Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German electricity price spreads between different hours of the day, as revealed in the day-ahead auctions. The four specifications of the density functions are dynamic and conditional upon exogenous drivers, thereby permitting the location, scale and shape parameters of the densities to respond hourly to such factors as weather and demand forecasts. The best fitting and forecasting specifications for each spread are selected based on the Pinball Loss function, following the closed-form analytical solutions of the cumulative distribution functions.
Institute of Statistics and Data Science, Nanjing Audit University（南京审计大学统计与数据科学学院）
China has made great achievements in electric power industry during the long-term deepening of reform and opening up. However, the complex regional economic, social and natural conditions, electricity resources are not evenly distributed, which accounts for the electricity deficiency in some regions of China. It is desirable to develop a robust electricity forecasting model. Motivated by which, we propose a Panel Semiparametric Quantile Regression Neural Network (PSQRNN) by utilizing the artificial neural network and semiparametric quantile regression. The PSQRNN can explore a potential linear…
The coronavirus disease 2019 (COVID-19) pandemic has urged many governments in the world to enforce a strict lockdown where all nonessential businesses are closed and citizens are ordered to stay at home. One of the consequences of this policy is a significant change in electricity consumption patterns. Since load forecasting models rely on calendar or meteorological information and are trained on historical data, they fail to capture the significant break caused by the lockdown and have exhibited poor performances since the beginning of the pandemic. This makes the scheduling of the electrici…
Highly accurate interval forecasting of electricity demand is fundamental to the success of reducing the risk when making power system planning and operational decisions by providing a range rather than point estimation. In this study, a novel modeling framework integrating bivariate empirical mode decomposition (BEMD) and support vector regression (SVR), extended from the well-established empirical mode decomposition (EMD) based time series modeling framework in the energy demand forecasting literature, is proposed for interval forecasting of electricity demand. The novelty of this study aris…
Probabilistic intraday electricity price forecasting using generative machine learning
Institute of Statistics, Karlsruhe Institute of Technology（卡尔斯鲁厄技术大学统计研究所）；Heidelberg Institute for Theoretical Studies（海德堡理论研究所）；Department of Mathematics and Computer Science, Marburg University（马堡大学数学与计算机科学系）；Department of Operations Research and Business Intelligence, Wrocław University of Science and Technology（波兹南大学 of Science and Technology 运筹学与商业智能系）
Universidad Carlos III de Madrid（马德里卡洛斯三世大学）；UC3M-Santander Big Data Institute (IBiDat)（马德里卡洛斯三世大学-桑坦德大数据研究所（IBiDat））
Most electricity systems worldwide are deploying advanced metering infrastructures to collect relevant operational data. In particular, smart meters allow tracking electricity load consumption at a very disaggregated level and at high frequency rates. This data opens the possibility of developing new forecasting models with a potential positive impact in electricity systems. We present a general methodology that is able to process and forecast a large number of smart meter time series. Instead of using traditional and univariate approaches, we develop a single but complex recurrent neural-netw…
We consider the setting of sequential prediction of arbitrary sequences based on specialized experts. We first provide a review of the relevant literature and present two theoretical contributions: a general analysis of the specialist aggregation rule of Freund et al. (1997) and an adaptation of fixed-share rules of Herbster and Warmuth (1998) in this setting. We then apply these rules to the sequential short-term (one-day-ahead) forecasting of electricity consumption; to do so, we consider two data sets, a Slovakian one and a French one, respectively concerned with hourly and half-hourly pred…
This work presents ensemble forecasting of monthly electricity demand using pattern similarity-based forecasting methods (PSFMs). PSFMs applied in this study include $k$-nearest neighbor model, fuzzy neighborhood model, kernel regression model, and general regression neural network. An integral part of PSFMs is a time series representation using patterns of time series sequences. Pattern representation ensures the input and output data unification through filtering a trend and equalizing variance. Two types of ensembles are created: heterogeneous and homogeneous. The former consists of differe…
