An overview of wind power forecast types and
their use in large-scale integration of wind power
Henrik Aalborg Nielsen∗, Torben Skov Nielsen∗, Henrik Madsen†
∗ ENFORA/S, Lyngsø Allé 3, DK-2970 Hørslholm, Denmark
† Technical University of Denmark, Informatics and Mathematical Modelling, DK-2800 Kgs. Lyngby, Denmark
Abstract— Wind power forecast characteristics are described
and it is shown how analyses of actual decision problems can
be used to derive the forecast characteristics important in a
given situation. Generally, characteristics related to resolution
in space and time, together with the required maximal forecast
horizon are easily identified. However, identification of forecast
characteristics required for optimal decision support requires a
more thorough investigation, which is illustrated by examples.
Generally, quantile forecasts of the future wind power
production are required, but the transformation of a quantile
forecast into an actual decision is highly dependent on the pre-
cise formulation of the decision problem. Furthermore, when
consequences of neighbouring time steps interact, quantile
forecasts are not sufficient. It is argued that a general solution
in such cases is to base the decision on reliable scenarios of the
future wind power production.
Index Terms–Wind power, prediction, forecasting,
probabilistic forecast, ensemble forecast, scenarios.
I. I NTRODUCTION
As the installed wind power production capacity in-
creases, so do the challenges related to efficient integration of
the wind power into the overall power system. Naturally, one
of the main challenges is related to the erratic nature of wind
power production. Given a market structure which facilitates
integration of wind power, owners and operators of wind
farms experience the erratic behaivour by having to place a
production bid, e.g. one day ahead, and then having to pay
an imbalance cost when actual production and bid differ.
Often intra-day markets can be used by the owner/operator
to influence the imbalance cost.
In order to identify the optimal bid, it is natural that the
wind power owner/operator considers the consequences of
forecast errors and possibly deviates from bidding according
to a standard forecast. This paper exemplifies how analyses
of actual decision problems can be used to derive optimal
bids for a given market structure or a given contract. Also,
ramp forecasting and buffering of wind power production by
varying e.g. hydro power production are considered.
The paper starts out with a brief introduction to wind
power forecasting in Section II, followed by an overview of
forecast characteristics in Section III. Section IV deals with
selection of statistical forecast characteristics and exemplifies
how an analysis of the decision problem can be used to
specify a forecast tailored to the actual decision problem.
Finally, in Section V we conclude on the paper.
II. W IND P OWER F ORECASTING
Over the past couple of decades, wind power forecasting
has been studied by numerous research teams [1]. Tradi-
tionally, the approaches used have been split into two; phys-
ical and statistical modelling. Where the physical approach
utilises detailed information and deterministic modelling,
the statistical modelling approach relies on estimating the
relations directly from data. In reality it is possible to mix
the two approaches. For instance in WPPT (Wind Power
Prediction Tool) [2] a deterministic park power curve may
be used as the initial estimate, which will then be updated,
locally for wind speed and direction, as new data becomes
available. This has the benefit of relying on physical mod-
elling where/when data is sparse and relying on actual data
where data is more dense. Statistical modelling also allows
the system to correct for e.g. scale, offset, and diurnal bias
in the meteorological forecasts.
For basic operation, the wind power forecast consists of a
single value for each time point in the future. Naturally, this
should be as precise as possible and the forecast delivery
should be reliable. To achieve these goals the forecasting
system should use state-of-the-art numerical weather predic-
tion (NWP) together with measurements of actual production
from the wind farm or region considered and state-of-the-
art statistical processing of these data. If available, such a
system can further benefit from measurements of availability
and curtailment, together with forecasts hereof.
In [3] a number of wind power point forecast mod-
els/methods are compared for a number of European sites. It
is notable how much the performance varies between sites,
and this illustrates that comparison of wind power forecast
performance across sites is problematic. Also, since wind
conditions often vary with the season a comparison of wind
power forecast models should preferably be based on the
exact same data. Naturally, the period used in the comparison
should be of an appropriate length. See also [4].
In order to increase wind power prediction performance
an additional NWP provider can be used, together with op-
timal combined forecasting [5]. This has the further benefit
of increasing the reliability of forecast delivery. Also, if
online measurements are available, autoregressive terms can
be used to improve the performance markedly for the shortest
horizons, say, up to 12 hours [6]. Finally, using information
from nearby sites, the spatio-temporal correlation structure
of the forecast errors across sites can be used to further
improve the performance [7], [8].
Figure 1 shows a sketch of a general WPPT setup and
illustrates the data flow. Generally, the illustration is valid for
all types of output, from point forecasts to more advanced
probabilistic forecasts and scenarios, as considered later in
this paper.

