PrivacyPreserving Distributed Parameter Estimation for Probability Distribution of Wind Power Forecast Error
Abstract
Building the conditional probability distribution of wind power forecast errors benefits both wind farms (WFs) and independent system operators (ISOs). Establishing the joint probability distribution of wind power and the corresponding forecast data of spatially correlated WFs is the foundation for deriving the conditional probability distribution. Traditional parameter estimation methods for probability distributions require the collection of historical data of all WFs. However, in the context of multiregional interconnected grids, neither regional ISOs nor WFs can collect the raw data of WFs in other regions due to privacy or competition considerations. Therefore, based on the Gaussian mixture model, this paper first proposes a privacypreserving distributed expectationmaximization algorithm to estimate the parameters of the joint probability distribution. This algorithm consists of two original methods: (1) a privacypreserving distributed summation algorithm and (2) a privacypreserving distributed inner product algorithm. Then, we derive each WF’s conditional probability distribution of forecast error from the joint one. By the proposed algorithms, WFs only need local calculations and privacypreserving neighboring communications to achieve the whole parameter estimation. These algorithms are verified using the wind integration data set published by the NREL.
0.9
I Introduction
As the penetration of wind power continues to increase in multiregional interconnected grids [22], a better understanding of wind power forecast error is highly desirable [4]. Building the probability distribution of wind power forecast error can benefit both wind farms (WFs) and regional independent system operators (ISOs). For the former, WFs can perform better in market bidding by quantifying stochastic features of their forecast errors [8]. For the latter, regional ISOs can make optimal decisions regarding stochastic economic dispatch [25] or can schedule enough reserves to meet the demand [29]. Note that, if we consider the correlation between WFs when estimating the probability distribution’s parameters, the reserve cost will be significantly reduced since the distributions of forecast errors will be more precise [24].
To take the wind power correlation into account, one should first establish the joint probability distribution of the wind power and the corresponding forecast data from correlated WFs. Then, one can derive the conditional probability distribution of the forecast error under a given forecast value from the joint one [26, 11]. An accurate distribution model is the prerequisite for the above. Therefore, we choose the Gaussian mixture model (GMM) as the distribution model [26], as the GMM can characterize multivariate random variables subject to an arbitrary distribution with remarkable performance [11].
The expectationmaximization (EM) algorithm is the most commonly used method to estimate the parameters of GMM [20, 33]. The centralized EM algorithm requires collecting all the historical wind power and forecast data to train the GMMbased joint probability distribution. After that, the conditional probability distribution of forecast error under a given forecast value can be derived from it. However, the centralized EM algorithm might not be practical. For example, in a multiregional interconnected grid, the whole grid is actually controlled by multiple regional ISOs, respectively [7]. A central operator with access to all data of the whole grid may not exist for political and technical reasons [1]. Moreover, regional ISOs are unable to collect the raw data from other areas due to privacy considerations [23]. Furthermore, WFs with different stakeholders will not share their forecast values with others, as this may leak their commercial secrets in market bidding [11]. Except for the problem of the possible data barriers, the centralized architecture also faces the risk of singlepoint failures [18] and the requirement for high bandwidth [5]. To deal with the aforementioned dilemmas, a privacypreserving distributed (PPD) EM algorithm is a better choice. Specifically, ‘distributed’ means that each WF only needs local calculations and neighboring communications with surrounding WFs, and “privacypreserving” means that the raw data of a WF cannot be deduced by others during the whole estimation process.
In the datamining field, many efforts have been made on PPD EM algorithms [6, 14, 13, 32]. The authors of [6] and [14] have proposed a PPD EM algorithm based on the secure sum technique. The algorithm can accurately calculate the sum of data without revealing the data privacy of any parties. A cyclic communication topology is adopted to perform the algorithm. Using the additive homomorphic encryption technique, Kaleb et al. present their PPD EM algorithm by encoding the raw data into cryptographic messages [13]. To prevent the leakage of data privacy when an adversary controls multiple parties, Kaleb et al. enforce oneway communication by a ring topology to guarantee the corruptionresistant feature of the proposed algorithm. Similar to [13], Yang et al. also utilize the additive homomorphic encryption technique to protect the raw data [32]. The differences lie in that (1) Yang et al. design a localglobal secure summation protocol, and (2) the cryptographic messages are sent through a spanning tree communication topology in [32].