Budapest University of Technology and Economics（布达佩斯技术与经济大学）
Energy price forecasting is a relevant yet hard task in the field of multi-step time series forecasting. In this paper we compare a well-known and established method, ARMA with exogenous variables with a relatively new technique Gradient Boosting Regression. The method was tested on data from Global Energy Forecasting Competition 2014 with a year long rolling window forecast. The results from the experiment reveal that a multi-model approach is significantly better performing in terms of error metrics. Gradient Boosting can deal with seasonality and auto-correlation out-of-the box and achieve …
This paper presents a convolutional neural network (CNN) which can be used for forecasting electricity load profiles 36 hours into the future. In contrast to well established CNN architectures, the input data is one-dimensional. A parameter scanning of network parameters is conducted in order to gain information about the influence of the kernel size, number of filters, and dense size. The results show that a good forecast quality can already be achieved with basic CNN architectures.The method works not only for smooth sum loads of many hundred consumers, but also for the load of apartment bui…
House of Energy Markets and Finance（能源市场与金融研究院）；University of Duisburg-Essen（杜伊斯堡-埃森大学）
We present a winning method of the IEEE DataPort Competition on Day-Ahead Electricity Demand Forecasting: Post-COVID Paradigm. The day-ahead load forecasting approach is based on online forecast combination of multiple point prediction models. It contains four steps: i) data cleaning and preprocessing, ii) a holiday adjustment procedure, iii) training of individual forecasting models, iv) forecast combination by smoothed Bernstein Online Aggregation (BOA). The approach is flexible and can quickly adopt to new energy system situations as they occurred during and after COVID-19 shutdowns. The po…
National Central University（国立中央大学）；National Pingtung University（国立屏东大学）；Jiangxi University of Science and Technology（江西理工大学）
In the modern power market, electricity trading is an extremely competitive industry. More accurate price forecast is crucial to help electricity producers and traders make better decisions. In this paper, a novel method of convolutional neural network (CNN) is proposed to rapidly provide hourly forecasting in the energy market. To improve prediction accuracy, we divide the annual electricity price data into four categories by seasons and conduct training and forecasting for each category respectively. By comparing the proposed method with other existing methods, we find that the proposed mode…
Electricity price is a key factor affecting the decision-making for all market participants. Accurate forecasting of electricity prices is very important and is also very challenging since electricity price is highly volatile due to various factors. This paper proposes an integrated long-term recurrent convolutional network (ILRCN) model to predict electricity prices considering the majority contributing attributes to the market price as input. The proposed ILRCN model combines the functionalities of convolutional neural network and long short-term memory (LSTM) algorithm along with the propos…
Wrocław University of Science and Technology（弗罗茨瓦夫科技大学）；Delft University of Technology（代尔夫特理工大学）；Energyville（能源城）；Flemish Institute for Technological Research (VITO)（弗拉芒技术研究院）
Recent advancements in the fields of artificial intelligence and machine learning methods resulted in a significant increase of their popularity in the literature, including electricity price forecasting. Said methods cover a very broad spectrum, from decision trees, through random forests to various artificial neural network models and hybrid approaches. In electricity price forecasting, neural networks are the most popular machine learning method as they provide a non-linear counterpart for well-tested linear regression models. Their application, however, is not straightforward, with multipl…
Forecasting the actual amount of electricity with respect to the need/demand of the load is always been a challenging task for each power plants based generating stations. Due to uncertain demand of electricity at receiving end of station causes several challenges such as: reduction in performance parameters of generating and receiving end stations, minimization in revenue, increases the jeopardize for the utility to predict the future energy need for a company etc. With this issues, the precise forecasting of load at the receiving end station is very consequential parameter to establish the i…
