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Probabilistic energy forecasting using the nearest neighbors quantile filter and quantile regression

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  • González Ordiano, Jorge Ángel
  • Gröll, Lutz
  • Mikut, Ralf
  • Hagenmeyer, Veit

Abstract

Parametric quantile regression is a useful tool for obtaining probabilistic energy forecasts. Nonetheless, traditional quantile regressions may be complicated to obtain using complex data mining techniques (e.g., artificial neural networks), since they are trained using a non-differentiable cost function. This article presents a method that uses a new nearest neighbors quantile filter to obtain quantile regressions independently of the data mining technique utilized and without the non-differentiable cost function. This method is subsequently validated using the dataset from the 2014 Global Energy Forecasting Competition. The results show that the method presented here is able to solve the competition’s task with a similar accuracy to the competition’s winner and in a similar timeframe, but requiring a much less powerful computer. This property may be relevant in an online forecasting service for which the fast computation of probabilistic forecasts using less powerful machines is required.

Suggested Citation

  • González Ordiano, Jorge Ángel & Gröll, Lutz & Mikut, Ralf & Hagenmeyer, Veit, 2020. "Probabilistic energy forecasting using the nearest neighbors quantile filter and quantile regression," International Journal of Forecasting, Elsevier, vol. 36(2), pages 310-323.
    • Handle: RePEc:eee:intfor:v:36:y:2020:i:2:p:310-323
    DOI: 10.1016/j.ijforecast.2019.06.003
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    Cited by:

    1. Dumas, Jonathan & Wehenkel, Antoine & Lanaspeze, Damien & Cornélusse, Bertrand & Sutera, Antonio, 2022. "A deep generative model for probabilistic energy forecasting in power systems: normalizing flows," Applied Energy, Elsevier, vol. 305(C).
    2. Lv, Jiaqing & Zheng, Xiaodong & Pawlak, Mirosław & Mo, Weike & Miśkowicz, Marek, 2021. "Very short-term probabilistic wind power prediction using sparse machine learning and nonparametric density estimation algorithms," Renewable Energy, Elsevier, vol. 177(C), pages 181-192.
    3. Monjazeb, Mohammad Reza & Amiri, Hossein & Movahedi, Akram, 2024. "Wholesale electricity price forecasting by Quantile Regression and Kalman Filter method," Energy, Elsevier, vol. 290(C).
    4. González-Ordiano, Jorge Ángel & Mühlpfordt, Tillmann & Braun, Eric & Liu, Jianlei & Çakmak, Hüseyin & Kühnapfel, Uwe & Düpmeier, Clemens & Waczowicz, Simon & Faulwasser, Timm & Mikut, Ralf & Hagenmeye, 2021. "Probabilistic forecasts of the distribution grid state using data-driven forecasts and probabilistic power flow," Applied Energy, Elsevier, vol. 302(C).

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