Any-Quantile Probabilistic Forecasting of Short-Term Electricity Demand

• URL: http://arxiv.org/abs/2404.17451v2
• Date: Fri, 04 Oct 2024 13:56:14 GMT
• Title: Any-Quantile Probabilistic Forecasting of Short-Term Electricity Demand
• Authors: Slawek Smyl, Boris N. Oreshkin, Paweł Pełka, Grzegorz Dudek,
• Abstract summary: Power systems operate under uncertainty originating from multiple factors that are impossible to account for deterministically. Recent progress in deep learning has helped to significantly improve the accuracy of point forecasts. We propose a novel general approach for distributional forecasting capable of predicting arbitrary quantiles.
• Score: 8.068451210598678
• License:
• Abstract: Power systems operate under uncertainty originating from multiple factors that are impossible to account for deterministically. Distributional forecasting is used to control and mitigate risks associated with this uncertainty. Recent progress in deep learning has helped to significantly improve the accuracy of point forecasts, while accurate distributional forecasting still presents a significant challenge. In this paper, we propose a novel general approach for distributional forecasting capable of predicting arbitrary quantiles. We show that our general approach can be seamlessly applied to two distinct neural architectures leading to the state-of-the-art distributional forecasting results in the context of short-term electricity demand forecasting task. We empirically validate our method on 35 hourly electricity demand time-series for European countries. Our code is available here: https://github.com/boreshkinai/any-quantile.

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