However, the above PPD EM algorithms mentioned in [6, 14, 13, 32], even including the privacyfree distributed EM algorithms in [28, 27, 17, 10], cannot be applied to the joint probability distribution estimation of correlated WFs because all these algorithms are designed for “horizontally partitioned data”. In fact, wind power and its forecast data are “vertically partitioned” among correlated WFs. Take three parties and 100 samples of 3dimensional random variables as an example. The data being horizontally partitioned refer to the situation where party A owns 30 samples of 3dimensional data, party B owns 40 samples, and party C owns 30 samples, while the data being vertically partitioned means that all parties own 100 samples but each of them only has one dimension of the 3dimensional data. Since each WF has only its own historical wind power and forecast data, i.e., two dimensions of the full multidimensional data, wind power and forecast data are actually vertically partitioned among correlated WFs.
Moreover, the PPD EM algorithms in [6, 14, 13, 32] are not fully distributed. Both the preselected cyclic communication topology in [6, 14, 13] and the preselected spanningtree communication topology in [32] need a global perspective for preselection. Besides, the failure of any communication line on the preselected path will make the whole algorithm fail.
In this paper, we aim to solve the above problems and develop a PPD EM algorithm to deal with vertically partitioned wind power and forecast data. This algorithm should enable each WF to obtain the GMMbased joint probability distribution in a fully distributed and privacypreserving manner, and should be robust to communication line failures. After that, using the PPD derivation algorithm proposed in [12], each WF can eventually achieve its conditional probability distribution of forecast error considering the correlation of all WFs. The original contributions of this paper are as follows:

We formulate a distributed framework for the EM algorithm by reformulating the algorithm into local and global parts. Then, the keys to developing a PPD EM algorithm for vertically partitioned wind power and forecast data are pointed out — to find PPD methods to calculate summations and inner products among the statistics of the correlated WFs.

We propose a distributed summation algorithm by leveraging the average consensus algorithm. Then, this algorithm is modified with an additive homomorphic encryption technique to become a PPD summation algorithm. Moreover, we also propose a PPD inner product algorithm on the basis of the randomized binary hash mapping and the average consensus algorithm.

Combining the proposed PPD summation and inner product algorithms, we finally propose a PPD EM algorithm to estimate the GMMbased joint probability distribution. This algorithm is fully distributed and strictly protects the raw data of the correlated WFs from leakage. Meanwhile, this algorithm is robust to communication line failures.
The remainder of this paper is organized as follows. In Section 2, the GMMbased joint and conditional probability distributions are described. In Section 3, the PPD framework for the EM algorithm is formulated to point out the keys to the realization of the PPD EM algorithm. The PPD summation algorithm is developed in Section 4, and the PPD inner product algorithm is designed in Section 5. In Section 6, the PPD EM algorithm is finally proposed. Case studies are provided in Section 7. Section 8 concludes this paper.
Ii GMMbased Probability Distributions
This section introduces the GMMbased joint and conditional probability distributions. For M spatially correlated WFs, their wind power and wind power forecast constitute a 2Mdimensional random variable , which is defined as . Elements and represent the wind power and the forecast of the mth WF, respectively. The GMMbased joint probability distribution function (PDF) of is actually a convex combination of J multivariate Gaussian distributions with its weighted coefficient , mean vector and covariance , as given in (1):
(1) 
where is a 2Mdimensional Gaussian distribution and is the parameter set of GMMbased joint PDF. The details of are given as follows:
(2)  
(3)  
(4)  
(5) 
Iii PPD Framework for the EM Algorithm
In this section, the centralized EM algorithm for estimating the parameters of GMM is first introduced. Then, we formulate a distributed framework for the EM algorithm by reformulating the algorithm into local and global parts. Specifically, the local parts can be calculated by each WF, and the global parts require the results of all local parts to be computed. To design a PPD EM algorithm, the keys lie in how to achieve the global parts in a PPD manner. Therefore, the distributed framework points out the direction for the PPD EM algorithm design.
