Proceedings of the 15th International Middle East Power Systems Conference (MEPCON12), Alexandria University, Egypt, December 23-25,

2012, Paper ID 208.

Short Term Wind Power Forecasting Using Autoregressive Integrated Moving Average Modeling
A. Y. Abdelaziz1
almoatazabdelaziz@hotmail.com

M. Abdel Rahman1
m_abdel_rahmanca@yahoo.com

M. M. El-Khayat2
mohamed.elkhayat@yahoo.com

M. A. Hakim3
eng-hakim@live.com

1 Electrical Power and Machines Department, Faculty of Engineering, Ain Shams University, Cairo, Egypt 2 New and Renewable Energy Authority, NREA, Egypt 3 Cairo North Power Station, Cairo, Egypt
Abstract Wind energy is one of the most promising electricity generating sources as a clean and free alternate compared with the conventional power plants and due to the volatility feature in the wind speeds it will reflect some problems in power systems reliability particularly if the system is deeply penetrated by wind farms. Therefore, Wind power forecasting issue became and is still an important scope that will help in economic dispatch (ED), unit commitment (UC) purposes to get more reliable and economic systems. This paper introduces short term wind power forecasting model, based on autoregressive integrated moving average (ARIMA) which will be applied to hourly wind data from Zaafarana 5 project in Egypt. The proposed model successfully outperforms the persistence model with significant improvement up to 6 hours ahead. Index Terms Wind forecasting, time series analysis, ARMA, Box-Jenkins model

Since the issue of Wind Power Forecasting (WPF) arose, many researchers tried to get the State of the art of WPF techniques [2]. In fact, there are two forecasting approaches, physical based approach and Statistical approach [3], [4]. It is proven that to get the best performance, it is recommended to combine both approaches especially for higher than 8 hours ahead forecasting models. A. Physical approach This method is based on some physical considerations and how to use the physical differential equations which simulate the dynamics process of the atmosphere. Numerical weather prediction (NWP); which is the computer simulation of atmosphere process, is the primary source of data to the physical based forecasting models. NWP is basically formulated from the fundamental principles of physics (i.e. conservation of mass, momentum, and energy and the equation of state for the constituents of air). Numerical weather prediction most of time are taken at certain meteorological stations which arent adjacent to the farms and governed by some other authorities.

I. INTRODUCTION Due to the high penetration of wind farms in electricity markets and the global target of reaching 20% renewable energy share in markets by 2020. Successfully, wind power forecasting (WPF) approaches help many end-users like power producer, utilities, independent system operators (ISO) and transmission system operators (TSO). WPF issue became a challenging field which will serve in minimizing the spinning reserves and therefore minimizing Carbon dioxide emissions. Also, reliable forecasting techniques lead to reliable power system by achieving the best schedule between the plants for day ahead and even on the short term for economical dispatch problem. Recently, concerning the liberalized electricity markets, availability for accurate WPF models will significantly reduce the penalties imposed on such deviations in scheduling of power share of wind farms. Finally, Medium term WPF will contribute on generation and transmission maintenance scheduling. According to time scales studies [1], there are three time horizons for wind power forecasting. Very short term, short term and medium term wind power forecasting. Very short term is in the range of 0-6 hours which helps in economical dispatch purpose. Short term forecasting concerns very short term limit up to 72 hours ahead which is interesting in trading in day-ahead markets and unit commitment UC. Medium term forecasting is in the range of 3-10 days which is very helpful in maintenance scheduling for conventional and wind plants.

Fig. 1 physical based algorithm.