Fig. 1. Sketch of a general WPPT setup for wind farms / regions. Optional
items are shown in parentheses. Given that measurements arrive online with
a small time delay, WPPT will use the observed auto correlation to adjust
the forecasts from the internal farm/region power curve model. Also, using
online measurements spatio-temporal correlation can be used to adjust the
forecasts for the short horizons. Finally, for regional forecasting, online
measurements are often not available for the full installed capacity in the
region. In such cases an upscaling model based on online data and batch-
wise measurements corresponding to the full production is used.
III. F ORECAST C HARACTERISTICS
Wind power forecast characteristics include resolution in
time and space, update frequency, and horizon, together with
the actual statistical characteristics forecasted. Resolution in
time and space, together with the horizon and update fre-
quency, often directly follow from the requirements specified
by the users of the forecasts.
A. Horizon, Resolution in Space and Time, and Update
Frequency
While the output resolutions in time and space are often
posed as requirements by the forecast user, these do not
dictate the resolution used at the modelling stage. As an
example, consider a forecast user who requires a forecast
of the total wind power production at day-ahead level in a
large region where numerous small and large wind farms
are distributed. Furthermore, due to the database setup, the
required time resolution is, say, 10 minutes.
In order to obtain the best possible forecasts it may not
be optimal to run the forecasting system directly at the
coarse spatial resolution and the rather fine temporal res-
olution. Often, better results will be obtained by considering
smaller regions and larger time steps. The results can then
be interpolated in time and summed over sub-regions in
order to achieve the required output resolution in time and
space. Based on a historic dataset consisting of production
measurements and meteorological forecasts, algorithms exist
which are able to identify the optimal configuration. The
optimal configuration may depend on the horizon considered,
especially when comparing very short horizons (a few hours)
with horizons at the day-ahead level.
The highest possible update frequency is dictated by
the highest frequency by which new information becomes
available.
B. Statistical Quantities
The traditional notion of a forecast is a single value,
representing the conditional expectation, e.g. for each hour
within the horizon. Here such a forecast will be termed a
point forecast because it consists of a single value for each
time point in the future. Usually, a point forecast is supple-
mented with error bands based on the standard deviation of
the forecast error and an assumed Gaussian distribution of
the forecast error. When the error bands exceed the possible
values, they are simply truncated. Instead of a single value
for each time point in the future, probabilistic forecasts,
in principle, contain the conditional distribution of wind
power production for each time point within the horizon.
The distribution is represented by a set of quantiles.
Figure 2 shows examples of a point forecast with error
bands and a probabilistic forecast, here represented by a few
quantiles. While the error bands of the point forecast are
based solely on an observed standard deviation of historical
forecast errors, the probabilistic forecast aims at modelling
the full distribution conditional on the information available
at forecast time. Also, while the certainty by which the future
wind power production can be forecasted depends upon the
horizon, it may also depend on the overall meteorological
situation. This implies that, for a specific forecast, it cannot
be assumed that e.g. the distance between the 25% and
the 75% quantile will increase with the horizon. Given the
horizon, the distance mentioned may change markedly over
forecast time points. Probabilistic forecasts can be obtained
based on either regular meteorological forecasts [9]–[11] or
based on meteorological ensemble forecasts [12], [13].
While a probabilistic forecast includes much more infor-
mation about the future than a point forecast, the probabilis-
tic forecast by no means contains all relevant information. In
order to construct possible scenarios of future wind power
production, the auto-correlation of the data must be respected
[14]. This implies that independent samples from each of the
conditional distributions will not produce realistic scenarios.
Figure 3 shows five future scenarios for the case where
the correlation is appropriately modelled and five scenarios
generated using independent sampling. The difference is
evident, but the question is whether this should affect the
decisions taken by the users of the forecasts. If any kind of
storage is available, it is evident that a proper description
of the auto correlation is important. This is also true when
planning unit commitment. However, when only trading
on a day-ahead market and for each hour separately, the
correlation will not be important in the long run, but the
day-to-day risk will be influenced by the auto correlation.
IV. S ELECTION OF S TATISTICAL F ORECAST
C HARACTERISTICS
In order to select the statistical characteristics which
should be available for the wind power forecast, the decision
problem is analysed in a random variable setting. Often, this
corresponds to an analysis of the consequences of forecast
errors over longer periods. Examples of such analyses are
outlined below.
A. Imbalance Costs in the Nordic Spot Market
In the Nordic spot market (www.nordpool.com) the
spot price is determined at the day-ahead level, based on
bids which are submitted to Nord Pool before 12:00 the day
before delivery. Disregarding the intra-day Elbas market, for
 100 system are not penalised.
Let t0 < t indicate the time at which the bid is submitted
80
% of installed capacity