Iiia Centralized EM Algorithm
The training set consists of N historical observations of . The nth observation is described as , where is the nth wind power observation of the mth WF, while is its nth forecast observation. The closedform expression of the centralized EM algorithm consists of the expectation step (Estep) and maximization step (Mstep). In the kth iteration, the centralized Estep is given in (10) and the centralized Mstep in (11):
(10) 
(11a)  
(11b)  
(11c) 
where T represents the transpose of a vector or matrix. After convergence, the estimation of is achieved, and GMMbased joint PDF is established. For detailed derivation and proof, please refer to [3]. It should be emphasized that, since the calculation processes are the same for every Gaussian component in every iteration, we will omit the subscripts k and j in later derivations when it does not cause ambiguity.
IiiB Distributed Framework for the Estep
The Estep aims to calculate the statistics in (10) using the parameter updated by each WF from the last iteration. Therefore, in the Estep, becomes public knowledge for all WFs. The part that actually involves exists only in the exponential term of (12), as given in (13).
(12)  
(13) 
Equation (13) shows that for vertically partitioned data, the Estep can be divided into two summations among WFs: the first one is given in (14), and the second one is given in (15).
(14)  
(15) 
The local part of the first summation for the th WF is defined as in (16), where the th WF can compute it with the known and its own data. The global part of the first summation is (14) itself.
(16) 
The local part of the second summation for the th WF is defined as in (17), while the global part of the second summation is (15) itself as well.
(17) 
In fact, the relationships between the local and global parts of (14) and (15) are the same. Therefore, we provide a unified form of the relationships in (18).
(18) 
To achieve the global part , one should collect of others. However, for the mth WF, sharing with others might leak the information of its raw data because the wind power is close to its forecast value ; thus, other WFs can estimate the mth WF’s data to some extent from or . Therefore, how to calculate (18) in a distributed manner under the premise of data privacy preservation is the key to realizing the PPD Estep.
IiiC Distributed Framework for the Mstep
The Mstep aims to update in (11) using calculated from the Estep. For (11a), since is already obtained by all WFs as public knowledge, every WF can directly compute (11a) to update . For (11b), its mth element is reformulated in (19). The mth WF can compute and by itself. Meanwhile, since no WF can deduce N observations from the result of (19), the mth WF can share its and with other WFs as no data privacy is sacrificed. Finally, each WF can update using the results of (19) from others.
(19)  
For (11c), the diagonal and nondiagonal elements of are reformulated in (20) and (21), respectively. The mth WF can directly compute and in (20). Besides, neither nor contain private information because no WF can deduce raw data from them. Thus, the mth WF can share and with others.
(20)  
(21)  
(22)  
(23)  
(24) 
However, the situation is completely different when calculating in (21), which requires computing an inner product between vector and in (22). The local part of the inner product is defined in (23) for the th WF and (24) for the th WF, where the th or th WF can directly compute or with its own data. The global part of the inner product is (22). As can be observed, to obtain the global part, one should collect the local part, i.e., the vector of all WFs. However, since and are all public knowledge after the calculations of (10) and (11b), collecting is essentially collecting the raw data of the th WF, which reveals privacy. Therefore, how to calculate (22) for any two WFs in a distributed manner under the protection of data privacy is the key for realizing the PPD Mstep.
Iv PPD Summation Algorithm
This section proposes a PPD summation algorithm to calculate (18) in a fully distributed and privacypreserving manner.
Iva Average Consensus Algorithm
To calculate (18) in a fully distributed manner, the average consensus algorithm is an effective approach [15]. Some definitions are presented before the demonstration. The communication topology of M spatially correlated WFs is represented by a graph , where denotes the set of nodes and denotes the set of edges . Once the distance between two nodes is less than a preset distance threshold , the two nodes are connected. The neighbors of node m are denoted by . The weighted adjacency matrix is represented by with adjacent coefficient as given in (25), where and denote the degree of nodes m and i. is a symmetric matrix, and , where .
(25) 
The discrete form of the average consensus algorithm is presented in (26). After convergence, each WF can obtain the average value of (18) in a distributed manner, as given in (27).
(26)  
(27) 
To compute (26), the th WF only needs to collect (for ) from its neighbors to calculate a local summation during each iteration, i.e.,
(28) 
However, in the first iteration, (for ) is revealed to the th WF. Thus, the average consensus algorithm is not privacypreserving.
