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This is in a sense a tethered airship and it's really vague in my mind, but there will be diagrams.
There's a vehicle called a wave glider, used to monitor whales, climate change and for military purposes. It floats on the sea and moves itself along by bobbing, and it's in the link below.
is for an aerial equivalent, working thus. A streamlined lighter-than air blimp is connected via a vertical pole to a platform whose weight exactly balances the lifting power of the blimp - neutral buoyancy. The platform is rectangular with its long axis parallel to the long axis of the blimp. It carries a transverse vertical sail in the middle which can flap towards the tail end of the blimp but is unable to become completely horizontal or vertical. As the blimp bobs up and down in the wind, it rocks back and forth, tilting the platform. This causes the sail to flop towards the tail, pushing the whole craft towards the front of the blimp. The whole thing then bobs back the other way, straightening the sail. Since the sail cannot become completely vertical, it continually pushes the "craft" in roughly the same direction. It isn't straight by any means, but it gradually drifts in the same general direction.
As such, it isn't hugely useful except as a novelty and to demonstrate that wind power can be converted directly to mechanical power. However, there is another option if such airships are tethered in a circular arrangement. Consider a ring of such airships joined to a horizontal wheel. The wind then blows them in a circle, causing rotary motion in one direction only, creating a horizontal windmill. Once again, this is completely pointless because horizontal windmills already exist.
I can't think of any practical use for this whatsoever, except that it needs no power of its own. Then again, unless it's on a rail of some kind it won't travel in a straight line.
Nautical equivalent [nineteenthly, Feb 25 2009]
Really bad drawing of it
In case the text isn't clear [nineteenthly, Feb 25 2009]
The wave glider above seems to be basically this, but driven vertically by waves instead of a variable-buoyancy device [notexactly, Apr 22 2019]
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||This one dropped like a stone... and now it rises.
I like it.
||// neutral buoyancy//
The word 'neutral' means the whole system is sitting in air and at whim of weather and would be pushed backwards.
In the wet system the bouyancy is strongly deflected for against current motion.
If the plate hopped along the ground, maybe but then there just could be a wind wand winding a hopping spring.
||// a wind wand winding a hopping spring //
||^Oh, explanation. A wind wand is a long pole that bends in the wind. It's curvature is functioned to wind strength. Spring pop up toys use timing of suction to release a compressed spring to jump. Using a wind wand's energy to wind the spring, the plated wand and spring (like the above system, but not neutral and simpler) could jump in a random direction or if the spring is slightly angled, in a constant direction.
||This idea would work if there was such a thing as switched dynamic weight. Oscillating weight between light and heavy, one could tack forward against a wind. Resistance on wings would be needed to deflect the air currents to give the correct glide direction. The weight change in energy terms would still have to be magnitudes greater than the wind. An oscillating engine that changes your position in altitude via gravity manipulation would be better.