Long-Term Load Forecasting Considering Volatility Using Multiplicative Error Model

Long-term load forecasting plays a vital role for utilities and planners in terms of grid development and expansion planning. An overestimate of long-term electricity load will result in substantial wasted investment in the construction of excess power facilities, while an underestimate of future load will result in insufficient generation and unmet demand. This paper presents first-of-its-kind approach to use multiplicative error model (MEM) in forecasting load for long-term horizon. MEM originates from the structure of autoregressive conditional heteroscedasticity (ARCH) model where conditional variance is dynamically parameterized and it multiplicatively interacts with an innovation term of time-series. Historical load data, accessed from a U.S. regional transmission operator, and recession data for years 1993-2016 is used in this study. The superiority of considering volatility is proven by out-of-sample forecast results as well as directional accuracy during the great economic recession of 2008. To incorporate future volatility, backtesting of MEM model is performed. Two performance indicators used to assess the proposed model are mean absolute percentage error (for both in-sample model fit and out-of-sample forecasts) and directional accuracy.Comment: 19 pages, 11 figures, 3 table

A Survey on Data Mining Techniques Applied to Energy Time Series Forecasting

Data mining has become an essential tool during the last decade to analyze large sets of data. The variety of techniques it includes and the successful results obtained in many application fields, make this family of approaches powerful and widely used. In particular, this work explores the application of these techniques to time series forecasting. Although classical statistical-based methods provides reasonably good results, the result of the application of data mining outperforms those of classical ones. Hence, this work faces two main challenges: (i) to provide a compact mathematical formulation of the mainly used techniques; (ii) to review the latest works of time series forecasting and, as case study, those related to electricity price and demand markets.Ministerio de Economía y Competitividad TIN2014-55894-C2-RJunta de Andalucía P12- TIC-1728Universidad Pablo de Olavide APPB81309

Forecasting Automobile Demand Via Artificial Neural Networks & Neuro-Fuzzy Systems

The objective of this research is to obtain an accurate forecasting model for the demand for automobiles in Iran\u27s domestic market. The model is constructed using production data for vehicles manufactured from 2006 to 2016, by Iranian car makers. The increasing demand for transportation and automobiles in Iran necessitated an accurate forecasting model for car manufacturing companies in Iran so that future demand is met. Demand is deduced as a function of the historical data. The monthly gold, rubber, and iron ore prices along with the monthly commodity metals price index and the Stock index of Iran are Artificial neural network (ANN) and artificial neuro-fuzzy system (ANFIS) have been utilized in many fields such as energy consumption and load forecasting fields. The performances of the methodologies are investigated towards obtaining the most accurate forecasting model in terms of the forecast Mean Absolute Percentage Error (MAPE). It was concluded that the feedforward multi-layer perceptron network with back-propagation and the Levenberg-Marquardt learning algorithm provides forecasts with the lowest MAPE (5.85%) among the other models. Further development of the ANN network based on more data is recommended to enhance the model and obtain more accurate networks and subsequently improved forecasts

Forecasting future energy production using hybrid artificial neural network and arima model

The objective of this research is to obtain an accurate forecasting model for the amount of electricity (in kWh) that is generated from different primary energy sources in the U.S. In this research, Artificial Neural Network (ANN) and hybrid ARIMA and ANN algorithms were developed that can be used for forecasting the amount of energy production in the short, as well as, in the long run. Based on the inferences made from the available data provided by Energy Information Administration from January 2004 to December 2014, two different forecasting models for each primary energy source were constructed. These two models were validated with available data from January 2015 to November 2017, and their performance, as measured by forecasting errors computed, were compared. The results show that ANN algorithm is good for fossil fuels sources such as coal, petroleum, and natural gas. However, ARIMA - ANN hybrid works more accurately for renewable energy sources such as geothermal, hydroelectric, solar, and wind. Finally, the best predictor was selected for each primary energy source which provides valuable information regarding the future electricity generation, and future dominant energy source to generate electricity. This information will hopefully influence energy sector forecasting models and help the government to develop future regulations to shift toward dominant energy sources of the future