to the spot market. At that point in time the future spot

60

and regulation prices, together with the actual production

40

are unknown (although forecasts are available). In order to

20

derive the required statistical properties, these quantities are

therefore treated as random variables and a criterion for
0

0 24 48 72 96 120 144 hours optimisation is chosen. An obvious criterion is to minimise

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% the expected value of CI,t , given the information available
100

at forecast time denoted Xt0 .

% of installed capacity

Assuming PA,t to be independent of cD,t and cU,t leads to

80

the following expression of the optimal bid PB,t at decision

60

time t0
40

E[cD,t |Xt0 ]
F (PB,t ) = , (2)
20

E[cD,t |Xt0 ] + E[cU,t |Xt0 ]

0

0 24 48 72 96 120 144 hours where F is the cumulative distribution function of the future
wind power production given the information available at
Fig. 2. Point forecast (top, black) with 50% (blue) and 80% (red) error forecast time, i.e. the cumulative distribution function of the
bands found using the observed standard deviation of the forecast errors
and probabilistic forecast (bottom) represented by 0%, 5%, 10%, . . . , 95%, random variable PA,t |Xt0 . Consequently, if F is obtained
and 100% quantiles. as a quantile forecast, the right hand side of (2) determines
the probability level for the quantile to use. Actually (2) is
100% 90% 80% 70% 60% 50% 40% 30% 20% 10% an approximation, but the approximation is quite accurate
80 100

because of the assumption of independence.

% of installed capacity

Note that, in contrast to the actual imbalance prices, the

60

conditional expectations of these will both be positive for

40

a given time point in the future. To see this it may be

20

beneficial to consider the following equality based on the law

of total expectation: E[cj,t |Xt0 ] = P (cj,t > 0) E[cj,t |(cj,t >
0

0 24 48 72 96 120 144 hours

0, Xt0 )]+P (cj,t = 0) E[cj,t |(cj,t = 0, Xt0 )], j = D, U . Here
100% 90% 80% 70% 60% 50% 40% 30% 20% 10% the last term concerns situations where the imbalance cost
80 100
% of installed capacity

