Analytical Iterative Multi-Step Interval Forecasts of Wind Generation based on

Probabilistic wind power forecasting has become an important tool for optimal economic dispatch and unit commitment of modern power systems with significant renewable energy penetrations. Ensemble forecasting based on Monte Carlo simulation has been widely adopted by grid operators, but other probabilistic approaches, such as multi-step iterative wind power forecasting have not yet been fully explored. The associated uncertainty analysis is an important yet challenging issue in this area. This paper proposes to use an analytic interval forecasting framework to estimate the forecasting uncertainty and its propagation with multi-steps for two wind farms based on the Temporally Local Gaussian Process (TLGP) model. The key findings confirm that TLGP forecasting not only has better accuracy but is also more reliable and sharp than other benchmark models. This work provides an innovative analytical framework for iterative multi-step interval forecasts.