Probabilistic multivariate electricity price forecasting using implicit generative ensemble post-processing

05/27/2020
by   Tim Janke, et al.
0

The reliable estimation of forecast uncertainties is crucial for risk-sensitive optimal decision making. In this paper, we propose implicit generative ensemble post-processing, a novel framework for multivariate probabilistic electricity price forecasting. We use a likelihood-free implicit generative model based on an ensemble of point forecasting models to generate multivariate electricity price scenarios with a coherent dependency structure as a representation of the joint predictive distribution. Our ensemble post-processing method outperforms well-established model combination benchmarks. This is demonstrated on a data set from the German day-ahead market. As our method works on top of an ensemble of domain-specific expert models, it can readily be deployed to other forecasting tasks.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset

Sign in with Google

×

Use your Google Account to sign in to DeepAI

×

Consider DeepAI Pro