IvB PPD Summation Algorithm
To achieve the local summation in (28) under the premise of protecting privacy, we leverage an additive homomorphic encryption technique named Paillier cryptosystem. The Paillier cryptosystem is favored by many researchers for the analysis of social networks [32] or the Internet [31].
Let denote a plaintext, denote a ciphertext and denote a prespecified large prime integer. The encryption process with a public key is given in (29), and the decryption with a secret key is given in (30).
(29)  
(30) 
To compute the sum of M plaintexts, the decrypter only needs to multiply the corresponding M ciphertexts and then decrypt the multiplication result, as given in (31). The entire process strictly protects data privacy. See [16] for more details.
(31) 
Inspired by the secure summation protocol in [32], we utilize the Paillier cryptosystem to compute (28), which helps us to realize a privacypreserving average consensus algorithm. Specifically, in the first iteration of the average consensus algorithm, the neighbors of the mth WF, which are numbered from 1 to , encrypt their initial value using the 1st neighbor’s in (32). Meanwhile, the mth WF encrypts a random and secret number by (33). Then, these neighbors send their ciphertexts to the mth WF. After that, the mth WF performs the multiplication calculation in (34) and sends the result to the 1st neighbor. Thereafter, the 1st neighbor decrypts into the summation in (35) and sends it back to the mth WF. Finally, the mth WF subtracts to obtain the result of (28). For the subsequent iterations of the average consensus algorithm, no encryption is needed. Details of the PPD summation algorithm are given in Algorithm 1.
(32)  
(33)  
(34)  
(35) 
Please note that although the Paillier cryptosystem is introduced in the average consensus algorithm, it does not affect the convergence of the average consensus algorithm. In fact, the PPD summation algorithm and the average consensus algorithm are mathematically equivalent. See [30] for the convergence proof of the original average consensus algorithm.
V PPD Inner Product Algorithm
In this section, a PPD inner product algorithm is proposed to calculate (22) for any two WFs in a fully distributed manner considering privacy protection.
For the inner product calculation in (22), once the angle in (36) is obtained, by sharing the norm and among WFs, which will not reveal any raw data, the inner product can be directly calculated by every WF. Therefore, the problem of computing (22) becomes into this one: how to compute the angle between two vectors in (36) without revealing any raw element of the vectors?
(36) 
In an Ndimensional space, the probability of finding a random hyperplane separating two vectors and is proportional to the angle [9]. For calculating the probability, a publicly known random vector set is first defined, where each column is a random vector . Then, the probability can be computed by (37).
(37) 
For a further demonstration, the randomized binary hash mapping function is defined in (38),
(38) 
where the function can encode an Ldimensional real vector into an Ldimensional binary vector according to the sign of each element in the real vector. Thus, actually represents the sign information of the multiplication results between and .
Once and are obtained, (37) can be easily computed by counting the number of different sign pairs. Note that the counting process is essentially calculating the Hamming distance between and , i.e., [19]. Therefore, based on the randomized binary hash mapping function and Hamming distance calculation, the angle can be calculated by (39).
(39) 
It should be emphasized that, our goal is not only to calculate the inner product of two vectors under the premise of protecting privacy but also to obtain all the inner products between any two WFs through a fully distributed manner. For computing all the inner product values, the set is required. Thus, based on (39) and the average consensus algorithm, the PPD inner product algorithm is proposed in Algorithm 2.
Vi PPD EM Algorithm
Since the two keys mentioned in Section 3 are solved by the proposed PPD summation and inner product algorithm, the PPD EM algorithm for estimating the GMMbased joint PDF of multiple spatially correlated WFs is eventually developed in Algorithm 3.
The advantages of the proposed algorithm are as follows:

Strict privacypreserving. For the summation calculation in the PPD Estep, the Paillier cryptosystem is used to protect the raw data; for the inner product calculation in the PPD Mstep, the randomized binary hash mapping function is used to prevent data privacy disclosure. The two techniques that we utilized can strictly protect the privacy of each WF.

Fully distributed. As we introduce the average consensus algorithm into the PPD Estep and Mstep, each WF only needs to communicate with its neighbors. Thus, we avoid the assumption made in [31, 6, 21] that any two nodes are connected, and we improve the scalability of the proposed algorithm. Meanwhile, the preselected communication paths in [6, 14, 13, 32] are no longer required. Thus, the proposed algorithm is fully distributed.

