Search results for: forecasting models

Authors: M. Centra

Abstract:

Due to the liberalization of countless electricity markets, load forecasting has become crucial to all public utilities for which electricity is a strategic variable. With the goal of contributing to the forecasting process inside public utilities, this paper addresses the issue of applying the Holt-Winters exponential smoothing technique and the time series analysis for forecasting the hourly electricity load curve of the Italian railways. The results of the analysis confirm the accuracy of the two models and therefore the relevance of forecasting inside public utilities.

Keywords: ARIMA models, Exponential smoothing, Electricity, Load forecasting, Rail transportation.

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Authors: Mogari I. Rapoo, Diteboho Xaba

Abstract:

This paper examines the forecasting performance of Autoregressive Integrated Moving Average (ARIMA) and Artificial Neural Networks (ANN) models with the published exchange rate obtained from South African Reserve Bank (SARB). ARIMA is one of the popular linear models in time series forecasting for the past decades. ARIMA and ANN models are often compared and literature revealed mixed results in terms of forecasting performance. The study used the MSE and MAE to measure the forecasting performance of the models. The empirical results obtained reveal the superiority of ARIMA model over ANN model. The findings further resolve and clarify the contradiction reported in literature over the superiority of ARIMA and ANN models.

Keywords: ARIMA, artificial neural networks models, error metrics, exchange rates.

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Authors: Fazıl Gökgöz, Fahrettin Filiz

Abstract:

Electricity prices have sophisticated features such as high volatility, nonlinearity and high frequency that make forecasting quite difficult. Electricity price has a volatile and non-random character so that, it is possible to identify the patterns based on the historical data. Intelligent decision-making requires accurate price forecasting for market traders, retailers, and generation companies. So far, many shallow-ANN (artificial neural networks) models have been published in the literature and showed adequate forecasting results. During the last years, neural networks with many hidden layers, which are referred to as DNN (deep neural networks) have been using in the machine learning community. The goal of this study is to investigate electricity price forecasting performance of the shallow-ANN and DNN models for the Turkish day-ahead electricity market. The forecasting accuracy of the models has been evaluated with publicly available data from the Turkish day-ahead electricity market. Both shallow-ANN and DNN approach would give successful result in forecasting problems. Historical load, price and weather temperature data are used as the input variables for the models. The data set includes power consumption measurements gathered between January 2016 and December 2017 with one-hour resolution. In this regard, forecasting studies have been carried out comparatively with shallow-ANN and DNN models for Turkish electricity markets in the related time period. The main contribution of this study is the investigation of different shallow-ANN and DNN models in the field of electricity price forecast. All models are compared regarding their MAE (Mean Absolute Error) and MSE (Mean Square) results. DNN models give better forecasting performance compare to shallow-ANN. Best five MAE results for DNN models are 0.346, 0.372, 0.392, 0,402 and 0.409.

Keywords: Deep learning, artificial neural networks, energy price forecasting, Turkey.

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Authors: S. F. Wong, W. I. Ho, B. Lin, Q. Huang

Abstract:

ERP has been used in many enterprises for management, the accuracy of the production forecasting module is vital to the decision making of the enterprise, and the profit is affected directly. Therefore, enhancing the accuracy of the production forecasting module can also increase the efficiency and profitability. To deal with a lot of data, a suitable, reliable and accurate statistics model is necessary. LSSVM and Grey System are two main models to be studied in this paper, and a case study is used to demonstrate how the combination model is effective to the result of forecasting.

Keywords: ERP, Grey System, LSSVM, production forecasting.