is zero. However, this term vanishes because E[cj,t |(cj,t =

0, Xt0 )] = 0.
60

The conditional expectations involved in the right hand

40

side of (2) are what is classically considered point fore-

20

casts of the imbalance prices. The equation dictates that

0

we should collect all relevant information available to the

0 24 48 72
Fig. 3. Five simulations corresponding to the probabilistic forecast in
Figure 2 respecting the correlation observed in the data (top) and ten
simulations for which independent sampling is used (bottom).
which the liquidity is low, the imbalance cost CI,t for a
given hour t in the future can be expressed as
 expectations may be as simple as exponential smooths of the
cD,t (PA,t − PB,t ) if PA,t ≥ PB,t
CI,t = (1)
cU,t (PB,t − PA,t ) if PA,t < PB,t
where PA,t is the actual production and PB,t is the produc-
tion bid one day ahead. The down / up regulation unit cost
cD,t / cU,t is the cost per MWh associated with situations in
which the actual production is larger / smaller than the bid.
This cost is the positive difference between the spot price
and the so-called down / up regulation price.
Since the spot price cannot exceed the interval covered
by the regulation prices, the down regulation price is the
smallest of the three prices, and since the spot price is always
equal to one of the regulation prices, the imbalance unit costs
are both non-negative and, for a given time point, at least
one is zero. In this way imbalances which are helping the
96 120 144 hours
decision maker at decision time Xt0 and use this in order
to make the best possible forecast of the imbalance prices.
Since expectations are involved, in principle a quadratic
loss function should be used. If a given decision maker is
unable to identify any predictive variables Xt0 will consist
of observed imbalance prices up to time t0 , or before in the
event of some observation delay. In this case the conditional
two series of observed imbalance prices.
Note that in order to simplify the above we have used
the price taker assumption together with an assumption of
independence. If these assumptions are relaxed, quantile
forecasts of the wind power production will still be required,
together with additional information.
B. Optimal bids given a certain contract
As an example, assume that a wind farm owner has
sold the power produced to a power trading company. For
every time period the owner receives a fixed price. Day
ahead the owner has to send a forecast to the power trading
company. If, for a specific time point t in the future, the
actual production PA,t exceeds the forecast PB,t , the owner
 Forecast
receives additional c(A>B) PB,t and if, for a given future Low wind Optimal Regular
time point PA,t < PB,t , the owner pays c(A<B) PB,t .

Expected Revenue (EUR/h)

With this setup the expected revenue for time t given

200
0.03
information available at decision time Xt0 can be expressed

−200 0
Density

0.02
as

0.01
6
E[Rt |Xt0 ] = (c(A>B) − (c(A>B) + c(A<B) )F (PB,t ))PB,t 3
(3)

−600
0

0.00
where, as above, F is the cumulative distribution function 0 20 40 60 80 100 0 20 40 60 80 100
of the future wind power production given the information
Actual production (MWh/h) Bid production (MWh/h)
available at forecast time. Forecast
Medium wind Optimal Regular
In this case there is no obvious simple expression for

Expected Revenue (EUR/h)

the optimal bid. Nevertheless, given a probabilistic forecast

200
0.03
of the future wind power production, it is quite simple to
calculate the expected revenue when PB,t is varied between

−200 0
Density

0.02
0 and installed capacity and then select the value resulting

0.01
in the highest expected revenue for the particular future time 6
3
point. Figure 4 shows an example. As presumed, the optimal

−600
0

0.00
bid is lower than the bid dictated by the regular point forecast
0 20 40 60 80 100 0 20 40 60 80 100
and the method outlined here allows for an optimal way of
Actual production (MWh/h) Bid production (MWh/h)
calculating this deviation. Forecast
High wind Optimal Regular

C. Correlation between time points

Expected Revenue (EUR/h)

200
0.03

In Section III-B it is argued that a quantile forecast

does not contain all information available about the future

−200 0
Density

0.02

wind power production at forecast/decision time. However,

0.01

in Sections IV-A and IV-B only the quantiles are needed in 6

3
the solution, because the criteria does not involve multiple

−600
0
0.00

future time points.

