EE653 Project#1 by Gang Shen

Load Forecasting Using Time Series Models

1 Introduction
Predictions of future events and conditions are called forecasts, and the act of maing
such !redictions is called forecasting "1#$ %orecasting is a ey element of decision
maing "&#$ 'ts !ur!ose is to reduce the ris in decision maing and reduce une(!ected
cost$
) major aim of an electric !o*er utility is to accurately forecast load re+uirements$ 'n
broad terms, !o*er system load forecasting can be categori,ed into long-term and short-
term functions$ .ong-term load forecasting usually covers from one to ten years ahead
/monthly and yearly values0, and is e(!licitly intended for a!!lications in ca!acity
e(!ansion, and long-term ca!ital investment return studies$
1he short-term forecast re+uires no*ledge of the load from one hour u! to a fe*
days$ 'nformation derived from the short-term load forecasts are vital to the system as
o!erations in terms of short-term unit maintenance *or, *eely, daily, and hourly load
scheduling of generating units, and economic and secure o!eration of !o*er systems "3#$
2ertain literature also includes the conce!t of medium forecasting *hich are usually
from a *ee to a year as in "3#$
'n this te(t, *e *ill mainly focus on the short-term load forecasting *ith
mathematical methods$ %irst *e introduce some basic foundations$
1.1 Time Series
1ime series can be defined as a se+uential set of data measured over time, such as the
hourly, daily or *eely !ea load$ 1he basic idea of forecasting is to first build a !attern
matching available data as accurate as !ossible, then obtain the forecasted value *ith
res!ect to time using established model$
Generally, series are often described as having follo*ing characteristic "5#4
,$$$ & , 1 , 5 , 1 $$$ 0 / 0 / 0 / 0 / = + + = t t R t S t T t X
/10
6ere, T(t) is the trend term, S(t) the seasonal term, and R(t) is the irregular or random
com!onent /*hich can be generated using 7atlab normrnd() command0$ )t this moment,
EE653 Project#1 by Gang Shen
*e do not consider the cyclic terms since these fluctuations can have a duration from t*o
to ten years or even longer *hich is not a!!licable to short-term load forecasting$
8e have such assum!tions to mae things a little easier for the moment4
10 1he trend is a constant level9
&0 1he seasonal effect has !eriod s, that is, it re!eats after s time !eriods$ :r the sum
of the seasonal com!onents over a com!lete cycle or !eriod is ,ero$

=
= +
s
j
j t S
1
5 0 /
/&0
1.2 Forecasting Method
1ill no*, many forecasting methods have been utili,ed *hich are classified into t*o
basic ty!es4 qualitative and quantitative methods$
;ualitative forecasting methods generally use the o!inions of e(!erts to !redict future
load subjectively$ Such methods are useful *hen historical data are not available or
scarce$ 1hese methods include4 subjective curve fitting, <el!hi method, and technological
com!arisons "1#$
;uantitative methods include4 regression analysis, decom!osition methods,
e(!onential smoothing, and the =o(->enins methodology$
1.3 Forecasting errors
?nfortunately, all forecasting situations involve some degree of uncertainty *hich
maes the errors be unavoidable$
1he forecast error for a !articular forecast
t
X
@
*ith res!ect to actual value t
X
is4
t t t
X X e
@
= /30
1o avoid the offset of !ositive *ith negative errors, *e need to use the absolute
deviations$ A
@
A A A
t t t
X X e = /30
6ence, *e can define a measure no*n as the mean absolute deviation /7)<0 as
follo*s4
n
X X
n
e
MAD
n
t
t t
n
t
t
= =

= =
1 1
@
/50
)nother method is to use the mean s+uared error /7SE0 defined as follo*s4
EE653 Project#1 by Gang Shen
n
X X
n
e
MSE
n
t
t t
n
t
t
= =

