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Forecasting based on an ensemble Autoregressive Moving Average - Adaptive neuro - Fuzzy inference system – Neural network - Genetic Algorithm Framework

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  • Prado, Francisco
  • Minutolo, Marcel C.
  • Kristjanpoller, Werner

Abstract

This paper proposes a novel ensemble methodology comprising an auto regressive integrated moving average, artificial neural network, fuzzy inference system model, adaptive neuro fuzzy inference system, support vector regression, extreme machine learning, and genetic algorithm to forecast aggregated, long-term energy demand. After comparing the framework with several benchmark methods by the loss functions mean squared error and mean absolute percentage error, and applying a model confidence set this work suggests that the proposed method improves forecasting accuracy over previous approaches. The proposed approach resulted in a mean squared error decrease of 22.3% and mean absolute percentage error by 33.1% with respect to the best artificial intelligence and econometric models in a sample study. Post-processing optimization of the forecasting ensemble in this methodology improves prediction accuracy. The approach developed herein provides an addition to the field for how hybridized models and augmented forecasting accuracy can be improved. Continued improvements to forecasting techniques are extremely important especially in areas where there are upper bound constraints on supply and lower bound on minimum operation levels.

Suggested Citation

  • Prado, Francisco & Minutolo, Marcel C. & Kristjanpoller, Werner, 2020. "Forecasting based on an ensemble Autoregressive Moving Average - Adaptive neuro - Fuzzy inference system – Neural network - Genetic Algorithm Framework," Energy, Elsevier, vol. 197(C).
    • Handle: RePEc:eee:energy:v:197:y:2020:i:c:s0360544220302668
    DOI: 10.1016/j.energy.2020.117159
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