Downscaling is the second step in the model that will refine the data to the farm region taking terrain effects orography, roughness, obstacles) into considerations. The third step is the model output statistics which is a simple regression model used to correct the errors of data refinement. The last stage is to convert the refined speed data to the corresponding actual power by the power curves and some actual recordings for speed and corresponding output power. The sequence of physical approach is shown in Fig. 1. In Denmark, PREDIKTOR [5] was the first physical model introduced in 1993 by Lars Landberg, then at 2001 another model, Previento [6] developed by the energy meteorology research group in Oldenburg University, Germany while LocalPred-RegioPred [7] developed by CENER, the Spanish National Renewable Energy Center and other models were developed. Physical models advantage is that it outperforms the statistical methods for short and medium term WPF. The lack of knowledge about the terrains features is the problem of applying the physical based forecasting models. B. Statistical approach The statistical methods time series analysis concern extracting the dependency and the correlation between sequence of observations of a time series (TS) like wind speeds, directions and temperature. Algebraic curve fitting, extrapolation and Autoregressive moving average (ARMA) [8] models beat the benchmark of forecasting which is called The Persistence model. Another model is called the grey model (GM) [9], which is concerning transforming the time series into a new time series with less noise and randomness. Data decomposition is a way to overcome the nonstationarity of the wind speed time series which aims to analysis the data to different frequencies components to ease working with them. Wavelet transform (WT) and empirical mode decomposition (EMD) are examples of these analysis methods and they can be used like before any forecasting approach like EMD-ARMA [10] and EMD-ANN&WT-ANN [11]. Also, due to nonlinearity of the wind speed TS, it was better to use the artificial intelligence techniques like, artificial neural networks (ANN) [12], support vector machines (SVM) [13] and fuzzy system based models which can efficiently represent a nonlinear relation between variables through the training phase of the model. Recently, there is a trend towards hybrid methods that combine AI techniques with some evolutionary algorithms (EA) like genetic algorithm (GA) and particle swarm optimization (PSO) which simulates some biological processes belong to the human beings and the nature of some swarms life like birds, bees and cats. These optimization techniques optimize the fitness function by selecting the optimal parameters for AI models like hybrid artificial neural network and enhanced particle swarm optimization (ANN-EPSO) [14] method and simulate anneal algorithm with support vector machine (SA-SVM) [15]. Another way of combining two different AI techniques like combining neuro-fuzzy and ANN [16] and adaptive neural fuzzy inference system (ANFIS) [17] which is a combination

between neural network and fuzzy inference system. Statistical methods are easy to be implemented and give very good results over the first 4-6 hours ahead, so it can help in economical dispatch (ED) and unit commitment (UC) purposes. As a literature review for Autoregressive moving average ARMA applications in wind power forecasting, Kavasseri and seetharaman [18] used the fractional ARIMA model for wind power prediction up to 48 hours ahead. Schwartz and Milligan [19] used many ARMA models for two wind farms in Minnesota and Lowa for time horizon up to 6 hours ahead and they concluded that the performance of the models depends on the training period. J.L. Torres et al. [20] used ARMA model to forecast the hourly average wind speed time series in five different locations with different characteristics and the improvement reaches 20% as compared with persistence. Shan Gao et al. [21] used autoregressive conditional heteroscedasticity ARMA-ARCH which achieved higher accuracy than ARMA. S. Rajagopalan et al. [22] also used the ARMA model to show its good performance and studied the relationship between the forecast accuracy and the wind power variability. II. AUTOREGRESSIVE INTEGRATED MOVING AVERAGE Box and Jenkins introduced this time series analysis model in 1970 [23], which is called autoregressive moving average. As in (1), the model can predict future values of time series variable by the linear regression between set of consecutive observations from the time series. The general form of the model is ARMA(p,q). Such that P is the order of the autoregressive part which indicates the number of lagged variables on the relation, and q is the order of moving average part which indicates the number of white noises, which are independent identically distributed random variables iid(0,2).
p q

X t = a j X t j + bk et k
j =1 k =0

(1)

The model may contain autoregressive part only AR(P), moving average part only MA(q) or both autoregressive and moving average parts ARMA(p,q).If the time series achieves the constant mean over any time interval and has rapidly decreasing autocorrelation factor so ARMA(p, q) model will be adequate for modeling. Otherwise, we will need a type of transformation that converts the data to the stationarity. This will be achieved by differencing the time series which results a new part in the model, the integration part. So the new form of the model will be ARIMA(p,d,q) where d order is the number of differencing times. The unit root rule will be used to check the need for differencing by finding the roots of the autoregressive and moving average polynomials. So, the time series will be differenced, as in (2), for achieving stationarity.

