4), pages 915-920, May.
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    6. Holttinen, H., 2005. "Optimal electricity market for wind power," Energy Policy, Elsevier, vol. 33(16), pages 2052-2063, November.
    7. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-146, January.
    8. Hering, Amanda S. & Genton, Marc G., 2010. "Powering Up With Space-Time Wind Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 105(489), pages 92-104.
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    Cited by:

    1. Chinmoy, Lakshmi & Iniyan, S. & Goic, Ranko, 2019. "Modeling wind power investments, policies and social benefits for deregulated electricity market – A review," Applied Energy, Elsevier, vol. 242(C), pages 364-377.
    2. Dong, Qingli & Sun, Yuhuan & Li, Peizhi, 2017. "A novel forecasting model based on a hybrid processing strategy and an optimized local linear fuzzy neural network to make wind power forecasting: A case study of wind farms in China," Renewable Energy, Elsevier, vol. 102(PA), pages 241-257.
    3. Ziel, Florian & Croonenbroeck, Carsten & Ambach, Daniel, 2016. "Forecasting wind power – Modeling periodic and non-linear effects under conditional heteroscedasticity," Applied Energy, Elsevier, vol. 177(C), pages 285-297.
    4. Zhongrong Zhang & Yiliao Song & Feng Liu & Jinpeng Liu, 2016. "Daily Average Wind Power Interval Forecasts Based on an Optimal Adaptive-Network-Based Fuzzy Inference System and Singular Spectrum Analysis," Sustainability, MDPI, vol. 8(2), pages 1-30, January.
    5. Croonenbroeck, Carsten & Hüttel, Silke, 2017. "Quantifying the economic efficiency impact of inaccurate renewable energy price forecasts," Energy, Elsevier, vol. 134(C), pages 767-774.
    6. Wu, Jinran & Wang, You-Gan & Tian, Yu-Chu & Burrage, Kevin & Cao, Taoyun, 2021. "Support vector regression with asymmetric loss for optimal electric load forecasting," Energy, Elsevier, vol. 223(C).

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