For e.g. ramp forecasting, where probabilities are as-
signed to wind power ramp events, the temporal correlation
is clearly important. Consider e.g. the top panel of Figure 3
where five scenarios of the future wind power development
are shown. These scenarios are constructed such that they
comply with the quantiles and the previously observed
correlation structure. By way of construction, the scenarios
can be interpreted as realisations from a random vector and
therefore any function of the random vector can be evaluated
by stochastic simulation. If, for instance, we want to calcu-
late the probability of an increase in wind power production
of more than 50% over a 3-hour interval within the next 24
hours, it is simply a matter of identifying the frequency by
which this event occurs among the available scenarios. Since
the method is based on stochastic simulation, the precision of
the answer depends on the number of scenarios and clearly
the five used in Figure 3 are not sufficient. Computationally,
these are fast to generate and in the examples below 500
scenarios are used. Also, note that the precision of the result
due to the number of scenarios can usually be calculated
by standard statistical methods. E.g. for the ramp example
mentioned above, the precision of the result given a certain
number of scenarios can be found by calculating a standard
binomial confidence interval.
As indicated above, methods based on statistically correct
scenarios are very flexible in that external information can
be used together with the scenarios in order to address the
influence on the power system. As an example, consider
the left panel of Figure 5 which shows the first 36 hours
of the top panel of Figure 3, but with an example of the
wind power production used in the current plan overlayed.
0 20 40 60 80 100 0 20 40 60 80 100
Actual production (MWh/h) Bid production (MWh/h)
Fig. 4. Expected revenue for a wind farm with an installed capacity
of 100M W , for low wind (top), medium wind (middle) and high wind
situations (bottom). The probabilistic forecast is shown as the density
function to the left. The right column shows the expected revenue when
the bonus (c(A>B) ) is 6 EU R/M W h and the penalty (c(A<B) ) is 6
(red), 3 (green), and 0 EU R/M wh (blue). The value of PB,t maximising
the expected revenue is indicated, in the same colour, on the top axis where
the regular forecast, i.e. the expected value of the actual production, is also
shown (black).
This planned wind power will normally be based on a
previously generated forecast, adjusted so that production
and consumption are in balance at horizon 0. Given that the
development of the future wind power production follows
the plan, system operation would normally be considered
relatively unproblematic. However, deviations from the plan
will trigger up- or down-regulation, e.g. for horizons of
around 10 hours the planned wind power production lies
near the 90% quantile and therefore it is quite likely that
up-regulation will be needed (increase other production or
decrease consumption).
Regulation ramp events might be more interesting than
wind power ramp events, since the former directly address
regulation needs which are not accounted for in the produc-
tion plan. The right panel of Figure 5 shows deviations from
the plan. Based on these, it is now possible to calculate the
probability of e.g. up-regulation ramp events, i.e. probabili-
ties of rapidly decreasing scenarios. As an example Figure 6
shows the probability of 1- and 2-hour up-regulation needs
and it is seen that the probability of an up-regulation ramp 100% 98% 90% 70% 50% 30% 10%
99% 95% 80% 60% 40% 20%
event of more than 5% of installed capacity will occur with
a probability of 20% from horizon 10 to 11 hours, while this

5
will occur with a probability of close to 50% from horizon 9

Energy stored (h of full production)

to 11 hours. Given a start-up delay in the reserve allocation,
such results can be used for decision support.

0
100
100

−5
Deviation from plan (% of installed)
80
Wind Power (% of installed)

50
60

−10
0
40

−50
20

0 5 10 15 20 25 30 35
0

Horizon (hours)
0 5 10 15 20 25 30 35 0 5 10 15 20 25 30 35

Horizon (hours) Horizon (hours)

Fig. 7. Required storage expressed in hours of full wind power production
as a function of horizon and probability that the storage size will be
Fig. 5. First 36 hours of the top panel of Figure 3 with the current
sufficient. Also the five scenarios used in the previous plots are shown.
plan overlayed in bold (left) and deviations from the plan where negative
values correspond to up-regulation and positive values correspond to down-
regulation (right).

optimisation problem and then grouped into a predetermined

Threshold in % of installed, 1 h upregulation needs Threshold in % of installed, 2 h upregulation needs
number of groups. The number of members in each group
100

100

0%
2.5 %
5%
10 %
20 % 0%
2.5 %
5%
10 %
20 %
then determines the group probability, and the group is
represented by the group mean or by one of the members.
80

80

Figure 8 shows the result after grouping the 500 scenarios

Probability (%)

Probability (%)
60

60

used throughout this paper. Note that the group probabilities

will change over forecast time points.
40

40

When grouping scenarios it should be noted that when

20

20

comparing two horizons the correlation generally decreases

0

0 5 10 15 20 25 30 35 0 5 10 15 20 25 30 35
with the time distance. Therefore, for long maximal hori-
Horizon (hours) Horizon (hours) zons, all individual scenarios are different and in such cases
grouping of the scenarios does not make sense.
Fig. 6. Probabilities of 1 h (left) and 2 h (right) up-regulation ramp events
based on 500 scenarios.

Consider another situation where the imbalance as com- 58.0 % 11.4 % 3.2 % 1.2 %
18.8 % 3.8 % 2.6 % 1.0 %
pared to the plan (Figure 5, right) is handled via storage, e.g.
100

by varying hydro power production, assuming that the level

of hydro power production is high enough. One interesting
80

question is then how much the storage is likely to be

Wind Power (% of inst. cap.)

untilised.
For each imbalance scenario this quantity can be found
60

by calculating the cumulative energy for each future horizon.

