Combining Sister Load Forecasts
Tao Hong, PhD Graduate Program Director and Assistant Professor
University of North Carolina at Charlotte
June 24, 2015
• Energy Production & Infrastructure Center (EPIC)
• Systems Engineering & Engineering Management
• Big Data Energy Analytics Laboratory (BigDEAL)
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Agenda
• Electric load forecasting
• Forecast combination
• Sister load forecasts
• Global Energy Forecasting Competition
• Case study
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In case Rob didn’t cover these…
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Electric Load Forecasting
• Conventional – Aggregated level, point output
• (Hong, 2010)
• What’s new – Hierarchical load forecasting
• (Hong, Pinson and Fan, 2014); (Hong, Wang and White, 2015)
– Probabilistic load forecasting • (Hong and Fan, 2016); (Hong, Pinson, Fan, Zareipour, Troccoli and
Hyndman, 2016)
– Load forecast combination • (Liu, Nowotarski, Hong and Weron, 2015)
• (J. Liu, 2015) (Nowotarski, Liu, Weron and Hong, 2015)
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Forecast Combination – Why?
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A man with a watch knows what time it is. A man with two watches is never sure. BUT …
http://blog.drhongtao.com/2013/04/three-more-must-know-basics.html
Forecast Combination – How?
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Combination methods
Simple average & median
Simple average
Modified simple average
Median
Trimmed mean & Winsorized mean
Trimmed mean
Winsorized mean
Group Analysis
Using absolute residual
Using MAPE
Rolling combination
Using absolute residual
Using daily MAPE
Using mean of N-day absolute residual
Using mean of N-day absolute residual by hour
Using mean of N-day square of residual by hour
Regression combination
Forecast Combination – What?
• Common practice: “independent experts”
– Hard to find
– Expensive
– Black box
– Structural changes
– …
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Sister Load Forecasts
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P. Wang, B. Liu and T. Hong, "Electric load forecasting with recency effect: a big data approach', submitted to IJF, 2015 M. Pesaran and A. Pick, “Forecast combination across estimation windows,” Journal of Business and Economic Statistics, vol. 29, no. 2, pp. 307–318, 2011.
Sister Load Forecasts
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GEFCom2012
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GEFCom2014
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GEFCom2014-L
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GEFCom2014-L
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4.2
4.25
4.3
4.35
4.4
4.45
4.5
4.55
4.6
MA
PE
(%)
Forecast combination MAPEs for validation period
Benchmark 1
Benchmark 2
4.575
4.385
4.299
GEFCom2014-L
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Techniques Validation MAPE (%)
Test MAPE (%)
Benchmark 1 4.575 5.013
Benchmark 2 4.385 5.081
Regression combination
4.299 4.545
A More Extensive Study
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Further Readings
Key references
• P. Wang, B. Liu and T. Hong, "Electric load forecasting with recency effect: a big data approach', submitted to IJF, 2015
• B. Liu, J. Nowotarski, T. Hong and R. Weron, "Probabilistic load forecasting via quantile regression averaging on sister forecasts", TSG, 2015
• J. Liu, “Combining Sister Load Forecasts”, MS Thesis, UNC Charlotte, 2015
• J. Nowotarski, B. Liu, R. Weron and T. Hong, "Improving short term load forecast accuracy via combining sister forecasts", submitted to EGY, 2015
• T. Hong, P. Pinson, S. Fan, H. Zareipour, A. Troccoli and R. J. Hyndman, "Probabilistic energy forecasting: state-of-the-art 2015", IJF, 2016
Questions?
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For more information, please contact Dr. Tao Hong
[email protected] www.drhongtao.com blog.drhongtao.com