Short-term electricity price forecasting with recurrent regimes and structural breaks

This paper develops a new approach to short-term electricity forecasting by focusing upon the dynamic specification of an appropriate calibration dataset prior to model specification. It challenges the conventional forecasting principles which argue that adaptive methods should place most emphasis upon recent data and that regime-switching should likewise model transitions from the latest regime. The approach in this paper recognises that the most relevant dataset in the episodic, recurrent nature of electricity dynamics may not be the most recent. This methodology provides a dynamic calibration dataset approach that is based on cluster analysis applied to fundamental market regime indicators, as well as structural time series breakpoint analyses. Forecasting is based upon applying a hybrid fundamental optimisation model with a neural network to the appropriate calibration data. The results outperform other benchmark models in backtesting on data from the Iberian electricity market of 2017, which presents a considerable number of market structural breaks and evolving market price drivers

Real-Time Water Demand Forecasting System through an Agent-Based Architecture

Water policies have evolved enormously since the Rio Earth Summit (1992). These changes have led to the strategic importance of Water Demand Management. The aim is to provide wa-ter where and when it is required using the fewest resources. A key variable in this process is the demand forecasting. It is not sufficient to have long term forecasts, as the current context requires the continuous availability of reliable hourly predictions. This paper incorporates arti-ficial intelligence to the subject, through an agent-based system, whose basis are complex fore-casting methods (Box-Jenkins, Holt-Winters, Multi-Layer Perceptron Networks and Radial Ba-sis Function Networks). The prediction system also includes data mining, oriented to the pre and post processing of data and to the knowledge discovery, and other agents. Thereby, the system is capable of choosing at every moment the most appropriate forecast, reaching very low errors. It significantly improves the results of the different methods separatelyAyuda predoctoral Severo Ochoa. Ref BP13011

Forecasting Irregular Seasonal Power Consumption. An Application to a Hot-Dip Galvanizing Process

[EN] The method described in this document makes it possible to use the techniques usually applied to load prediction efficiently in those situations in which the series clearly presents seasonality but does not maintain a regular pattern. Distribution companies use time series to predict electricity consumption. Forecasting techniques based on statistical models or artificial intelligence are used. Reliable forecasts are required for efficient grid management in terms of both supply and capacity. One common underlying feature of most demand-related time series is a strong seasonality component. However, in some cases, the electricity demanded by a process presents an irregular seasonal component, which prevents any type of forecast. In this article, we evaluated forecasting methods based on the use of multiple seasonal models: ARIMA, Holt-Winters models with discrete interval moving seasonality, and neural networks. The models are explained and applied to a real situation, for a node that feeds a galvanizing factory. The zinc hot-dip galvanizing process is widely used in the automotive sector for the protection of steel against corrosion. It requires enormous energy consumption, and this has a direct impact on companies' income statements. In addition, it significantly affects energy distribution companies, as these companies must provide for instant consumption in their supply lines to ensure sufficient energy is distributed both for the process and for all the other consumers. The results show a substantial increase in the accuracy of predictions, which contributes to a better management of the electrical distribution.Trull, O.; García-Díaz, JC.; Peiró Signes, A. (2021). Forecasting Irregular Seasonal Power Consumption. An Application to a Hot-Dip Galvanizing Process. Applied Sciences. 11(1):1-24. https://doi.org/10.3390/app11010075S12411

Forecasting in Mathematics

Mathematical probability and statistics are an attractive, thriving, and respectable part of mathematics. Some mathematicians and philosophers of science say they are the gateway to mathematics’ deepest mysteries. Moreover, mathematical statistics denotes an accumulation of mathematical discussions connected with efforts to most efficiently collect and use numerical data subject to random or deterministic variations. Currently, the concept of probability and mathematical statistics has become one of the fundamental notions of modern science and the philosophy of nature. This book is an illustration of the use of mathematics to solve specific problems in engineering, statistics, and science in general