Nearest Neighbor Functional Curve Completion for Intraday Probabilistic Revisions of Renewable Generation Forecasts

Guillermo Terrén-Serrano, Michael Ludkovski

We propose a nonparametric approach that fuses deterministic initial forecasts and a partial realization into a probabilistic forecast using the framework of functional curve completion. Our motivation is to construct intra-day forecasts for renewable energy generation, which is a key operational task in modern power grids. The aim is to combine the day-ahead (DA) forecast and the morning realized generation profile to create trajectories for the rest of the day, quantifying operational uncertainty. Starting with a large database of complete forecast-actual pairs across many assets, we adopt a functional point of view and construct a weighted neighborhood based on similarity metrics for the observed partial curve, the DA forecast, the day, and the geographical location. The selected complete nearest-neighbor curves provide a full predictive distribution, including functional focal envelopes and predictive bands based on functional depth. The hyperparameters governing neighborhood size, distances, and fusion rates are tuned across forecast update times and directly target probabilistic calibration in terms of the predictive probability integral transform. Three case studies using…