Wind power scenario generation for stochastic wind power generation and transmission expansion planning

Wind power scenarios from individual wind farms are synthesized using given sample paths of wind power from these same wind farms through the generalized dynamic factor model (GDFM), where wind power scenarios are represented as the multiplication of a fixed polynomial matrix and time varying dynamic shocks, which are white noise. The stochastic structure among wind power outputs is nested in the polynomial matrix, but inherent wind power intermittency is nested in the dynamic shocks. We can generate an arbitrary number of scenarios by changing the dynamic shocks. Since the dimension of dynamic shocks is generally less than the dimension of wind farms, we can reduce the number of random variables. Synthesized sample paths of wind power from candidate wind farms might be used as scenarios to plan the wind power generation and transmission expansion.