Modeling of the wind power forecast errors and associated optimal storage strategy

Production forecast errors are the main hurdle to integrate variable renewable energies into electrical power systems. Regardless of the technique, these errors are inherent in the forecast exercise, although their magnitude significantly vary depending on the method and the horizon. As power systems have to balance out these errors, their dynamic and stochastic modeling is valuable for the real time operation. This study proposes a Markov Switching Auto Regressive-MS-AR-approach. The strength of such a model is to be able to identify weather types according to the reliability of the forecast. These types are captured with a hidden state whose evolution is controlled by a transition matrix. The autocorrelation and variance parameters of the AR models are then different from one state to another. After having validated its statistical relevance, this model is used to solve the problem of the optimal management of a storage associated with a wind power plant when this virtual power plant must respect a production commitment. The resolution is carried out by stochastic dynamic programming while comparing the proposed MS-AR with several other models of forecast errors. This illustrative problem highlights the improvements made by a fine modeling of forecast errors