= =
1
&
1
&
0
@
/
/60
1.4 o!er s"stem load #orecasting
1he !o*er system load is assumed to be time de!endent evolving according to a
!robabilistic la*$ 't is common !ractice to em!loy a *hite noise se+uence at as in!ut to a
linear filter *hose out!ut is the !o*er system load$ 1his is an ade+uate model for
!redicting the load time series$ 1he noise in!ut is assumed normally distributed *ith ,ero
mean and some variance
&
$ ) number of classes of models e(ist for characteri,ing the
linear filter$
2 Time series models
2.1 $ sim%le e&am%le
2onsider the data on fuel consum!tion given in 1able 1$
1able1 ?B !rimary energy consum!tion /coal e+uivalent0
'ear 1 2 3 3
1C65 DE3 6EC 616 D16
1C66 D66 E55 653 D13
1C6E D33 E1C 5C3 D1C
1C6D C56 E53 633 D33
1C6C C5& E35 635 DE1
7eans DDD$& E5C$& 616$3 D3&$D
8e can average the seasonal values over the series, and use these, minus the overall
mean, as seasonal estimates sho*n belo* /overall mean is4 E61$6504
S/10 F DDD$& - E61$65 F 1&6$55 S/&0 F E5C$& - E61$65 F -5&$3
S/30 F 616$3 - E61$65 F -135$&5 S/30 F D3&$D - E61$65 F E1$15
)fter subtraction of these values, the original series removes seasonal effects$ 't
should be noted that this techni+ue *ors *ell on series having linear trends *ith small
slo!es$
'n addition, *e can loo at the averages for each com!lete seasonal cycle /the !eriod0
since the seasonal effect over an entire !eriod is ,ero$ 1o avoid losing too much data, a
method called Moving Average (MA) is used here, *hich is sim!ly the series of averages4
EE653 Project#1 by Gang Shen

+
=
+
=
+

=
+
1
& 1
1
5
,
1
,
1
,
1
s
j
j t
s
j
j t
s
j
j t
X
s
X
s
X
s

) !roblem is !resented here if the !eriod is even, since the adjusted series values do
not corres!ond to the original ones at time !oints$ 1o overcome this !roblem, the Centred
Moving Average (CMA) is utili,ed to bring us bac to the correct time !oints$ 't is sho*n
in 1able&$
1able& 2alculation of the moving average
;uarter G/t0 7) CMA(Order-2) Differenc
e
1 874
746.25
744.25
749.5
746.25
745.75
737.75
742.5
740.25
741.5
759.5
755.5
765.5
771.75
783.25
793.75
794
800.75
2 679
3 616 745.25 -1&C$&5
4 816 746.875 6C$1&5
5 866 747.875 11D$1&5
6 700 746 -36
7 603 741.75 -13D$E5
8 814 740.125 E3$DE5
9 834 741.375 C&$6&5
10 719 740.875 -&1$DE5
11 594 750.5 -156$5
12 819 757.5 61$5
13 906 760.5 135$5
14 703 768.625 -65$6&5
15 634 777.5 -133$5
16 844 788.5 55$5
17 952 793.875 15D$1&5
18 745 797.375 -5&$3E5
19 635
20 871
1hrough looing at the differences bet*een 27) and the original series, *e can
estimate the kth seasonal effect sim!ly by average the kth +uarter differences4
S/10 F 1&D$C53 S/&0 F -36$3DE S/30 F -13& S/30 F 65
=ut the sum of these 3 values is4 5$15E$ Hecall that *e assume the seasonals to sum to
,ero, *e need to add a correction factor of -5$15E I 3 F -1$&53 to give4
S/10 F 1&E$33 S/&0 F -3E$E31 S/30 F -133$&53 S/30 F 63$E36
Jo* the irregular com!onent can be easily calculated by subtracting both the 27)
and the seasonal effects$
EE653 Project#1 by Gang Shen
'f *e su!!ose the model /10 is a!!ro!riate then *e can use it to mae !redictions$ 1o
sim!lify, *e omit the random data, and so all *e need to do is to !redict the trend, say, a
linear trend4
bt a t T + = 0 /
8ith the a!!lication to the 27), *e have
t t T 63E $ 3 3E6 $ E13 0 /
@
+ =
6ence, a !rediction is sho*n in 1able 1$3$
1able 1$3 Prediction of energy consum!tion
Period
t
1rend
1
Seasonal
S
Predicted Actual
X
&1 EDC$C63 1&E$335 C1E$353 CD1
&& EC3$615 -3E$E31 E3E$1&3 E5C
&3 ECE$&5E -133$&53 653$553 6E3
&3 D55$C53 63$E36 D63$655 C55
2.2 Linear (egression Method
1his method su!!oses that the load is affected by some factors such as high and lo*
tem!eratures, *eather condition, and economic gro*th, etc$ 1his relation can be
e(!ressed belo*4
+ + + + + =
k k
x x x y
& & 1 1 5
/E0
*here, y is the load, x is the affecting factors, ! is regression !arameters *ith res!ect
to x, and " is an error term$
%or this model, *e al*ays assume that the error term " has a mean value e+ual to ,ero
and constant variance$
Since !arameters ! are unno*n, they should be estimated from observations of y and
x$ .et b ($0%1%2%&k) be the estimates in terms of ! ($0%1%2%&k)$ Hecall that the error
term has a 55K chance of being !ositive and negative res!ectively, *e omit this term in
calculating !arameters, that means4
k k
x b x b x b b y + + + + =
& & 1 1 5
@
/D0
1hen, *e use the least s+uare estimates method *hich minimi,es the sum of s+uared
residuals /SSE0 "1# to obtain the !arameters b4
[ ] ' X X X b b b b (
T T T
k
1
& 1 5
0 /