Yt = X t X t 1

(2)

Such that Xt is the original time series and Yt is the new differenced time series for the order d=1, since it is differenced only one time. The d=1, 2 are the most common number of differencing needed to achieve the stationarity in the time series. A. Identification The first step is to determine the system orders ARIMA(p,d,q). p and q orders are determined from visual inspection of the autocorrelation function (ACF) and partial autocorrelation function (PACF) plot. Once we got the plot, by following some criteria we can know the approximate model to fit either AR(p), MA(q) or ARMA(p, q). 1) If ACF dies down gradually and PACF has significant spikes at lags 1, 2,, p, so AR(p) will fit the process. 2) If PACF dies down gradually and ACF has significant spikes at lags 1, 2,, q so MA(q) will fit the process. 3) If both die down gradually, we fit an ARMA(p, q) and we can increase p, q to get an adequate model. An aid is introduced to help in identifying the model order using automated iterations and by using the goodness-of-fit criterion to compare between different structures, like the Akaike Information Criterion (AIC). Equation (3) shows the criterion to be minimized:

2 AIC = {ln(likelihood ) + l} T

(3)

Here l is the number of parameters and T the number of data values. B. Estimation The parameters are estimated by the prediction error/ maximum likelihood estimate (MLE). Such method uses the probability distribution function by describing the observations as realizations of stochastic variables. Likelihood function, L(|z), is the objective function to be optimized, such that is the variable vector which will correspond to the model parameters to be estimated aj, bk and z is the fixed sample of N observations. It is convenient to work with log likelihood ln[L(|z)] and the parameters that maximize the log-likelihood function will be called maximum likelihood (ML) estimates. C. Diagnostic check Model verification is an important step which will check the randomness of the residuals and for an appropriate model; it should be normally independently distributed with values not significantly greater than the confidence interval. If the model doesn't fit we should re-identify the model through the principle of parsimony, which denotes that the simplest model is the best one, the model with least number of parameters and successfully describes the data. Fig. 2 shows brief flowchart about the modeling sequence.

Fig. 2 ARMA modeling algorithm. III. EVALUATION ANALYSIS AND RESULTS The data used in this paper is the hourly averaged wind speed time series recorded from February to April 2007 from Zaafarana 5 project in Egypt, such project consists of 100 wind turbines. Each turbine is Gamesa G52 model of 850 KW rated power. The data are applied to the model for testing and checking the goodness of applying ARMA model on it. System identification toolbox in MATLAB is used for modeling [24] as set of m-files. Since the wind power is a function of the cube of the wind speeds, it is better to simulate the correlations on the wind speed time series than on the wind power time series to avoid error accumulation. After then the forecasted values are subjected to the power model or power curve to get the forecasted output power. The turbine power curve will be depicted in Fig. 3.

Wind speed m/s

Fig. 3 Power curve By trying many sizes of training patterns, it was convenient to train the model with four days, hourly based time series, wind speed time series (96 hours) and the model is tested for the next 10 hours. The ARMA model results will be compared with the benchmark model results. The benchmark is the persistence model, as shown in (4), is popularly called "What-you-see-iswhat-you-get" where the look ahead value of the wind power equals the current value. (4) P (t + l ) = P (t ) where P(t) is the power at time t and l is the look ahead time. There are many indices for measuring the goodness of the forecasting approaches like mean absolute error (MAE), mean absolute percentage error (MAPE), root mean square error (RMSE) and normalized root mean square error (NRMSE). The models will be compared using the following indices below. A. Mean Absolute percentage error It indicates the percentage of the absolute error from the real actual value which to be predicted. Equation (5) shows the MAPE criterion.

