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Hierarchical Probabilistic Forecasting of Electricity Demand With Smart Meter Data

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  • Souhaib Ben Taieb
  • James W. Taylor
  • Rob J. Hyndman

Abstract

Decisions regarding the supply of electricity across a power grid must take into consideration the inherent uncertainty in demand. Optimal decision-making requires probabilistic forecasts for demand in a hierarchy with various levels of aggregation, such as substations, cities, and regions. The forecasts should be coherent in the sense that the forecast of the aggregated series should equal the sum of the forecasts of the corresponding disaggregated series. Coherency is essential, since the allocation of electricity at one level of the hierarchy relies on the appropriate amount being provided from the previous level. We introduce a new probabilistic forecasting method for a large hierarchy based on UK residential smart meter data. We find our method provides coherent and accurate probabilistic forecasts, as a result of an effective forecast combination. Furthermore, by avoiding distributional assumptions, we find that our method captures the variety of distributions in the smart meter hierarchy. Finally, the results confirm that, to ensure coherency in our large-scale hierarchy, it is sufficient to model a set of lower-dimension dependencies, rather than modeling the entire joint distribution of all series in the hierarchy. In achieving coherent and accurate hierarchical probabilistic forecasts, this work contributes to improved decision-making for smart grids. Supplementary materials for this article, including a standardized description of the materials available for reproducing the work, are available as an online supplement.

Suggested Citation

  • Souhaib Ben Taieb & James W. Taylor & Rob J. Hyndman, 2021. "Hierarchical Probabilistic Forecasting of Electricity Demand With Smart Meter Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(533), pages 27-43, March.
  • Handle: RePEc:taf:jnlasa:v:116:y:2021:i:533:p:27-43
    DOI: 10.1080/01621459.2020.1736081
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    Cited by:

    1. Cengiz, Doruk & Tekgüç, Hasan, 2024. "Counterfactual reconciliation: Incorporating aggregation constraints for more accurate causal effect estimates," International Journal of Forecasting, Elsevier, vol. 40(2), pages 564-580.
    2. Mengchen Zhao & Santiago Gomez-Rosero & Hooman Nouraei & Craig Zych & Miriam A. M. Capretz & Ayan Sadhu, 2024. "Toward Prediction of Energy Consumption Peaks and Timestamping in Commercial Supermarkets Using Deep Learning," Energies, MDPI, vol. 17(7), pages 1-24, April.
    3. Sakai Ando & Futoshi Narita, 2024. "An Alternative Proof of Minimum Trace Reconciliation," Forecasting, MDPI, vol. 6(2), pages 1-6, June.
    4. Chen, Zhi & Gaba, Anil & Tsetlin, Ilia & Winkler, Robert L., 2022. "Evaluating quantile forecasts in the M5 uncertainty competition," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1531-1545.
    5. Olivares, Kin G. & Meetei, O. Nganba & Ma, Ruijun & Reddy, Rohan & Cao, Mengfei & Dicker, Lee, 2024. "Probabilistic hierarchical forecasting with deep Poisson mixtures," International Journal of Forecasting, Elsevier, vol. 40(2), pages 470-489.
    6. Athanasopoulos, George & Hyndman, Rob J. & Kourentzes, Nikolaos & Panagiotelis, Anastasios, 2024. "Forecast reconciliation: A review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 430-456.
    7. Jonathan Gumz & Diego Castro Fettermann & Enzo Morosini Frazzon & Mirko Kück, 2022. "Using Industry 4.0’s Big Data and IoT to Perform Feature-Based and Past Data-Based Energy Consumption Predictions," Sustainability, MDPI, vol. 14(20), pages 1-34, October.
    8. Pesantez, Jorge E. & Li, Binbin & Lee, Christopher & Zhao, Zhizhen & Butala, Mark & Stillwell, Ashlynn S., 2023. "A Comparison Study of Predictive Models for Electricity Demand in a Diverse Urban Environment," Energy, Elsevier, vol. 283(C).
    9. Leprince, Julien & Madsen, Henrik & Møller, Jan Kloppenborg & Zeiler, Wim, 2023. "Hierarchical learning, forecasting coherent spatio-temporal individual and aggregated building loads," Applied Energy, Elsevier, vol. 348(C).
    10. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    11. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    12. Di Fonzo, Tommaso & Girolimetto, Daniele, 2023. "Cross-temporal forecast reconciliation: Optimal combination method and heuristic alternatives," International Journal of Forecasting, Elsevier, vol. 39(1), pages 39-57.
    13. Di Fonzo, Tommaso & Girolimetto, Daniele, 2024. "Forecast combination-based forecast reconciliation: Insights and extensions," International Journal of Forecasting, Elsevier, vol. 40(2), pages 490-514.
    14. Haben, Stephen & Arora, Siddharth & Giasemidis, Georgios & Voss, Marcus & Vukadinović Greetham, Danica, 2021. "Review of low voltage load forecasting: Methods, applications, and recommendations," Applied Energy, Elsevier, vol. 304(C).
    15. Corani, Giorgio & Azzimonti, Dario & Rubattu, Nicolò, 2024. "Probabilistic reconciliation of count time series," International Journal of Forecasting, Elsevier, vol. 40(2), pages 457-469.
    16. Mikkel L. Sørensen & Peter Nystrup & Mathias B. Bjerregård & Jan K. Møller & Peder Bacher & Henrik Madsen, 2023. "Recent developments in multivariate wind and solar power forecasting," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 12(2), March.
    17. Park, Jungyeon & Alvarenga, Estêvão & Jeon, Jooyoung & Li, Ran & Petropoulos, Fotios & Kim, Hokyun & Ahn, Kwangwon, 2024. "Probabilistic forecast-based portfolio optimization of electricity demand at low aggregation levels," Applied Energy, Elsevier, vol. 353(PB).

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