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Authors: Ε. Giovanis

Abstract:

In this paper we apply an Adaptive Network-Based Fuzzy Inference System (ANFIS) with one input, the dependent variable with one lag, for the forecasting of four macroeconomic variables of US economy, the Gross Domestic Product, the inflation rate, six monthly treasury bills interest rates and unemployment rate. We compare the forecasting performance of ANFIS with those of the widely used linear autoregressive and nonlinear smoothing transition autoregressive (STAR) models. The results are greatly in favour of ANFIS indicating that is an effective tool for macroeconomic forecasting used in academic research and in research and application by the governmental and other institutions

Keywords: Linear models, Macroeconomics, Neuro-Fuzzy, Non-Linear models

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Authors: Tomohiro Hachino, Hitoshi Takata, Seiji Fukushima, Yasutaka Igarashi

Abstract:

This paper presents a Gaussian process model-based short-term electric load forecasting. The Gaussian process model is a nonparametric model and the output of the model has Gaussian distribution with mean and variance. The multiple Gaussian process models as every hour ahead predictors are used to forecast future electric load demands up to 24 hours ahead in accordance with the direct forecasting approach. The separable least-squares approach that combines the linear least-squares method and genetic algorithm is applied to train these Gaussian process models. Simulation results are shown to demonstrate the effectiveness of the proposed electric load forecasting.

Keywords: Direct method, electric load forecasting, Gaussian process model, genetic algorithm, separable least-squares method.

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Authors: Fazıl Gökgöz, Fahrettin Filiz

Abstract:

Load forecasting has become crucial in recent years and become popular in forecasting area. Many different power forecasting models have been tried out for this purpose. Electricity load forecasting is necessary for energy policies, healthy and reliable grid systems. Effective power forecasting of renewable energy load leads the decision makers to minimize the costs of electric utilities and power plants. Forecasting tools are required that can be used to predict how much renewable energy can be utilized. The purpose of this study is to explore the effectiveness of LSTM-based neural networks for estimating renewable energy loads. In this study, we present models for predicting renewable energy loads based on deep neural networks, especially the Long Term Memory (LSTM) algorithms. Deep learning allows multiple layers of models to learn representation of data. LSTM algorithms are able to store information for long periods of time. Deep learning models have recently been used to forecast the renewable energy sources such as predicting wind and solar energy power. Historical load and weather information represent the most important variables for the inputs within the power forecasting models. The dataset contained power consumption measurements are gathered between January 2016 and December 2017 with one-hour resolution. Models use publicly available data from the Turkish Renewable Energy Resources Support Mechanism. Forecasting studies have been carried out with these data via deep neural networks approach including LSTM technique for Turkish electricity markets. 432 different models are created by changing layers cell count and dropout. The adaptive moment estimation (ADAM) algorithm is used for training as a gradient-based optimizer instead of SGD (stochastic gradient). ADAM performed better than SGD in terms of faster convergence and lower error rates. Models performance is compared according to MAE (Mean Absolute Error) and MSE (Mean Squared Error). Best five MAE results out of 432 tested models are 0.66, 0.74, 0.85 and 1.09. The forecasting performance of the proposed LSTM models gives successful results compared to literature searches.

Keywords: Deep learning, long-short-term memory, energy, renewable energy load forecasting.

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Authors: Yuzhi Cai

Abstract:

In this paper, we discuss a Bayesian approach to quantile autoregressive (QAR) time series model estimation and forecasting. Together with a combining forecasts technique, we then predict USD to GBP currency exchange rates. Combined forecasts contain all the information captured by the fitted QAR models at different quantile levels and are therefore better than those obtained from individual models. Our results show that an unequally weighted combining method performs better than other forecasting methodology. We found that a median AR model can perform well in point forecasting when the predictive density functions are symmetric. However, in practice, using the median AR model alone may involve the loss of information about the data captured by other QAR models. We recommend that combined forecasts should be used whenever possible.

Keywords: Exchange rate, quantile regression, combining forecasts.

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Authors: Melike Şah, Konstantin Y.Degtiarev

Abstract:

This paper proposes a novel improvement of forecasting approach based on using time-invariant fuzzy time series. In contrast to traditional forecasting methods, fuzzy time series can be also applied to problems, in which historical data are linguistic values. It is shown that proposed time-invariant method improves the performance of forecasting process. Further, the effect of using different number of fuzzy sets is tested as well. As with the most of cited papers, historical enrollment of the University of Alabama is used in this study to illustrate the forecasting process. Subsequently, the performance of the proposed method is compared with existing fuzzy time series time-invariant models based on forecasting accuracy. It reveals a certain performance superiority of the proposed method over methods described in the literature.