= = /C0
EE653 Project#1 by Gang Shen
*here ' and X are the follo*ing column vector and matri(4

=
nk n n
k
k
n
x x x
x x x
x x x
X an)
y
y
y
'

& 1
& && &1
1 1& 11
&
1
1
1
1
/150
)fter the !arameters are calculated, this model can be used for !rediction$ 't *ill be
accurate in !redicting y values if the standard error s is small$
est*ate) y +bse,-e) y y y SSE
k n
SSE
s

n

4 @ , 4 , 0 @ / ,
0 1 /
1
&

=
=
+
=
/110
1here are also some other *ays to chec the validity of a regression model "1#$
2.3 $() $uto (egressive
'n this model"5#"6#, the current value t
X
of the time series is e(!ressed linearly in
terms of its !revious values
, ,
& 1 t t
X X
and a *hite noise series
L M
t

*ith ,ero mean

and variance
&
$
t . t . t t t
X X X X + + + + =


& & 1 1 /1&0
=y introducing the bacshift o!erator = that defines
t t
(X X =
1
, and conse+uently
t
*
* t
X ( X =

, e+uation /1&0 can be *ritten in the form4

t t
X ( = 0 /
/130
*here,
.
.
( ( ( ( =
&
& 1
1 0 /
/130
EE653 Project#1 by Gang Shen
Jote that this model has a similar form to the multi!le linear regression model$ 1he
difference is that in regression the variable of interest is regressed onto a linear function
of other no*n /e(!lanatory0 variables, *hereas here t
X
is e(!ressed as a linear function
of its o*n !ast values N thus the descri!tion OautoregressiveO$ )s the values of t
X
at p
!revious times are involved in the model, it is said to be an $(*p+ model$
Jo* *e need to calculate the !arameters / for !rediction$ 1here are t*o such
methods4 least s+uares estimation and ma(imum lielihood estimation /7.E0$
1o calculate the least s+uares estimators, *e need to minimi,e follo*ing e(!ression
/here *e let .F&04
&
& &
1
1 1
0 /

=

t
0
t
t t
X X X
/150
*ith res!ect to /1 and /2 $ =ut since *e do not have the information for t$1 or t$2, an
assum!tion is made here that X1 and X2 are fi(ed, and e(cluding the first t*o terms from
the sum of s+uares$ 1hat is, to minimi,e
&
& &
3
1 1
0 /

