Least Squares-based Optimal Reconciliation Method for Hierarchical Forecasts of Wind Power Generation

Wind power generation is hierarchically organized and can be aggregated/disaggregated based on geography and electrical network structure. Forecasts are required at all levels of such a hierarchy for different operational requirements, which are also known as “hierarchical forecasts”. In this paper, we propose a new method to produce hierarchical wind power forecasts which performs better than the conventional top-down or bottom-up method. At first, wind power generation at all levels of the hierarchy is independently forecasted using state-of-the-art techniques. Then, a least squares regression model is used to optimally reconcile these base forecasts. Adjusted forecasts are as close as possible to base forecasts but also satisfy the requirement of the aggregate consistency (i.e., the lower-level forecasts add up exactly to the higher-level forecasts). Case studies validate the effectiveness of the proposed approach for very short-term wind power forecasts. The accuracy improvement of reconciled forecasts over benchmarks is confirmed at all levels of the hierarchy, regardless of forecast horizons and hierarchical structures.