Keywords: Forecasting, fuzzy time series, linguistic values, student enrollment, time-invariant model.

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Authors: N. Sopipan

Abstract:

In this paper, we study the rainfall using a time series for weather stations in Nakhon Ratchasima province in Thailand by various statistical methods to enable us to analyse the behaviour of rainfall in the study areas. Time-series analysis is an important tool in modelling and forecasting rainfall. The ARIMA and Holt-Winter models were built on the basis of exponential smoothing. All the models proved to be adequate. Therefore it is possible to give information that can help decision makers establish strategies for the proper planning of agriculture, drainage systems and other water resource applications in Nakhon Ratchasima province. We obtained the best performance from forecasting with the ARIMA Model(1,0,1)(1,0,1)12.

Keywords: ARIMA Models, Exponential Smoothing, Holt- Winter model.

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Authors: Tahseen A. Jilani, Aqil S. Burney, C. Ardil

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Time series models have been used to make predictions of academic enrollments, weather, road accident, casualties and stock prices, etc. Based on the concepts of quartile regression models, we have developed a simple time variant quantile based fuzzy time series forecasting method. The proposed method bases the forecast using prediction of future trend of the data. In place of actual quantiles of the data at each point, we have converted the statistical concept into fuzzy concept by using fuzzy quantiles using fuzzy membership function ensemble. We have given a fuzzy metric to use the trend forecast and calculate the future value. The proposed model is applied for TAIFEX forecasting. It is shown that proposed method work best as compared to other models when compared with respect to model complexity and forecasting accuracy.

Keywords: Quantile Regression, Fuzzy time series, fuzzy logicalrelationship groups, heuristic trend prediction.

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Authors: N. Sopipan, A. Intarasit, K. Chuarkham

Abstract:

 In this paper, we forecast the volatility of Baht/USDs using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting Baht/USD volatility. The MRS-GARCH is the best performance model for Baht/USD volatility in short term but the GARCH model is best perform for long term.

Keywords: Volatility, Markov Regime Switching, Forecasting.

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Authors: Theodor D. Popescu

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The paper presents a method for multivariate time series forecasting using Independent Component Analysis (ICA), as a preprocessing tool. The idea of this approach is to do the forecasting in the space of independent components (sources), and then to transform back the results to the original time series space. The forecasting can be done separately and with a different method for each component, depending on its time structure. The paper gives also a review of the main algorithms for independent component analysis in the case of instantaneous mixture models, using second and high-order statistics. The method has been applied in simulation to an artificial multivariate time series with five components, generated from three sources and a mixing matrix, randomly generated.

Keywords: Independent Component Analysis, second order statistics, simulation, time series forecasting

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Authors: Khaled M. EL-Naggar, Khaled A. AL-Rumaih

Abstract:

This paper presents performance comparison of three estimation techniques used for peak load forecasting in power systems. The three optimum estimation techniques are, genetic algorithms (GA), least error squares (LS) and, least absolute value filtering (LAVF). The problem is formulated as an estimation problem. Different forecasting models are considered. Actual recorded data is used to perform the study. The performance of the above three optimal estimation techniques is examined. Advantages of each algorithms are reported and discussed.

Keywords: Forecasting, Least error squares, Least absolute Value, Genetic algorithms

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Authors: Wardah, T., Kamil, A.A., Sahol Hamid, A.B., Maisarah, W.W.I

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Quantitative precipitation forecast (QPF) from atmospheric model as input to hydrological model in an integrated hydro-meteorological flood forecasting system has been operational in many countries worldwide. High-resolution numerical weather prediction (NWP) models with grid cell sizes between 2 and 14 km have great potential in contributing towards reasonably accurate QPF. In this study the potential of two NWP models to forecast precipitation for a flood-prone area in a tropical region is examined. The precipitation forecasts produced from the Fifth Generation Penn State/NCAR Mesoscale (MM5) and Weather Research and Forecasting (WRF) models are statistically verified with the observed rain in Kelantan River Basin, Malaysia. The statistical verification indicates that the models have performed quite satisfactorily for low and moderate rainfall but not very satisfactory for heavy rainfall.

