Geodesic
Confidence intervals for annual wind power production
Alain Bensoussan1, 2 ; Pierre Raphaël Bertrand3 ; Alexandre Brouste4 ; Nabiha Haouas3, 5 ; Mehdi Fhima6 ; Daouda Koulibaly7
1 University of Texas at Dallas, School of Management. 
2 City University Hong Kong, Department SEEM. 
3 Laboratoire de Mathématiques, UMR 6620 CNRS et Université Blaise Pascal (Clermont-Ferrand 2), France.
4 Laboratoire Manceau de Mathématiques, Université du Maine, France.
5 Computational Mathematics Laboratory, Monastir, Tunisia.
6 Altran Research, France.
7 EDF Énergies Nouvelles, France.
ESAIM. Proceedings, Tome 44 (2014), pp. 150-158.

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Wind power is an intermittent resource due to wind speed intermittency. However wind speed can be described as a stochastic process with short memory. This allows us to derive a central limit theorem for the annual or pluri-annual wind power production and then get quantiles of the wind power production for one, ten or twenty years future periods. On the one hand, the interquantile spread offers a measurement of the intrinsic uncertainties of wind power production. On the other hand, different quantiles with different periods of time are used by financial institutions to quantify the financial risk of the wind turbine. Our method is then applied to real datasets corresponding to a French wind turbine. Since confidence intervals can be enhanced by taking into account seasonality, we present some tools for change point analysis on wind series.
DOI : 10.1051/proc/201444009

Alain Bensoussan 1, 2 ; Pierre Raphaël Bertrand 3 ; Alexandre Brouste 4 ; Nabiha Haouas 3, 5 ; Mehdi Fhima 6 ; Daouda Koulibaly 7

1 University of Texas at Dallas, School of Management. 
2 City University Hong Kong, Department SEEM. 
3 Laboratoire de Mathématiques, UMR 6620 CNRS et Université Blaise Pascal (Clermont-Ferrand 2), France.
4 Laboratoire Manceau de Mathématiques, Université du Maine, France.
5 Computational Mathematics Laboratory, Monastir, Tunisia.
6 Altran Research, France.
7 EDF Énergies Nouvelles, France. 
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     title = {Confidence intervals for annual wind power production},
     journal = {ESAIM. Proceedings},
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Alain Bensoussan; Pierre Raphaël Bertrand; Alexandre Brouste; Nabiha Haouas; Mehdi Fhima; Daouda Koulibaly. Confidence intervals for annual wind power production. ESAIM. Proceedings, Tome 44 (2014), pp. 150-158. doi : 10.1051/proc/201444009. http://geodesic.mathdoc.fr/articles/10.1051/proc/201444009/

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