Load and Wind Power Scenario Generation Through the Generalized Dynamic Factor Model

Load and wind power scenarios are synthesized through the generalized dynamic factor model (GDFM), which represents the load and wind power as the sum of a periodic component, idiosyncratic noise component, and common component, where the GDFM preserves the correlation structure between load and wind. The common component consists of the dynamic shock, which is white noise, and the matrix polynomial, which represents the temporal and geographical correlation between load and wind power. Since the dimension of dynamic shocks is less than that of actual load and wind power, the GDFM requires fewer dimensions and variables than multivariate time series models. Scenarios are verified through statistical, spectral density, and correlation analysis. The usefulness of scenarios is also verified by calculating the total generation and transmission upgrade costs on the IEEE 300-bus benchmark. Using correlated scenarios results in higher generation and upgrade costs than using uncorrelated or weakly correlated scenarios. Therefore, correlated scenarios should be used in order to more accurately estimate power system planning costs.