Keywords: MM5, Numerical weather prediction (NWP), quantitative precipitation forecast (QPF), WRF

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Authors: Fatemeh Mosalman Yazdi

Abstract:

One of the most important requirements for the operation and planning activities of an electrical utility is the prediction of load for the next hour to several days out, known as short term load forecasting. This paper presents the development of an artificial neural network based short-term load forecasting model. The model can forecast daily load profiles with a load time of one day for next 24 hours. In this method can divide days of year with using average temperature. Groups make according linearity rate of curve. Ultimate forecast for each group obtain with considering weekday and weekend. This paper investigates effects of temperature and humidity on consuming curve. For forecasting load curve of holidays at first forecast pick and valley and then the neural network forecast is re-shaped with the new data. The ANN-based load models are trained using hourly historical. Load data and daily historical max/min temperature and humidity data. The results of testing the system on data from Yazd utility are reported.

Keywords: Artificial neural network, Holiday forecasting, pickand valley load forecasting, Short-term load-forecasting.

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Authors: T. Kamalakis, I. Neokosmidis, D. Varoutas, T. Sphicopoulos

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The photonic component industry is a highly innovative industry with a large value chain. In order to ensure the growth of the industry much effort must be devoted to road mapping activities. In such activities demand and price evolution forecasting tools can prove quite useful in order to help in the roadmap refinement and update process. This paper attempts to provide useful guidelines in roadmapping of optical components and considers two models based on diffusion theory and the extended learning curve for demand and price evolution forecasting.

Keywords: Roadmapping, Photonic Components, Forecasting, Diffusion Theory.

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Authors: Ivo Jánský, Milan Rippel

Abstract:

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting accuracy is evaluated on the out-of-sample data, which are more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA process pattern cannot be found in analyzed time series.

Keywords: VaR, risk analysis, conditional volatility, garch, egarch, tarch, moving average process, autoregressive process

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Authors: Gizem Intepe, Tufan Koc

Abstract:

S-Curves are commonly used in technology forecasting. They show the paths of product performance in relation to time or investment in R&D. It is a useful tool to describe the inflection points and the limit of improvement of a technology. Companies use this information to base their innovation strategies. However inadequate use and some limitations of this technique lead to problems in decision making. In this paper first technology forecasting and its importance for company level strategies will be discussed. Secondly the S-Curve and its place among other forecasting techniques will be introduced. Thirdly its use in technology forecasting will be discussed based on its advantages, disadvantages and limitations. Finally an application of S-curve on 3D TV technology using patent data will also be presented and the results will be discussed.

Keywords: Patent analysis, Technological forecasting. S curves, 3D TV

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Authors: Ramin Vafadary, Maryam Khanbaghi

Abstract:

Forecasting electricity load is important for various purposes like planning, operation and control. Forecasts can save operating and maintenance costs, increase the reliability of power supply and delivery systems, and correct decisions for future development. This paper compares various time series methods to forecast 24 hours ahead of electricity load. The methods considered are the Holt-Winters smoothing, SARIMA Modeling, LSTM Network, Fbprophet and Tensorflow probability. The performance of each method is evaluated by using the forecasting accuracy criteria namely, the Mean Absolute Error and Root Mean Square Error. The National Renewable Energy Laboratory (NREL) residential energy consumption data are used to train the models. The results of this study show that SARIMA model is superior to the others for 24 hours ahead forecasts. Furthermore, a Bagging technique is used to make the predictions more robust. The obtained results show that by Bagging multiple time-series forecasts we can improve the robustness of the models for 24 hour ahead electricity load forecasting.

Keywords: Bagging, Fbprophet, Holt-Winters, LSTM, Load Forecast, SARIMA, tensorflow probability, time series.