We explore the application of kernel-based multi-task learning techniques to forecast the demand of electricity in multiple nodes of a distribution network. We show that recently developed output kernel learning techniques are particularly well suited to solve this problem, as they allow to flexibly model the complex seasonal effects that characterize electricity demand data, while learning and exploiting correlations between multiple demand profiles. We also demonstrate that kernels with a multiplicative structure yield superior predictive performance with respect to the widely adopted (gener…
Institute of High Commercial Studies of Sousse (IHEC)（苏塞高等商业学院（IHEC））
Accurate electricity price forecasting is the main management goal for market participants since it represents the fundamental basis to maximize the profits for market players. However, electricity is a non-storable commodity and the electricity prices are affected by some social and natural factors that make the price forecasting a challenging task. This study investigates the predictive performance of a new hybrid model based on the Generalized long memory autoregressive model (k-factor GARMA), the Gegenbauer Generalized Autoregressive Conditional Heteroscedasticity(G-GARCH) process, Wavelet…
Bayesian Neural Networks with Monte Carlo Dropout for Probabilistic Electricity Price Forecasting
Faculty of Mathematics and Economics（数学与经济学学院）；Ulm University（乌尔姆大学）；Department of Mathematics, Natural and Economic Sciences（数学、自然科学与经济科学系）；Ulm University of Applied Sciences（乌尔姆应用科学大学）
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic forecasting of the hourly intraday electricity prices is performed by simulating trajectories in every trading window to receive a realistic ensemble to allow for more efficient intraday trading and redispatch. A generalized additive model is fitted to the price differences with the assumption that they follow a zero-inflated distribution, precisely a mixture …
The electricity consumption of buildings composes a major part of the city's energy consumption. Electricity consumption forecasting enables the development of home energy management systems resulting in the future design of more sustainable houses and a decrease in total energy consumption. Energy performance in buildings is influenced by many factors like ambient temperature, humidity, and a variety of electrical devices. Therefore, multivariate prediction methods are preferred rather than univariate. The Honda Smart Home US data set was selected to compare three methods for minimizing forec…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system in various ways. Due to the growing importance of probabilistic load forecast models, different approaches are presented in this analysis. The focus is on different models from the short-term sector. After that, another model from the long-term sector is presented. Then, the presented models are put in relation to each other and examined with reference to ad…
The field of electricity price forecasting has seen significant advances in the last years, including the development of new, more accurate forecast models. These models leverage statistical relationships in previously observed data to predict the future; however, there is a lack of analysis explaining these models, which limits their real world applicability in critical infrastructure. In this paper, using data from the Belgian electricity markets, we explore a state-of-the-art forecasting model to understand if its predictions can be trusted in more general settings than the limited context …
Accurate electricity demand forecasts play a crucial role in sustainable power systems. To enable better decision-making especially for demand flexibility of the end-user, it is necessary to provide not only accurate but also understandable and actionable forecasts. To provide accurate forecasts Global Forecasting Models (GFM) trained across time series have shown superior results in many demand forecasting competitions and real-world applications recently, compared with univariate forecasting approaches. We aim to fill the gap between the accuracy and the interpretability in global forecastin…
Short-Term Electricity-Load Forecasting by Deep Learning: A Comprehensive Survey
School of Computer Science and Engineering, Macau University of Science and Technology（澳门科学技术大学计算机科学与工程学院）；School of Computer Science, University of Nottingham Ningbo（诺丁汉大学宁波校区计算机科学学院）；Department of Engineering Science, Macau University of Science and Technology（澳门科学技术大学工程科学系）
