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June 2021 Additive stacking for disaggregate electricity demand forecasting
Christian Capezza, Biagio Palumbo, Yannig Goude, Simon N. Wood, Matteo Fasiolo
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Ann. Appl. Stat. 15(2): 727-746 (June 2021). DOI: 10.1214/20-AOAS1417

Abstract

Future grid management systems will coordinate distributed production and storage resources to manage, in a cost effective fashion, the increased load and variability brought by the electrification of transportation and by a higher share of weather dependent production. Electricity demand forecasts at a low level of aggregation will be key inputs for such systems. We focus on forecasting demand at the individual household level, which is more challenging than forecasting aggregate demand, due to the lower signal-to-noise ratio and to the heterogeneity of consumption patterns across households. We propose a new ensemble method for probabilistic forecasting which borrows strength across the households while accommodating their individual idiosyncrasies. In particular, we develop a set of models or “experts” which capture different demand dynamics, and we fit each of them to the data from each household. Then, we construct an aggregation of experts where the ensemble weights are estimated on the whole data set, the main innovation being that we let the weights vary with the covariates by adopting an additive model structure. In particular, the proposed aggregation method is an extension of regression stacking where the mixture weights are modelled using linear combinations of parametric, smooth or random effects. The methods for building and fitting additive stacking models are implemented by the gamFactory R package, available at https://github.com/mfasiolo/gamFactory.

Funding Statement

This work was partially funded by EPSRC grant EP/N509619/1 and by Électricité de France.

Acknowledgments

We would like to thank the anonymous referees for comments and suggestions that helped us improve the quality of this paper. We are also thankful to Jethro Browell and Stephen Haben for helpful discussions on the use of disaggregate forecasts for grid management.

Citation

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Christian Capezza. Biagio Palumbo. Yannig Goude. Simon N. Wood. Matteo Fasiolo. "Additive stacking for disaggregate electricity demand forecasting." Ann. Appl. Stat. 15 (2) 727 - 746, June 2021. https://doi.org/10.1214/20-AOAS1417

Information

Received: 1 June 2020; Revised: 1 October 2020; Published: June 2021
First available in Project Euclid: 12 July 2021

Digital Object Identifier: 10.1214/20-AOAS1417

Rights: Copyright © 2021 Institute of Mathematical Statistics

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Vol.15 • No. 2 • June 2021
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