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Authors: A. J. Al-Shareef, E. A. Mohamed, E. Al-Judaibi

Abstract:

Load forecasting has become in recent years one of the major areas of research in electrical engineering. Most traditional forecasting models and artificial intelligence neural network techniques have been tried out in this task. Artificial neural networks (ANN) have lately received much attention, and a great number of papers have reported successful experiments and practical tests. This article presents the development of an ANN-based short-term load forecasting model with improved generalization technique for the Regional Power Control Center of Saudi Electricity Company, Western Operation Area (SEC-WOA). The proposed ANN is trained with weather-related data and historical electric load-related data using the data from the calendar years 2001, 2002, 2003, and 2004 for training. The model tested for one week at five different seasons, typically, winter, spring, summer, Ramadan and fall seasons, and the mean absolute average error for one hour-ahead load forecasting found 1.12%.

Keywords: Artificial neural networks, short-term load forecasting, back propagation.

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Authors: Yang Zhang, Yuncai Liu

Abstract:

Accurately predicting non-peak traffic is crucial to daily traffic for all forecasting models. In the paper, least squares support vector machines (LS-SVMs) are investigated to solve such a practical problem. It is the first time to apply the approach and analyze the forecast performance in the domain. For comparison purpose, two parametric and two non-parametric techniques are selected because of their effectiveness proved in past research. Having good generalization ability and guaranteeing global minima, LS-SVMs perform better than the others. Providing sufficient improvement in stability and robustness reveals that the approach is practically promising.

Keywords: Parametric and Nonparametric Techniques, Non-peak Traffic Forecasting

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Authors: S. H. Oudjana, A. Hellal, I. Hadj Mahammed

Abstract:

Photovoltaic power generation forecasting is an important task in renewable energy power system planning and operating. This paper explores the application of neural networks (NN) to study the design of photovoltaic power generation forecasting systems for one week ahead using weather databases include the global irradiance, and temperature of Ghardaia city (south of Algeria) using a data acquisition system. Simulations were run and the results are discussed showing that neural networks Technique is capable to decrease the photovoltaic power generation forecasting error.

Keywords: Photovoltaic Power Forecasting, Regression, Neural Networks.

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Authors: A. Chaouachi, R.M. Kamel, R. Ichikawa, H. Hayashi, K. Nagasaka

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This paper presents the applicability of artificial neural networks for 24 hour ahead solar power generation forecasting of a 20 kW photovoltaic system, the developed forecasting is suitable for a reliable Microgrid energy management. In total four neural networks were proposed, namely: multi-layred perceptron, radial basis function, recurrent and a neural network ensemble consisting in ensemble of bagged networks. Forecasting reliability of the proposed neural networks was carried out in terms forecasting error performance basing on statistical and graphical methods. The experimental results showed that all the proposed networks achieved an acceptable forecasting accuracy. In term of comparison the neural network ensemble gives the highest precision forecasting comparing to the conventional networks. In fact, each network of the ensemble over-fits to some extent and leads to a diversity which enhances the noise tolerance and the forecasting generalization performance comparing to the conventional networks.

Keywords: Neural network ensemble, Solar power generation, 24 hour forecasting, Comparative study

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Authors: F. Rahnamay Roodposhti, M. Falah Shams, H. Kordlouie

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The aim of the article is extending and developing econometrics and network structure based methods which are able to distinguish price manipulation in Tehran stock exchange. The principal goal of the present study is to offer model for approximating price manipulation in Tehran stock exchange. In order to do so by applying separation method a sample consisting of 397 companies accepted at Tehran stock exchange were selected and information related to their price and volume of trades during years 2001 until 2009 were collected and then through performing runs test, skewness test and duration correlative test the selected companies were divided into 2 sets of manipulated and non manipulated companies. In the next stage by investigating cumulative return process and volume of trades in manipulated companies, the date of starting price manipulation was specified and in this way the logit model, artificial neural network, multiple discriminant analysis and by using information related to size of company, clarity of information, ratio of P/E and liquidity of stock one year prior price manipulation; a model for forecasting price manipulation of stocks of companies present in Tehran stock exchange were designed. At the end the power of forecasting models were studied by using data of test set. Whereas the power of forecasting logit model for test set was 92.1%, for artificial neural network was 94.1% and multi audit analysis model was 90.2%; therefore all of the 3 aforesaid models has high power to forecast price manipulation and there is no considerable difference among forecasting power of these 3 models.

