Large-scale probabilistic forecasting in energy systems using sparse Gaussian conditional random fields

Short-term forecasting is a ubiquitous practice in a wide range of energy systems, including forecasting demand, renewable generation, and electricity pricing. Although it is known that probabilistic forecasts (which give a distribution over possible future outcomes) can improve planning and control, many forecasting systems in practice are just used as “point forecast” tools, as it is challenging to represent high-dimensional non-Gaussian distributions over multiple spatial and temporal points. In this paper, we apply a recently-proposed algorithm for modeling high-dimensional conditional Gaussian distributions to forecasting wind power and extend it to the non-Gaussian case using the copula transform. On a wind power forecasting task, we show that this probabilistic model greatly outperforms other methods on the task of accurately modeling potential distributions of power (as would be necessary in a stochastic dispatch problem, for example).