相关论文: Multivariate Probabilistic CRPS Learning with an A…

Combination and aggregation techniques can significantly improve forecast accuracy. This also holds for probabilistic forecasting methods where predictive distributions are combined. There are several time-varying and adaptive weighting…

Probabilistic price forecasting has recently gained attention in power trading because decisions based on such predictions can yield significantly higher profits than those made with point forecasts alone. At the same time, methods are…

Precise day-ahead forecasts for electricity prices are crucial to ensure efficient portfolio management, support strategic decision-making for power plant operations, enable efficient battery storage optimization, and facilitate demand…

We present a winning method of the IEEE DataPort Competition on Day-Ahead Electricity Demand Forecasting: Post-COVID Paradigm. The day-ahead load forecasting approach is based on online forecast combination of multiple point prediction…

The paper presents numerical experiments and some theoretical developments in prediction with expert advice (PEA). One experiment deals with predicting electricity consumption depending on temperature and uses real data. As the pattern of…

Probabilistic electricity price forecasting (PEPF) is vital for short-term electricity markets, yet the multivariate nature of day-ahead prices - spanning 24 consecutive hours - remains underexplored. At the same time, real-time…

Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields of statistical science. The dissimilarity between a probability forecast and an outcome is measured by a loss function…

Large-scale streaming data are common in modern machine learning applications and have led to the development of online learning algorithms. Many fields, such as supply chain management, weather and meteorology, energy markets, and finance,…

We propose a novel machine learning approach for probabilistic forecasting of hourly day-ahead electricity prices. In contrast with the recent advances in data-rich probabilistic forecasting, which approximates distributions with few…

Accurate prediction of electricity prices is crucial for stakeholders in the energy market, particularly for grid operators, energy producers, and consumers. This study focuses on developing a predictive model leveraging Long Short-Term…

We revisit the interest of classical statistical techniques for sales forecasting like exponential smoothing and extensions thereof (as Holt's linear trend method). We do so by considering ensemble forecasts, given by several instances of…

In this paper, a multivariate constrained robust M-regression (MCRM) method is developed to estimate shaping coefficients for electricity forward prices. An important benefit of the new method is that model arbitrage can be ruled out at an…

Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estimation accuracy may be unstable over time. Online aggregation…

Accurate short-term price forecasting is essential for daily operations in electricity markets. This article introduces a new method, called Smoothing Quantile Regression (SQR) Averaging, that improves upon well-performing probabilistic…

In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…

The importance of accurately quantifying forecast uncertainty has motivated much recent research on probabilistic forecasting. In particular, a variety of deep learning approaches has been proposed, with forecast distributions obtained as…

The short-term forecasting of real-time locational marginal price (LMP) and network congestion is considered from a system operator perspective. A new probabilistic forecasting technique is proposed based on a multiparametric programming…

Probabilistic electricity price forecasting (PEPF) is subject of increasing interest, following the demand for proper quantification of prediction uncertainty, to support the operation in complex power markets with increasing share of…

Quantifying forecast uncertainty is a key aspect of state-of-the-art numerical weather prediction and data assimilation systems. Ensemble-based data assimilation systems incorporate state-dependent uncertainty quantification based on…

Load forecasting is crucial for multiple energy management tasks such as scheduling generation capacity, planning supply and demand, and minimizing energy trade costs. Such relevance has increased even more in recent years due to the…