About me


Yes, it’s me with the crystal ball/binoculars; one of my main research areas is probabilistic forecasting. However, here I would like briefly to introduce you to all my main research areas, give some facts about my interests in general (research, lectures and innovation), and finally provide some references to subjects I find interesting.

Who am I?

Henrik MadsenI’m the Section Head and Professor in Stochastic Dynamical Systems at the Technical University of Denmark in Lyngby (near Copenhagen), Section for Dynamical Systems at the Department for Applied Mathematics and Computer Sciences.

Since January 2014 I’m heading a National Strategic Research Centre (DSF Centre) entitled: Centre for IT-Intelligent Energy Systems in Cities (CITIES). This centre aims at being a leading research centre related to Smart Cities and Green IT activities.

I have been guest lecturing at a number of universities, such as University of Lund (Mathematics), Fourier University in Grenoble (Section for Mathematical Statistics),  University of Copenhagen (Mathematical Statistics), Technical University of Münich (TUM), Iowa State University (Department of Statistics), University of Almeria in Spain (Department of Physics), Charles III University of Madrid in Leganés (Department of Statistics), and many other places.

Main research areas

My research interests can be split into more fundamental research and research related to applications. Regarding the basic research the main interest is related to analysis and modeling of stochastic dynamical systems. This includes signal processing, time series analysis, model identification, statistical model building, estimation techniques, grey box modeling, probabilistic forecasting and stochastic control theory. The applications are mostly related to energy systems, informatics, environmental systems, pharmaceutical systems, biostatistics, process modeling and finance. Being at a technical university I’m heavily inspired by trying to solve real life problems in physics, biology, and engineering.

I have authored about 480 papers and technical reports and about 10 books. The latest books are

Since 1992 I have been the leader of one of the most active research groups in Europe in relation to wind and solar power forecasting as well as methods for integration of renewables in the power systems.