Prediction of infectious disease epidemics via weighted density ensembles

Accurate and reliable predictions of infectious disease dynamics can be valuable to public health organizations that plan interventions to decrease or prevent disease transmission. A great variety of models have been developed for this task, using different model structures, covariates, and targets for prediction. Experience has shown that the performance of these models varies; some tend to do better or worse in different seasons or at different points within a season. Ensemble methods combine multiple models to obtain a single prediction that leverages the strengths of each model. We considered a range of ensemble methods that each form a predictive density for a target of interest as a weighted sum of the predictive densities from component models. In the simplest case, equal weight is assigned to each component model; in the most complex case, the weights vary with the region, prediction target, week of the season when the predictions are made, a measure of component model uncertainty, and recent observations of disease incidence. We applied these methods to predict measures of influenza season timing and severity in the United States, both at the national and regional levels, using three component models. We trained the models on retrospective predictions from 14 seasons (1997/1998 - 2010/2011) and evaluated each model's prospective, out-of-sample performance in the five subsequent influenza seasons. In this test phase, the ensemble methods showed overall performance that was similar to the best of the component models, but offered more consistent performance across seasons than the component models. Ensemble methods offer the potential to deliver more reliable predictions to public health decision makers.Comment: 20 pages, 6 figure

PSO based Neural Networks vs. Traditional Statistical Models for Seasonal Time Series Forecasting

Seasonality is a distinctive characteristic which is often observed in many practical time series. Artificial Neural Networks (ANNs) are a class of promising models for efficiently recognizing and forecasting seasonal patterns. In this paper, the Particle Swarm Optimization (PSO) approach is used to enhance the forecasting strengths of feedforward ANN (FANN) as well as Elman ANN (EANN) models for seasonal data. Three widely popular versions of the basic PSO algorithm, viz. Trelea-I, Trelea-II and Clerc-Type1 are considered here. The empirical analysis is conducted on three real-world seasonal time series. Results clearly show that each version of the PSO algorithm achieves notably better forecasting accuracies than the standard Backpropagation (BP) training method for both FANN and EANN models. The neural network forecasting results are also compared with those from the three traditional statistical models, viz. Seasonal Autoregressive Integrated Moving Average (SARIMA), Holt-Winters (HW) and Support Vector Machine (SVM). The comparison demonstrates that both PSO and BP based neural networks outperform SARIMA, HW and SVM models for all three time series datasets. The forecasting performances of ANNs are further improved through combining the outputs from the three PSO based models.Comment: 4 figures, 4 tables, 31 references, conference proceeding

Improving Short-Term Electricity Price Forecasting Using Day-Ahead LMP with ARIMA Models

Short-term electricity price forecasting has become important for demand side management and power generation scheduling. Especially as the electricity market becomes more competitive, a more accurate price prediction than the day-ahead locational marginal price (DALMP) published by the independent system operator (ISO) will benefit participants in the market by increasing profit or improving load demand scheduling. Hence, the main idea of this paper is to use autoregressive integrated moving average (ARIMA) models to obtain a better LMP prediction than the DALMP by utilizing the published DALMP, historical real-time LMP (RTLMP) and other useful information. First, a set of seasonal ARIMA (SARIMA) models utilizing the DALMP and historical RTLMP are developed and compared with autoregressive moving average (ARMA) models that use the differences between DALMP and RTLMP on their forecasting capability. A generalized autoregressive conditional heteroskedasticity (GARCH) model is implemented to further improve the forecasting by accounting for the price volatility. The models are trained and evaluated using real market data in the Midcontinent Independent System Operator (MISO) region. The evaluation results indicate that the ARMAX-GARCH model, where an exogenous time series indicates weekend days, improves the short-term electricity price prediction accuracy and outperforms the other proposed ARIMA modelsComment: IEEE PES 2017 General Meeting, Chicago, I

Operational solar forecasting for the real-time market

Despite the significant progress made in solar forecasting over the last decade, most of the proposed models cannot be readily used by independent system operators (ISOs). This article proposes an operational solar forecasting algorithm that is closely aligned with the real-time market (RTM) forecasting requirements of the California ISO (CAISO). The algorithm first uses the North American Mesoscale (NAM) forecast system to generate hourly forecasts for a 5-h period that are issued 12 h before the actual operating hour, satisfying the lead-time requirement. Subsequently, the world's fastest similarity search algorithm is adopted to downscale the hourly forecasts generated by NAM to a 15-min resolution, satisfying the forecast-resolution requirement. The 5-h-ahead forecasts are repeated every hour, following the actual rolling update rate of CAISO. Both deterministic and probabilistic forecasts generated using the proposed algorithm are empirically evaluated over a period of 2 years at 7 locations in 5 climate zones

Unemployment Rates Forecasts – Unobserved Component Models Versus SARIMA Models In Central And Eastern European Countries

In this paper we compare the accuracy of unemployment rates forecasts of eight Central and Eastern European countries. The unobserved component models and seasonal ARIMA models are used within a rolling short-term forecast experiment as an out-of-sample test of forecast accuracy. We find that unemployment rates present clear unconditional asymmetry in three out of eight countries. Half the cases there is no difference between forecasting accuracy of the methods used in the study. In the remaining, a proper specification of seasonal ARIMA model allows to generate better forecasts than from unobserved component models. The forecasting accuracy deteriorates in periods of rapid upward and downward movement and improves in periods of gradual change in the unemployment rates

Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case

The aim of this paper is to assess inflation forecasting acurracy over the short-term horizon using Consumer Price Index (CPI) disaggregated data. That is, aggregating forecasts is compared with aggregate forecasting. In particular, three questions are addressed: i) one should bottom-up or not, ii) how bottom one should go and iii) how one should model at the bottom. In contrast with the literature, di erent levels of data dis-aggregation are allowed, namely a higher disaggregation level than the one considered up to now. Moreover, both univariate and multivariate models are considered, such as SARIMA and SARIMAX models with dynamic common factors. An out-of-sample forecast comparison (up to twelve months ahead) is done using Portuguese CPI dataset. Aggregating the forecasts seems to be better than aggregate forecasting up to a five-months ahead horizon. Moreover, this improvement increases with the disaggregation level and the multivariate modelling outperforms the univariate one in the very short-run.