The next plots will depict results for ARMA model compared with the Persistence reference model. ARMA model achieved significant small errors compared with Persistence model results specifically at higher hours ahead. It is clear that the gap between two models errors increases as look-ahead time increases as shown in Fig. 4 in February results, so ARMA model here is preferable from two hours ahead and above. It is depicted that at six hours ahead the MAPE-ARMA is 32.37% when MAPE-PERS. is 66.57% There is something strange should be mentioned which is the ARMA model MAPE is slowly decreases over time not increases as usual. Fig. 5 shows March patterns test where ARMA showed very good improvement especially at four hours ahead where MAPE-ARMA is 48.96% and MAPE-PERS. is 100%. Also Fig. 6 for April results shows an equal MAPE for both models at one hour ahead and small ARMA errors at higher hours ahead compared with Persistence model where at six hours ahead the MAPE-ARMA is 19.79% and the MAPEPERS. is 53.32%.

Wind power KW

% MAPE evaluation

Hours ahead

Fig. 4 February patterns MAPE evaluation

1 MAPE = N

t =1

) Pt + h Pt + h Pt + h

(5)

where h is the predicted time horizon; Pt+h is the predicted wind power; and Pt+h is the actual wind power at that time. B. Improvement skill It compares the performance of various methods and specifies the gain resulting from preferring certain technique over another one as shown in (6). It is also called the skill score.
ref IMPEC (k ) =

EvC kref EvC k 100% EvC kref

(6)
Hours ahead

where EvC can be either MAE, RMSE or MAPE; EvCrefk is the error of the reference model; and EvCk is the error of the proposed model.

% MAPE evaluation

Fig. 5 March patterns MAPE evaluation

ACKNOWLEDGMENT Authors acknowledge the data support from New and Renewable Energy Authority (NREA) in Egypt. REFERENCES
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Hours ahead

Fig. 6 April patterns MAPE evaluation

% Improvement Skill

Hours ahead

Fig. 7 February patterns MAPE evaluation The improvement skills which are calculated for the three months patterns are shown in Fig. 7. It is noticed that at one hour ahead the improvement is negative and maybe using the Persistence is the best choice, but at longer time ahead the ARMA model outperforms the Persistence and the skill increases in a good way for much more hours ahead. Randomly, the maximum improvement skill reached in February patterns is 51.91%, 50.49% in March patterns and finally 57.28% in April patterns. IV. CONCLUSION AND FUTURE WORK In this paper, an ARMA model is presented for wind power forecasting and is compared with the reference persistence model. Results and it is proved that ARMA model achieved very high improvement over the Persistence model up to five and six hours ahead. As a future work, it is preferable to try Hybrid methods with Artificial Intelligence Techniques as they can deal with the nonlinearity of the time series better than linear statistical approaches and can successfully extract the relationship between values through the training and learning phase.

[20] L. Torres, A. Garca, M. De Blas and A. De Francisco, Forecast of hourly average wind speed with ARMA model in Navarre (Spain),Solar Energy, vol. 79, Issue 1, Pp 65-77, July 2005. [21] Shan Gao, Yu He, Wind Speed Forecast for Wind Farms Based on ARMA-ARCH Model, in Proceedings of International Conference of Sustainable Power Generation and Supply, SUPERGEN'09, 2009. [22] S. Rajagopalan, S. Santoso, Wind Power Forecasting and Error Analysis using the Autoregressive Moving Average Modeling, Proceedings of the IEEE Power & Energy Society General Meeting, 2009. [23] J. E. P. Box, and G. M. Jenkins, Times Series Analysis, Forecasting and Control, Holden-Day, San Francisco. [24] Lennart Ljung, System Identification Toolbox," For Use with MATLAB.