Keywords: Price Manipulation, Liquidity, Size of Company, Floating Stock, Information Clarity

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Authors: Neha Asthana, Vishal Krishna Prasad

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Collaborative Planning and Forecasting is an innovative and systematic approach towards productive integration and assimilation of data synergized into information. The changing and variable market dynamics have persuaded global business chains to incorporate Collaborative Planning and Forecasting as an imperative tool. Thus, it is essential for the supply chains to constantly improvise, update its nature, and mould as per changing global environment.

Keywords: Information transfer, Forecasting, Optimization.

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Authors: Won Kyung Ham, Kang Hoon Cho, Yongho Chung, Sang C. Park

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Presented in this paper is a framework of a software ‘WEMax’. The WEMax is invented for analysis and simulation for manned assembly lines to sustain and improve performance of manufacturing systems. In a manufacturing system, performance, such as productivity, is a key of competitiveness for output products. However, the manned assembly lines are difficult to forecast performance, because human labors are not expectable factors by computer simulation models or mathematical models. Existing approaches to performance forecasting of the manned assembly lines are limited to matters of the human itself, such as ergonomic and workload design, and non-human-factor-relevant simulation. Consequently, an approach for the forecasting and improvement of manned assembly line performance is needed to research. As a solution of the current problem, this study proposes a framework that is for generation and simulation of virtual manned assembly lines, and the framework has been implemented as a software.

Keywords: Performance Forecasting, Simulation, Virtual Manned Assembly Line.

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Authors: Tahseen Ahmed Jilani, Syed Muhammad Aqil Burney, C. Ardil

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In the last 15 years, a number of methods have been proposed for forecasting based on fuzzy time series. Most of the fuzzy time series methods are presented for forecasting of enrollments at the University of Alabama. However, the forecasting accuracy rates of the existing methods are not good enough. In this paper, we compared our proposed new method of fuzzy time series forecasting with existing methods. Our method is based on frequency density based partitioning of the historical enrollment data. The proposed method belongs to the kth order and time-variant methods. The proposed method can get the best forecasting accuracy rate for forecasting enrollments than the existing methods.

Keywords: Fuzzy logical groups, fuzzified enrollments, fuzzysets, fuzzy time series.

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Authors: Shamsuddin Ahmed, M. G. M. Khan, Biman Prasad, Avlin Prasad

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The focus of this paper is to construct daily time series exchange rate forecast models of Samoan Tala/USD and Tala/AUD during the year 2008 to 2012 with neural network The performance of the models was measured by using varies error functions such as Root Square mean error (RSME), Mean absolute error (MAE), and Mean absolute percentage error (MAPE). Our empirical findings suggest that AR (1) model is an effective tool to forecast the Tala/USD and Tala/AUD.

Keywords: Neural Network Forecasting Model, Autoregressive time series, Exchange rate, Tala/AUD, winters model.

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Authors: Hanaa E.Sayed, Hossam A. Gabbar, Shigeji Miyazaki

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This paper presents Faults Forecasting System (FFS) that utilizes statistical forecasting techniques in analyzing process variables data in order to forecast faults occurrences. FFS is proposing new idea in detecting faults. Current techniques used in faults detection are based on analyzing the current status of the system variables in order to check if the current status is fault or not. FFS is using forecasting techniques to predict future timing for faults before it happens. Proposed model is applying subset modeling strategy and Bayesian approach in order to decrease dimensionality of the process variables and improve faults forecasting accuracy. A practical experiment, designed and implemented in Okayama University, Japan, is implemented, and the comparison shows that our proposed model is showing high forecasting accuracy and BEFORE-TIME.

Keywords: Bayesian Techniques, Faults Detection, Forecasting techniques, Multivariate Analysis.

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