Considering a given horizon, the minimum and maximum
40

for all horizons up to the one considered then express how

much the particular scenario utilised the storage up to that
20

horizon. Figure 7 summarises this for 500 scenarios and

shows storage volumes capable of handling 100%, 99%,
98%, 95%, 90%, 80%, 70%, . . . , 10% of the scenarios.
0

For practical application the evaluation of each scenario 0 5 10 15 20 25 30 35

should generally not be computer-intensive due to the high Horizon (hours)

number of scenarios required to obtain reliable results. For

Fig. 8. Group means after grouping the 500 scenarios into 8 groups using
complicated system optimisation this requirement cannot be hierarchical cluster analysis based on characterising each scenario by (i) the
fulfilled in practice. Instead of using a large number of average energy production, (ii) maximal energy production, (iii) maximal
scenarios directly in the optimisation, these can be grouped hourly increase, (iv) maximal hourly decrease, all within the first 36 hours.
Probabilities linked to each group are indicated in the legend and by the
using some kind of scenario reduction technique. Using line width.
e.g. hierarchical cluster analysis [15], each scenario is char-
acterised by features which are important for the actual
 V. C ONCLUSION AND D ISCUSSION
In this paper, wind power forecast characteristics are
considered in relation to large-scale integration of wind
power production. While characteristics in terms of max-
imal forecast horizon and resolution in space and time
are relatively easily identified, identification of the required
statistical characteristics demands more thorough analyses,
as exemplified in the paper. Such analyses are based on the
formulation of the problem in a random variable setting
and are based on optimisation of the expected revenue or
imbalance cost conditional on the information available at
forecast time.
Generally, in situations where each time step is handled
separately, as is normal in electricity markets, wind power
quantile forecasts are sufficient. Quantile forecasts, however,
do not contain information about the temporal development
of the future wind power production. Consequently, if start-
up time or costs are taken into account, even more advanced
forecast products are required. Wind power ramp forecasting
aims at supplying information which can be used to support
operational decision making in such cases. In this paper
a more flexible approach is suggested, where scenarios of
the future wind power production are used. These enable
calculation of probabilities of wind power ramp events, as
in traditional ramp forecasting. However, more importantly
the scenarios can, together with the current planned wind
power production, be used to calculate probabilities of wind
power imbalance events, and this seems more relevant from
a system operation point of view.
Scenarios of the future wind power production, or de-
viations of these from the current plan, can also be used
to address the required buffering capacity e.g. obtained
by letting hydro power production deviate from the cur-
rent plan. While scenarios based on adequately calibrated
quantile forecasts and appropriately modelled and calibrated
correlation structure contain practically all available infor-
mation about the future wind power production, a large
number of such scenarios are often required to estimate the
quantities of interest with appropriate precision. Often this
is unproblematic as e.g. for wind power imbalance ramp
forecasting. However, for more computer-intensive methods,
a large number of scenarios may not be tractable. In such
situations scenario reduction techniques can be used in order
to assign probabilities to different future developments of the
wind power production. In this paper, hierarchical cluster
analysis based on characterising each scenario by a few key
features is applied.
The benefits of using an advanced forecast product instead
of a regular forecast are highly situation-dependent. For
instance, for the three situations considered in Figure 4, the
difference between the expected values for the optimal and
regular bids is readily available. However, in order to access
the long-term benefits, the distribution of wind situations
must be known. Normally, such a comparison will be based
on application of the methods to the same historic period
(assuming that the bidding action is not affecting the market).
Furthermore, the benefit for a given period may also depend
on e.g. the level of imbalance costs for the period, as for the
example considered in Section IV-A.
In principle, rare events such as shutdown due to high
wind speeds may be included in quantile forecasts and
scenarios. However, since the events are rare, the required
number of scenarios will be quite high. Presumably, a
better approach is to base the quantile forecasts / scenario
generation on what is considered normal operation. The
optimal decision is then derived assuming normal operation
and a separate system is then used to warn the operator
regarding e.g. shutdown events.
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