Adaptive Probabilistic Forecasting of Electricity (Net-)Load

We focus on electricity load forecasting under three important specificities. First, our setting is adaptive; we use models taking into account the most recent observations available, yielding a forecasting strategy able to automatically respond to regime changes. Second, we consider probabilistic rather than point forecasting; indeed, uncertainty quantification is required to operate electricity systems efficiently and reliably. Third, we consider both conventional load (consumption only) and netload (consumption less embedded generation). 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 the method to two data sets: the regional net-load in Great Britain and the demand of seven large cities in the United States. Adaptive procedures improve forecast performance substantially in both use cases and for both point and probabilistic forecasting.