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Probabilistic gradient boosting machines for GEFCom2014 wind forecasting

Author

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  • Landry, Mark
  • Erlinger, Thomas P.
  • Patschke, David
  • Varrichio, Craig

Abstract

This paper describes the probabilistic wind power forecasting method that was used to win the wind track of the Global Energy Forecasting Competition 2014 (GEFCom2014). Executing a consistent machine learning framework for fitting independent models for each wind zone and quantile allowed us to automate our process for the duration of the competition. We used gradient boosted machines (GBM) for multiple quantile regression, fitting each quantile and zone independently. Standard smoothing techniques were applied to the dominant input signal in order to adapt to forecast inaccuracies, and a cross-sectional approach was applied. We provide a technique for utilizing information about correlated wind farms efficiently, using a two-layer modeling approach. Our accuracy was consistent throughout the competition, meaning that it can be utilized for similar day-ahead wind forecasting tasks with minimal modeling effort.

Suggested Citation

  • Landry, Mark & Erlinger, Thomas P. & Patschke, David & Varrichio, Craig, 2016. "Probabilistic gradient boosting machines for GEFCom2014 wind forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 1061-1066.
    • Handle: RePEc:eee:intfor:v:32:y:2016:i:3:p:1061-1066
    DOI: 10.1016/j.ijforecast.2016.02.002
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    Cited by:

    1. Montero-Manso, Pablo & Hyndman, Rob J., 2021. "Principles and algorithms for forecasting groups of time series: Locality and globality," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1632-1653.
    2. Dumas, Jonathan & Wehenkel, Antoine & Lanaspeze, Damien & Cornélusse, Bertrand & Sutera, Antonio, 2022. "A deep generative model for probabilistic energy forecasting in power systems: normalizing flows," Applied Energy, Elsevier, vol. 305(C).
    3. Ricardo J. Bessa & Corinna Möhrlen & Vanessa Fundel & Malte Siefert & Jethro Browell & Sebastian Haglund El Gaidi & Bri-Mathias Hodge & Umit Cali & George Kariniotakis, 2017. "Towards Improved Understanding of the Applicability of Uncertainty Forecasts in the Electric Power Industry," Energies, MDPI, vol. 10(9), pages 1-48, September.
    4. Tartakovsky, Alexandre M. & Ma, Tong & Barajas-Solano, David A. & Tipireddy, Ramakrishna, 2023. "Physics-informed Gaussian process regression for states estimation and forecasting in power grids," International Journal of Forecasting, Elsevier, vol. 39(2), pages 967-980.
    5. Yan, Jie & Möhrlen, Corinna & Göçmen, Tuhfe & Kelly, Mark & Wessel, Arne & Giebel, Gregor, 2022. "Uncovering wind power forecasting uncertainty sources and their propagation through the whole modelling chain," Renewable and Sustainable Energy Reviews, Elsevier, vol. 165(C).
    6. Moting Su & Zongyi Zhang & Ye Zhu & Donglan Zha & Wenying Wen, 2019. "Data Driven Natural Gas Spot Price Prediction Models Using Machine Learning Methods," Energies, MDPI, vol. 12(9), pages 1-17, May.
    7. Gilbert, Ciaran & Browell, Jethro & McMillan, David, 2021. "Probabilistic access forecasting for improved offshore operations," International Journal of Forecasting, Elsevier, vol. 37(1), pages 134-150.
    8. Lu, Shixiang & Xu, Qifa & Jiang, Cuixia & Liu, Yezheng & Kusiak, Andrew, 2022. "Probabilistic load forecasting with a non-crossing sparse-group Lasso-quantile regression deep neural network," Energy, Elsevier, vol. 242(C).
    9. Conor Sweeney & Ricardo J. Bessa & Jethro Browell & Pierre Pinson, 2020. "The future of forecasting for renewable energy," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 9(2), March.
    10. Croonenbroeck, Carsten & Stadtmann, Georg, 2019. "Renewable generation forecast studies – Review and good practice guidance," Renewable and Sustainable Energy Reviews, Elsevier, vol. 108(C), pages 312-322.
    11. Long Cai & Jie Gu & Jinghuan Ma & Zhijian Jin, 2019. "Probabilistic Wind Power Forecasting Approach via Instance-Based Transfer Learning Embedded Gradient Boosting Decision Trees," Energies, MDPI, vol. 12(1), pages 1-19, January.
    12. Juan Manuel González Sopeña & Vikram Pakrashi & Bidisha Ghosh, 2022. "A Spiking Neural Network Based Wind Power Forecasting Model for Neuromorphic Devices," Energies, MDPI, vol. 15(19), pages 1-24, October.
    13. Liu, Yin & Davanloo Tajbakhsh, Sam & Conejo, Antonio J., 2021. "Spatiotemporal wind forecasting by learning a hierarchically sparse inverse covariance matrix using wind directions," International Journal of Forecasting, Elsevier, vol. 37(2), pages 812-824.
    14. Tawn, R. & Browell, J., 2022. "A review of very short-term wind and solar power forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 153(C).
    15. Zhang, Wenjie & Quan, Hao & Srinivasan, Dipti, 2018. "Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination," Energy, Elsevier, vol. 160(C), pages 810-819.
    16. Xinxin He & Jungang Luo & Peng Li & Ganggang Zuo & Jiancang Xie, 2020. "A Hybrid Model Based on Variational Mode Decomposition and Gradient Boosting Regression Tree for Monthly Runoff Forecasting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 34(2), pages 865-884, January.
    17. Sun, Mucun & Feng, Cong & Chartan, Erol Kevin & Hodge, Bri-Mathias & Zhang, Jie, 2019. "A two-step short-term probabilistic wind forecasting methodology based on predictive distribution optimization," Applied Energy, Elsevier, vol. 238(C), pages 1497-1505.
    18. Jabeur, Sami Ben & Gharib, Cheima & Mefteh-Wali, Salma & Arfi, Wissal Ben, 2021. "CatBoost model and artificial intelligence techniques for corporate failure prediction," Technological Forecasting and Social Change, Elsevier, vol. 166(C).
    19. Paula Medina Maçaira & Yasmin Monteiro Cyrillo & Fernando Luiz Cyrino Oliveira & Reinaldo Castro Souza, 2019. "Including Wind Power Generation in Brazil’s Long-Term Optimization Model for Energy Planning," Energies, MDPI, vol. 12(5), pages 1-20, March.
    20. Ambach, Daniel & Schmid, Wolfgang, 2017. "A new high-dimensional time series approach for wind speed, wind direction and air pressure forecasting," Energy, Elsevier, vol. 135(C), pages 833-850.
    21. Jethro Browell, 2017. "Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market," Papers 1708.02625, arXiv.org.
    22. Jethro Browell, 2018. "Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market," Energies, MDPI, vol. 11(6), pages 1-17, May.

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