Robust. As the communication between neighbors may fail, robustness to communication failure is necessary. Since the proposed PPD EM algorithm is developed based on the average consensus algorithm, as long as the communication topology is still connected, the communication failure basically will not affect the final estimation results due to the consensus feature [2].
Vii Case Study
The historical data of wind power and forecast value are from the âeastern wind integration data setâ published by the National Renewable Energy Laboratory (NREL), the U.S., where we choose 9 WFs in Maryland, numbered 4401, 5405, 6211, 6359, 6526, 6812, 6931, 7187, and 7460. Their communication topology is shown in Fig. 1(a). Each WF has 20 days of hourly wind power and forecast data. Thus, and . Then we build the joint PDF of the wind power and its forecast of the nine spatially correlated WFs by the proposed EM algorithm. After that, by leveraging the PPD derivation algorithm presented in [12], we also derive the conditional PDF of the forecast error of each WF from the joint PDF. Since the privacypreserving feature of the proposed algorithm has already been discussed in the previous sections, this section mainly aims to verify the correctness and robustness of the proposed algorithm.
Viia Correctness of the PPD Summation Algorithm
We use the wind power data of 9 WFs at 2004/1/101:00 as input, and use the proposed PPD summation algorithm to estimate the summation of the 9 data points. To show more details, we illustrate the iterative process of each WF’s estimation for the summation in Fig. 1(b). It can be observed that after 30 iterations, all WFs achieve consensus on the exact summation value, showing the correctness of the proposed PPD summation algorithm.
ViiB Correctness of the PPD Inner Product Algorithm
To verify the correctness of the proposed PPD inner product algorithm, we use it to calculate the inner products between every two WFs’ private vectors. The private vector of a WF consists of its 20day historical wind power data. Then, compared to the real inner product results, we provide the average relative errors of the proposed algorithm under different values of in Fig. 2. It can be observed that the error decreases significantly as increases, but it nearly stabilizes when reaches . Thus, we finally choose as bit kb. Furthermore, the average relative error is when , which proves the correctness of the proposed algorithm.
ViiC Verification of the PPD EM Algorithm
We use the Bayesian information criterion (BIC) to set the number of Gaussian components as 5. After that, we build the joint probability distribution of wind power and forecast of the nine spatially correlated WFs using the proposed PPD EM algorithm. The distribution constructed by the centralized EM algorithm is also given as the benchmark. Since the 18dimensional distribution cannot be drawn for illustration, we derive several 1dimensional and 2dimensional distributions from the 18dimensional one based on the linear invariance property of GMM [11].
First, the 1dimensional PDF and the 1dimensional cumulative distribution function (CDF) are shown in Fig. 3. Only the first dimension is provided.
In Fig. 3, the empirical distributions are obtained from the corresponding original historical data, the benchmarks are built by the centralized EM algorithm, and the distribution of each WF is constructed by the proposed PPD EM algorithm. It can be observed that (1) the benchmark and the distributions built by the WFs match the corresponding empirical distributions; (2) the distributions built by the WFs are coincident with each other, indicating that the consensus among WFs is achieved by the proposed algorithm; and (3) the distribution built by each WF is coincident with the benchmark, indicating the correctness of the proposed algorithm.
Then, further comparisons between the benchmark and the distribution of each WF are made using the relative standard error (RSE) as defined in (40), where represents the PDF or CDF built by each WF, represents the benchmark PDF or CDF, and represents the mean value. The RSE results are provided in Table. I. First, all the RSE values are less than , which means that the difference between the benchmark and the distribution of each WF is tiny. Second, the consensus effect of the proposed algorithm is obvious as the RSE values are identical correspondingly. Third, the RSE values of the CDFs are much smaller than those values of the PDFs. Note that the CDF is what we ultimately want for optimal decisions, e.g., calculating the quantile from the CDF. Thus, the RSE values of the CDFs eventually represent the accuracy of the proposed algorithm.
(40) 
Wind Farm  

PDF ()  2.4  2.4  2.4  2.4  2.4  2.4  2.4  2.4  2.4 
CDF ()  4.8  4.8  4.8  4.8  4.8  4.8  4.8  4.8  4.8 
Furthermore, we also choose two dimensions from the 18dimensional joint distribution to form 2dimensional PDF and CDF. The 2dimensional benchmarks built by the centralized EM algorithm and the 2dimensional joint distributions built by the 1st WF are illustrated in Fig. 4.
