Enhancing Short-Term Wind Energy Forecasting with XGBoost and Conformal Prediction for Robust Uncertainty Quantification

This paper presents probabilistic wind energy forecasting using quantile regression averaging combined with a conformal prediction modelling framework. The study uses data from Eskom, South Africa's power utility company. The data is from April 2019 to November 2023. A partial linear additive quantile regression (PLQR) averaging method is used to combine forecasts from two competing forecasting models: eXtreme Gradient Boosting (XGBoost) and Principal Component Regression (PCR). To compare the predictive abilities of the models, two data splits are used: 80\%, 10\% and 10\% for the first set, and 85\%, 10\% and 5\% for the second set. Empirical results suggest that the combined predictions from PLAQR perform better than the individual models, significantly improving calibration and accuracy. The proposed combination has the smallest root mean square error (RMSE) and the highest probability of change in direction (POCID). The combination captures nonlinearities and produces well-calibrated probabilistic results. Probability integral transform histograms validate this. This performance gain reflected the importance of data volume. This is reinforced by the fact that the PLAQR model, which combines the benefits of tree-based approaches and linear models, is a robust modelling approach for reliable renewable energy forecasting. Future research directions should consider more varied ensembles.