IDEAS home Printed from https://ideas.repec.org/a/wly/jforec/v43y2024i7p2434-2447.html
   My bibliography  Save this article

Prediction of wind energy with the use of tensor‐train based higher order dynamic mode decomposition

Author

Listed:
  • Keren Li
  • Sergey Utyuzhnikov

Abstract

As the international energy market pays more and more attention to the development of clean energy, wind power is gradually attracting the attention of various countries. Wind power is a sustainable and environmentally friendly resource of energy. However, it is unstable. Therefore, it is important to develop algorithms for its prediction. In this paper, we apply a recently developed algorithm that effectively combines the tensor train decomposition with the higher order dynamic mode decomposition (TT‐HODMD). The dynamic mode decomposition (DMD) is a data‐driven technique that does not need a prior mathematical model. It is based on the measurement data or time slots. As demonstrated, for prediction it is important to use the higher order DMD (HODMD). In turn, HODMD might lead to very large scale arrays that are sparse. The tensor train decomposition provides a highly efficient way to work with such arrays. It is demonstrated that the combined TT‐HODMD algorithm is capable of providing quite accurate prediction of wind power for months ahead.

Suggested Citation

  • Keren Li & Sergey Utyuzhnikov, 2024. "Prediction of wind energy with the use of tensor‐train based higher order dynamic mode decomposition," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2434-2447, November.
  • Handle: RePEc:wly:jforec:v:43:y:2024:i:7:p:2434-2447
    DOI: 10.1002/for.3126
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/for.3126
    Download Restriction: no

    File URL: https://libkey.io/10.1002/for.3126?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Shahram Hanifi & Xiaolei Liu & Zi Lin & Saeid Lotfian, 2020. "A Critical Review of Wind Power Forecasting Methods—Past, Present and Future," Energies, MDPI, vol. 13(15), pages 1-24, July.
    2. Bergmeir, Christoph & Hyndman, Rob J. & Benítez, José M., 2016. "Bagging exponential smoothing methods using STL decomposition and Box–Cox transformation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 303-312.
    3. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    4. Keren Li & Sergey Utyuzhnikov, 2023. "Tensor Train-Based Higher-Order Dynamic Mode Decomposition for Dynamical Systems," Mathematics, MDPI, vol. 11(8), pages 1-14, April.
    5. Sovacool, Benjamin K., 2009. "The intermittency of wind, solar, and renewable electricity generators: Technical barrier or rhetorical excuse?," Utilities Policy, Elsevier, vol. 17(3-4), pages 288-296, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    2. Nikolai Leonenko & Ludmila Sakhno, 2001. "On the Kaplan–Meier Estimator of Long-Range Dependent Sequences," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 17-40, January.
    3. Lahmiri, Salim & Bekiros, Stelios, 2017. "Disturbances and complexity in volatility time series," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 38-42.
    4. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
    5. Liu, Xiaolei & Lin, Zi & Feng, Ziming, 2021. "Short-term offshore wind speed forecast by seasonal ARIMA - A comparison against GRU and LSTM," Energy, Elsevier, vol. 227(C).
    6. Angelidis, Dimitrios & Koulakiotis Athanasios & Kiohos Apostolos, 2018. "Feedback Trading Strategies: The Case of Greece and Cyprus," South East European Journal of Economics and Business, Sciendo, vol. 13(1), pages 93-99, June.
    7. Jinquan Liu & Tingguo Zheng & Jianli Sui, 2008. "Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty," Psychometrika, Springer;The Psychometric Society, vol. 3(2), pages 240-254, June.
    8. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    9. Fajardo, José & Farias, Aquiles, 2004. "Generalized Hyperbolic Distributions and Brazilian Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
    10. Thomas Theobald, 2015. "Agent-based risk management – a regulatory approach to financial markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 780-820, October.
    11. Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
    12. Dutta, Shantanu & Essaddam, Naceur & Kumar, Vinod & Saadi, Samir, 2017. "How does electronic trading affect efficiency of stock market and conditional volatility? Evidence from Toronto Stock Exchange," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 867-877.
    13. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
    14. Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010. "Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 460-470, June.
    15. Ra l De Jes s Guti rrez & Lidia E. Carvajal Guti rrez & Oswaldo Garcia Salgado, 2023. "Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 467-480, July.
    16. Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
    17. Leopoldo Catania & Stefano Grassi, 2017. "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper 417, Tor Vergata University, CEIS, revised 11 Dec 2017.
    18. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
    19. William Miles, 2011. "Long-Range Dependence in U.S. Home Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 329-347, April.
    20. Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jforec:v:43:y:2024:i:7:p:2434-2447. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.