Thereafter, the Kullback–Leibler divergence (KLD) between the joint distribution built by the 1st WF and by other WFs are given in Table II to illustrate the differences between them. Since all the KLDs are less than , the distribution built by the 1st WF and those built by others are basically the same. Thus, using the result of the 1st WF as a representative is reasonable and acceptable. We can observe that, in Fig. 4, the 2dimensional PDF and CDF built by the 1st WF match the 2dimensional benchmarks well. Therefore, the correctness of the proposed PPD EM algorithm is eventually verified.
Wind Farm  
KLD ()  0  0.02  0.19  2.19  1.09  0.33  1.11  2.06  1.01 
ViiD Robustness of the PPD EM Algorithm
Since the proposed PPD EM algorithm is developed based on the average consensus algorithm, as long as the communication network topology is still connected, the communication failure basically will not affect the final estimation results due to the consensus feature.
To verify the robustness of the proposed PPD EM algorithm, we first cut off communication lines to simulate communication failures. Then, we inspect the variations of the CDFs built by the proposed algorithm after the failures. Since the consensus of the proposed algorithm has already been verified, we still use the estimation result of the 1st WF as the representative. The CDFs built by the 1st WF after the communication failures are shown in Fig. 5. In this figure, the benchmarks are the CDFs built by the centralized EM algorithm. Besides, legend ’Original’ represents the CDFs built by the 1st WF when no failure occurs, and legend ’line m–i’ represents the CDFs built by the 1st WF when the communication between the mth WF and the ith WF fails. For example, legend ‘line 13’ means that the communication between the 1st WF and the 3rd WF fails while other communication lines operate normally. As we can see, in Fig. 5, the CDFs built by the 1st WF under different communication failures still coincide with the corresponding benchmarks and original CDFs. This proves that the proposed PPD EM algorithm can still maintain high accuracy after communication failures. Therefore, the robustness of the proposed algorithm is verified.
ViiE Verification of the Conditional Distribution
Based on the established joint distribution via the proposed PPD EM algorithm, we derive each WF’s conditional distribution of forecast error in (6) by the PPD derivation algorithm proposed in [12].
The PPD derivation algorithm can enable each WF to obtain its conditional distribution from the joint one in the PPD manner. Here we illustrate the conditional CDF obtained by the 1st, 3rd, 5th, and 7th WFs in Fig. 6, where the benchmarks are all built in a centralized manner. The matches between the benchmarks and the CDFs built by WFs show that the joint distribution obtained via the proposed PPD EM algorithm is correct, so the conditional distributions derived from the joint distribution are correct as well.
Viii Conclusion
Under the consideration of wind power correlation, estimating the conditional probability distribution of WF’s forecast error requires the historical wind power and forecast data of all WFs. However, for the multicorrelated WFs spreading over a multiregional interconnected grid, data barriers among the WFs belonging to different regions may exist. Therefore, we propose a PPD EM algorithm to estimate the joint probability distribution of the vertically partitioned wind power and forecast data. Then, we derive each WF’s conditional probability distribution of forecast error from the joint one. To achieve this, we first formulate a distributed framework for the EM algorithm by reformulating the algorithm into local and global parts. Hereafter, the keys to developing a PPD EM algorithm are pointed out: calculating summations and inner products among the statistics of the correlated WFs in a PPD manner. After that, we design a PPD summation algorithm based on the additive homomorphic encryption and the average consensus algorithm. Thereafter, we develop a PPD inner product algorithm by leveraging the randomized binary hash mapping function and the average consensus algorithm. Combining the PPD summation and inner product algorithms, we finally propose the PPD EM algorithm. This algorithm can enable each WF to estimate the joint probability distribution of the wind power and forecast data of all the WFs in a fully distributed and privacypreserving manner.
Compared with the centralized EM algorithm, the proposed algorithm not only has high accuracy but also is fully distributed because it only needs local communication between neighboring WFs. Moreover, it strictly protects the data privacy of every WF during communications. Furthermore, its robustness to communication failure is guaranteed by the consensus feature.
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