=

t
0
t
t t
X X X
1hen, a similar a!!roach to linear regression is used to obtain the !arameters$
7a(imum lielihood estimation /7.E0 is attractive because generally they are
asym!totically unbiased and have minimum variance$ 1herefore, *e introduce this
method here$
Su!!ose that *e have a sam!le of de!endent observations Xt% t$1%&%0 each *ith !df
1(Xt)$ 1hen the joint density function is4
0 A / 0 ,$$$, , /
1
1
& 1
=

=
t t
0
t
0
X X 1 X X X 1
/160
*here,
t
X denotes all observations u! to and including Xt$
0 A /
1 t t
X X 1
is the
conditional distribution of Xt given all observations !rior to t$
?se the same model as before, and su!!ose t

is normally distributed$ So the mean

of the conditional distribution is & & 1 1
+
t t
X X
, and the variance is
&
$ 6ence,
EE653 Project#1 by Gang Shen

=

&
&
& & 1 1
& 1
&
0 /
e(!
0 & /
1
0 ,$$$, , A /

t t t
0 t
X X X
X X X X 1
/1E0
Similary, set X1 and X2 to be fi(ed and define the conditional lielihood as

=
0
t
t t
X X X X 1 2
3
1 & 1
0 ,$$$, , A / 0 /
/1D0
=y minimi,ing 2(3) , *e can obtain the !arameters$
2onsider a time series of the number of re!orted !urse snatching in a !articular area
of 2hicago on days &D days a!art$ 1his data has been e(tensively used by 6arvey
/6arvey 1CDC, !ageDC0 as sho*n in %ig$14
?sing 7.E a!!lied to AR(2) model, the fitted model is4
t t t t
X X X + + =
& 1
3551ED $ 5 535ED31 $ 5
-a,("t) $ 36.115343
Jo*, this model can be used to !redict future data$
0 10 20 30 40 50 60 70 80
0
5
10
15
20
25
30
35
40
Day
N
o
.

o
f

p
u
r
s
e
s
%ig$1 He!orted !urse snatching in an area of 2hicago
2.4 Moving $verage *M$+
'n the moving-average !rocess "6#, the current value of the time series t
X
is
e(!ressed linearly in terms of current and !revious values of a *hite noise series
, ,
1 t t

$ 1his noise series is constructed from the forecast errors or residuals *hen
load observations become available$ 1he order of this !rocess de!ends on the oldest noise
EE653 Project#1 by Gang Shen
value at *hich t
X
is regressed on$ %or a moving average of order + /i$e$, 7)/+00, this
model can be *ritten as4
4 t 4 t t t t
X

=
& & 1 1 /1C0
) similar a!!lication of the bacshift o!erator on the *hite noise series *ould allo*
e+uation /1C0 to be *ritten as4
t t
( X 0 / =
/&50
*here,
4
4
( ( ( ( =
&
& 1
1 0 /
2., $(M$*-o&./en0ins+) $uto (egressive Moving $verage
'f *e combine the 7) and )H models together, *e can !resent a broader class of
model, i$e$ )utoHegressive-7oving-)verage /)H7)0 model as follo*s4
4 t 4 t t t . t . t t t
X X X X

+ + + + + + + + =
& & 1 1 & & 1 1 /&10
*here,

and j

are called the a5t+,e6,ess-e and *+-n6 a-e,a6e !arameters

res!ectively$ )nd in this case, it is a )H7)/.%40 model$
) methodology for )H7) models *as develo!ed largely by =o( P >enins /1CE50,
and so the models are often called =o(->enins models$
2.1 $(IM$) $utoregressive Integrated Moving.$verage213
1he time series defined !reviously as an )H, 7), or as an )H7) !rocess is called a
stationar" %rocess$ 1his means that the mean of the series of any of these !rocesses and
the covariances among its observations do not change *ith time$ ?nfortunately, this is
not often true in !o*er load$ =ut !revious no*ledge is definitely useful in that the non-
stationary series can be transformed into a stationary one *ith some trics$ 1his can be
achieved, for the time series that are non-stationary in the mean, by a differencing
!rocess$ =y introducing the o!erator, a differenced time series of order 1 can be
*ritten as4
t t t t
X ( X X X 0 1 /
1
= =

