Adaptive Probabilistic Forecasting of Electricity Net-Load

Electricity load forecasting is a necessary capability for power system operators and electricity market participants. Both demand and supply characteristics evolve over time. On the demand side, unexpected events as well as longer-term changes in consumption habits affect demand patterns. On the production side, the increasing penetration of intermittent power generation significantly changes the forecasting needs. We address this challenge in two ways. First, our setting is adaptive; our models take into account the most recent observations available to automatically respond to changes in the underlying process. Second, we consider probabilistic rather than point forecasting; indeed, uncertainty quantification is required to operate electricity systems efficiently and reliably. Our methodology relies on the Kalman filter, previously used successfully for adaptive point load forecasting. The probabilistic forecasts are obtained by quantile regressions on the residuals of the point forecasting model. We achieve adaptive quantile regressions using the online gradient descent; we avoid the choice of the gradient step size considering multiple learning rates and aggregation of experts. We apply our methodology to the regional net-load in Great Britain; by net-load we denote the difference between the consumption and the embedded generation (mainly wind and solar energy). Indeed, as the production of new renewables increases, that quantity is becoming more popular.
The presentation is based on a joint work with J. Browell, M. Fasiolo, Y. Goude and O. Wintenberger (ieeexplore.ieee.org/document/10234679).