Wind energy forecasting with missing values within a fully conditional specification framework

Wind power forecasting is essential to power system operation and electricity markets. As abundant data became available thanks to the deployment of measurement infrastructures and the democratization of meteorological modeling, extensive data-driven approaches have been developed within both point and probabilistic forecasting frameworks. These models usually assume that the dataset at hand is complete and overlook missing value issues that often occur in practice. In contrast to that common approach, we here rigorously consider the wind power forecasting problem in the presence of missing values, by jointly accommodating imputation and forecasting tasks. Our approach can infer the joint distribution of input features and target variables at the model estimation stage based on incomplete observations only. We place emphasis on a fully conditional specification method, owing to its desirable properties, e.g., being assumption-free when it comes to these joint distributions. Then, at the operational forecasting stage, with available features at hand, one can issue forecasts by implicitly imputing all missing entries. The approach is applicable to both point and probabilistic forecasting, while yielding competitive forecast quality in both simulated and real-world case studies. The results confirm that by using a powerful universal imputation method based on a fully conditional specification, the proposed universal imputation approach is superior to the common impute-then-predict approach, especially in the context of probabilistic forecasting.