Currently the UK Electric market is guided by load (demand) forecasts published every thirty minutes by the regulator. A key factor in predicting demand is weather conditions, with forecasts published every hour. We present HYENA: a hybrid predictive model that combines feature engineering (selection of the candidate predictor features), mobile-window predictors and finally LSTM encoder-decoders to achieve higher accuracy with respect to mainstream models from the literature. HYENA decreased MAPE loss by 16\% and RMSE loss by 10\% over the best available benchmark model, thus establishing a ne…
GE Research（通用电气研究中心）；Upstart Power（Upstart Power公司）
Predicting the demand for electricity with uncertainty helps in planning and operation of the grid to provide reliable supply of power to the consumers. Machine learning (ML)-based demand forecasting approaches can be categorized into (1) sample-based approaches, where each forecast is made independently, and (2) time series regression approaches, where some historical load and other feature information is used. When making a short-to-mid-term electricity demand forecast, some future information is available, such as the weather forecast and calendar variables. However, in existing forecasting…
Biofisika Institute (CSIC, UPV/EHU)（生物物理研究所（西班牙国家研究委员会、巴斯克大学））；University of the Basque Country (UPV/EHU)（巴斯克大学）；IKERBASQUE, Basque Foundation for Science（巴斯克科学基金会（IKERBASQUE））
This paper provides a description of the approach and methodology I used in winning the European Union Big Data Technologies Horizon Prize on data-driven prediction of electricity grid traffic. The methodology relies on identifying typical short-term recurrent fluctuations, which is subsequently refined through a regression-of-fluctuations approach. The key points and strategic considerations that led to selecting or discarding different methodological aspects are also discussed. The criteria include adaptability to changing conditions, reliability with outliers and missing data, robustness to…
Carnegie Mellon University（卡内基梅隆大学）；Wrocław University of Science and Technology（弗罗茨瓦夫理工大学）
We extend the neural basis expansion analysis (NBEATS) to incorporate exogenous factors. The resulting method, called NBEATSx, improves on a well performing deep learning model, extending its capabilities by including exogenous variables and allowing it to integrate multiple sources of useful information. To showcase the utility of the NBEATSx model, we conduct a comprehensive study of its application to electricity price forecasting (EPF) tasks across a broad range of years and markets. We observe state-of-the-art performance, significantly improving the forecast accuracy by nearly 20% over t…
As the volatility of electricity demand increases owing to climate change and electrification, the importance of accurate peak load forecasting is increasing. Traditional peak load forecasting has been conducted through time series-based models; however, recently, new models based on machine or deep learning are being introduced. This study performs a comparative analysis to determine the most accurate peak load-forecasting model for Korea, by comparing the performance of time series, machine learning, and hybrid models. Seasonal autoregressive integrated moving average with exogenous variable…
State University of New York（纽约州立大学）；Ninewatt Inc.（Ninewatt公司）；University of Central Asia（中亚大学）
As a result of increasing population and globalization, the demand for energy has greatly risen. Therefore, accurate energy consumption forecasting has become an essential prerequisite for government planning, reducing power wastage and stable operation of the energy management system. In this work we present a comparative analysis of major machine learning models for time series forecasting of household energy consumption. Specifically, we use Weka, a data mining tool to first apply models on hourly and daily household energy consumption datasets available from Kaggle data science community. …
Hybrid Kolmogorov-Arnold Network and XGBoost Framework for Week-Ahead Price Forecasting in Australia's National Electricity Market
Department of Data Science and AI, Faculty of IT, Monash University, Australia（数据科学与人工智能系，IT学院，墨尔本大学，澳大利亚）；School of Electrical Engineering and Computer Science, University of Queensland, Australia（电气工程与计算机科学学院，昆士兰大学，澳大利亚）；Monash Energy Institute, Monash University, Australia（墨尔本能源研究所，墨尔本大学，澳大利亚）
An Error Correction Mid-term Electricity Load Forecasting Model Based on Seasonal Decomposition
Southwest University（西南大学）；Chongqing Institute of Green and Intelligent Technology, Chinese Academy of Sciences（中国科学院重庆绿色智能技术研究院）；University of Chinese Academy of Sciences（中国科学院大学）
A Market-Rule-Informed Neural Network for Efficient Imbalance Electricity Price Forecasting
Delft University of Technology（代尔夫特理工大学）；Austrian Institute of Technology（奥地利技术研究院）；London Business School（伦敦商学院）；University of Technology Sydney（悉尼大学）；The Chinese University of Hongkong (Shenzhen)（香港中文大学（深圳））