/&&0
2onse+uently, an order d differenced time series is *ritten as
t
)
t
)
X ( X 0 1 / = /&30
1he differenced stationary series can be modeled as an )H, 7), or an )H7) to yield
an )H', '7), )H'7) time series !rocesses$ %or a series that needs to be differenced d
EE653 Project#1 by Gang Shen
times and has orders p and q for the )H and 7) com!onents /i,e
)H'7)/!,d,+00, the model is *ritten as4
t t
)
( X ( 0 / 0 / = /&30
6o*ever, as a result of daily, *eely, yearly or other !eriodicities, many time series
e(hibit !eriodic behaviors in res!onse to one or more of these !eriodicities$ 1herefore, a
seasonal )H'7) model is a!!ro!riate$ 't has been sho*n that the general multi!licative
model (.%)%4) 7 (8%D%9)s for a time series model can be *ritten in the form4
t
S
t
D
S
) S
( ( X ( ( 0 / 0 / 0 / 0 / = /&50
*here definitions for 0 / , 0, /
S D
S
S
( ( are given in the follo*ing4
t
D S D
S t t
D
S
X ( X X 0 1 / 0 / = =

/&60
.S
.
S S S
( ( ( ( =
&
& 1
1 0 /
/&E0
4S
4
S S S
( ( ( ( =
&
& 1
1 0 /
/&D0
1he model !resented in e+uation /&50 can obviously be e(tended to the case *here
t*o seasonalities are accounted$ )n e(am!le demonstrating the seasonal time series
modeling is the model for an hourly load data *ith daily cycle$ Such a model can be
e(!ressed using the model of e+uation /&50 *ith SF&3$
1o obtain this model, the !arameters .%)%4%8%D%9, and other coefficients$ =y studying
the self-variance, covariance and variance function of the order 1 or higher order
differentiation of variables to get the ) and D$ 1hen, the model can be sim!lified into )H,
7) or )H7) models to calculate other values so that the model can be built$
2.4 5thers*$(M$67$(IM$6+
)H7) and )H'7) use only the time and load as in!ut !arameters$ Since load
generally de!ends on the *eather and time of the day, e(ogenous variables sometimes
can be included to give the )H7)G and )H'7)G model "E#$ :ther useful methods
im!lementing evolutionary !rogramming /EP0 and fu,,y logic /%.0 into conventional
time series models *ere also !ro!osed$ 8e *ill not consider these methods in details
here$
3 8onclusions
) fact is that no one method can be a!!licable to all situations$ So a method should be
chosen considering many factors, such as the time frame, !attern of data, cost of
EE653 Project#1 by Gang Shen
forecasting, desired accuracy, availability of data, and easiness of o!eration and
understanding$ 1herefore, more *or still needs to be done$
(9F9(9:89S
"1# =$.$=o*erman, H$1$:Q2onnell, and )$=$Boehler, O:+,e;astn6% T*e Se,es% an)
Re6,ess+n< An A..=e) A..,+a;>,O 3th ed$ 2alifornia4 1homson =roosI2ole, &555$
"&# <$2$7ontgomery, .$)$>ohnson, >$S$Gardiner, O:+,e;astn6 ? T*e Se,es
Ana=yss,O &th ed$ Je* Ror4 7cGra*-6ill, 1CC5$
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.+Ae, syste*s, Je* Ror4 S!ringer, &555
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Susse(4 Ellis 6or*ood .imited, 1CC3$
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1+,e;astn6 te;>n45es,O @EEE T,ans. +n 8+Ae, Syste*s, vol$3, no$3, !!$ 13D3-13C1,
:ct$1CDC$
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:+,e;astn6 1+, Dst,b5t+n 8+Ae, Syste*s$ @EEE T,ansa;t+ns +n 8+Ae, Syste*s%
vol$C, no$&, !!$CDD-CC3, 1CC3$