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Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts

Author

Listed:
  • Bidong Liu
  • Jakub Nowotarski
  • Tao Hong
  • Rafal Weron

Abstract

Majority of the load forecasting literature has been on point forecasting, which provides the expected value for each step throughout the forecast horizon. In the smart grid era, the electricity demand is more active and less predictable than ever before. As a result, probabilistic load forecasting, which provides additional information on the variability and uncertainty of future load values, is becoming of great importance to power systems planning and operations. This paper proposes a practical methodology to generate probabilistic load forecasts by performing Quantile Regression Averaging (QRA) on a set of sister point forecasts. There are two major benefits of the proposed approach: 1) it can leverage the development in the point load forecasting literature over the past several decades; and 2) it does not rely so much on high quality expert forecasts, which are rarely achievable in load forecasting practice. To demonstrate the effectiveness of the proposed approach and make the results reproducible to the load forecasting community, we construct a case study using the publicly available data from the Global Energy Forecasting Competition 2014. Comparing with the benchmark methods that utilize the variability of a selected individual forecast, the proposed approach leads to dominantly better performance as measured by the pinball loss function and the Winkler score.

Suggested Citation

  • Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron, 2015. "Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts," HSC Research Reports HSC/15/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:wpaper:hsc1501
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_15_01.pdf
    File Function: Revised version, 2015-03-26
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    References listed on IDEAS

    as
    1. Hong, Tao & Pinson, Pierre & Fan, Shu, 2014. "Global Energy Forecasting Competition 2012," International Journal of Forecasting, Elsevier, vol. 30(2), pages 357-363.
    2. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, April.
    3. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
    4. Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2013. "Combining expert forecasts: Can anything beat the simple average?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 108-121.
    5. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    6. Tao Hong, 2014. "Energy Forecasting: Past, Present, and Future," Foresight: The International Journal of Applied Forecasting, International Institute of Forecasters, issue 32, pages 43-48, Winter.
    7. Hong, Tao & Wang, Pu & White, Laura, 2015. "Weather station selection for electric load forecasting," International Journal of Forecasting, Elsevier, vol. 31(2), pages 286-295.
    8. Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał, 2016. "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," International Journal of Forecasting, Elsevier, vol. 32(3), pages 957-965.
    9. Nedellec, Raphael & Cugliari, Jairo & Goude, Yannig, 2014. "GEFCom2012: Electric load forecasting and backcasting with semi-parametric models," International Journal of Forecasting, Elsevier, vol. 30(2), pages 375-381.
    10. Jakub Nowotarski & Rafał Weron, 2015. "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," Computational Statistics, Springer, vol. 30(3), pages 791-803, September.
    11. Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
    12. Tao Hong & Jason Wilson & Jingrui Xie, 2013. "Long term probabilistic load forecasting and normalization with hourly information," HSC Research Reports HSC/13/13, Hugo Steinhaus Center, Wroclaw University of Technology.
    13. Kenneth F. Wallis, 2005. "Combining Density and Interval Forecasts: A Modest Proposal," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 983-994, December.
    14. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
    15. Tao Hong & Pu Wang, 2013. "Fuzzy interaction regression for short term load forecasting," HSC Research Reports HSC/13/14, Hugo Steinhaus Center, Wroclaw University of Technology.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Niematallah Elamin & Mototsugu Fukushige, 2016. "A Quantile Regression Model for Electricity Peak Demand Forecasting: An Approach to Avoiding Power Blackouts," Discussion Papers in Economics and Business 16-22, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
    2. repec:eee:rensus:v:81:y:2018:i:p1:p:1548-1568 is not listed on IDEAS
    3. Wang, Pu & Liu, Bidong & Hong, Tao, 2016. "Electric load forecasting with recency effect: A big data approach," International Journal of Forecasting, Elsevier, vol. 32(3), pages 585-597.
    4. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2017. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models," HSC Research Reports HSC/17/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    5. Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron, 2017. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting," HSC Research Reports HSC/17/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    6. Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao, 2016. "Improving short term load forecast accuracy via combining sister forecasts," Energy, Elsevier, vol. 98(C), pages 40-49.
    7. Hong, Tao & Fan, Shu, 2016. "Probabilistic electric load forecasting: A tutorial review," International Journal of Forecasting, Elsevier, vol. 32(3), pages 914-938.
    8. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.

    More about this item

    Keywords

    Electric load forecasting; Forecast combination; Pinball loss function; Probabilistic forecasting; Prediction interval; Quantile regression; Sister forecast; Winkler score;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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