Sparse Methods for Wind Energy Prediction

In this work we will analyze and apply to the prediction of wind energy some of the best known regularized linear regression algorithms, such as Ordinary Least Squares, Ridge Regression and, particularly, Lasso, Group Lasso and Elastic-Net that also seek to impose a certain degree of sparseness on the final models. To achieve this goal, some of them introduce a non-differentiable regularization term that requires special techniques to solve the corresponding optimization problem that will yield the final model. Proximal Algorithms have been recently introduced precisely to handle this kind of optimization problems, and so we will briefly review how to apply them in regularized linear regression. Moreover, the proximal method FISTA will be used when applying the non-differentiable models to the problem of predicting the global wind energy production in Spain, using as inputs numerical weather forecasts for the entire Iberian peninsula. Our results show how some of the studied sparsity-inducing models are able to produce a coherent selection of features, attaining similar performance to a baseline model using expert information, while making use of less data features.