Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts

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.