6 research outputs found
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
Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model
Long-term electricity 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 on the construction of excess power facilities, while an underestimate of the future load will result in insufficient generation and inadequate demand. As a first of its kind, this research proposes the use of a multiplicative error model (MEM) in forecasting electricity load for the 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, as accessed from a United States (U.S.) regional transmission operator, and recession data, accessed from the National Bureau of Economic Research, are 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. Historical volatility is used to account for implied volatility. To incorporate future volatility, backtesting of MEM is performed. Two performance indicators used to assess the proposed model are: (i) loss functions in terms of mean absolute percentage error and mean squared error (for both in-sample model fit and out-of-sample forecasts) and (ii) directional accuracy
A multivariate framework to study spatio-temporal dependency of electricity load and wind power
With massive wind power integration, the spatial distribution of electricity load centers and wind power plants make it plausible to study the inter-spatial dependence and temporal correlation for the effective working of the power system. In this paper, a novel multivariate framework is developed to study the spatio-temporal dependency using vine copula. Hourly resolution of load and wind power data obtained from a US regional transmission operator spanning 3 years and spatially distributed in 19 load and two wind power zones are considered in this study. Data collection, in terms of dimension, tends to increase in future, and to tackle this high-dimensional data, a reproducible sampling algorithm using vine copula is developed. The sampling algorithm employs k-means clustering along with singular value decomposition technique to ease the computational burden. Selection of appropriate clustering technique and copula family is realized by the goodness of clustering and goodness of fit tests. The paper concludes with a discussion on the importance of spatio-temporal modeling of load and wind power and the advantage of the proposed multivariate sampling algorithm using vine copula