Ms A 2011 Load Forecasting Workshop

Statistical Models for Electric Load Forecasting
Tao Hong, PhD

Analytical Consultant, SAS
hongtao01@gmail.com
Guest Lecture at Institute for Advanced Analytics, NC State University

September 12th, 2011
Outline
• Introduction
• Numerical and Graphical Methods
• Regression approach
• Box-Jenkins approach
• Beyond this workshop

© 2011 Tao Hong, PhD (hongtao01@gmail.com) Page 2 of 47
Introduction Tao Hong
Numerical and Graphical Methods Objectives
Regression Approach What’s electric load forecasting?
Box-Jenkins Approach Why do we need load forecasts?
Beyond This Workshop How to forecast electricity demand?
Tao Hong
• What I’ve been doing recently
– Analytical Consultant, SAS Institute
– BKS Instructor, SAS Institute
– Founding Chair, IEEE Working Group on Energy Forecasting
• Interest
– Forecasting, optimization
– Energy economics, system planning, power engineering
• Education
– Ph.D., O.R., E.E., NC State University, Raleigh
– M.S., E.E., O.R., I.E., NC State University, Raleigh
– B.Eng., Automation, Tsinghua University, Beijing
Objectives
• Understand an important application of analytics in electric
utility industry – electric load forecasting
• Learn how to
– discover salient features of electric load series using graphical methods
– apply regression analysis and time series analysis to short term load
forecasting
– develop general linear models and time series models to forecast one-
day ahead hourly loads
Notes, data, and reading materials can be downloaded from the lecture webpage:
http://courses.drhongtao.com/smelf

Objectives for MSA Students

• Prepare to become a
– Forecasting specialist
– Quantitative analyst
– (Energy) trader Practice
– System planner
– Financial planner
– Analytical consultant
– (Analytic) engineer
Domain
– Product specialist Analytics
Knowledge
– And many more…

What’s Electric Load Forecasting?

Why do We Need Load Forecasts?

• BSE is currently seeking a Senior Load Forecasting Specialist. The ideal
candidate is prepared to meet the following expectations:
– This position directs the processes necessary to produce the forecast of the total
demand for electricity within the BSE balancing area along with forecasts of the
sale of electricity by BSE and others and BSE's transmission demand requirements
as part of BSE's overall Integrated Planning Process.
– The incumbent serves as an expert in the methodologies used in the in load
forecasting and is responsible for directing from beginning to end the one or more
of the forecasting processes. The incumbent plans and insures that the
appropriate research and design is completed to assure that BSE has load
forecasting procedures and methodology which are equal to or exceed current
standard forecasting processes when compared to other major electric utilities.
– Accurate forecasts are essential to decisions impacting BSE's operating practices
and the type/timing of resource acquisitions such as decisions to build, lease, or
sell generation and transmission assets and the decisions to purchase or sell
wholesale power.
Why do We Need Load Forecasts?

• Generation • Planning
• Transmission • Operations & maintenance
• Distribution • Market related activities
• Operations & Maintenance
Prior to 1980s
Appliances
• Planning
• Energy purchasing
1990s
Deregulation
• Rate case
• Demand Side Management

2010s
Smart grid
• Electric vehicles, renewable energy

How to Forecast Electricity Demand?

• A load forecasting process
Weather
History
Modeling
Model
process
Forecasting
Load Forecast
process
History Weather
Forecast
• Modeling process
– Statistics: linear regression, Box-Jenkins, nonparametric regression
– A.I.: ANN, fuzzy logic, neuro-fuzzy system, SVM
– Others: hybrid approach, multi-stage approach

How to Forecast Electricity Demand?

• Prediction vs. explanation
• Regression analysis
– Plot the data – Document
– Select variables • Model
• Dependent variables • Procedure
• Independent variables • Results
– Build the model • Reasoning
– Evaluate the model • Any judgmental changes
• Statistical tests • Limitations
• Goodness-of-fit – Report
• Forecasting accuracy • Written report
• Intuition • Oral presentation
Introduction Descriptive statistics
Numerical and Graphical Methods Numerical methods
Regression Approach Line plot
Box-Jenkins Approach Box plot
Beyond This Workshop Scatter plot
Descriptive Statistics
• Numerical methods
– Max, Min
– Mean, Median
• Graphical methods
– Line plot
– Box plot
– Scatter plot
Develop INTUITION

Numerical Methods
• When describing the load of a utility
– Annual Peak
– Average Load
– Load factor = Average Load / Annual Peak
• When describing the size of a utility
– Annual Peak
– Number of customers
– Number of feeders Understand BUSINESS
– Length of transmission lines
– Size of service territory
– Revenue, growth rate, etc.
Line Plot
• Load, 2005 – 2008 • Temperature, 2005 – 2008

Line Plot
• 8-12, Jun 2008 • 16-21, Nov 2008

Box Plot
• Trend

Box Plot
• Seasonality – Month

Box Plot
• Seasonality – weekday vs. weekend

Box Plot
• Seasonality – weekly load profile

Scatter Plot
• Load – temperature relationship

Scatter Plot
• Load – temperature relationship by month

Scatter Plot
• Load – temperature relationship by hour

Let’s have a 5 minutes break here…

• Develop your intuition
• Use graphical methods as much as you can
• Think about what you want to know
• Draw pictures to visualize the data
• Be creative
• But remember the principle of KISS
– Keep
– It
– Simple
– Stupid

Introduction Simple linear regression
Numerical and Graphical Methods Multiple linear regression
Regression Approach Interaction regression
Box-Jenkins Approach Lagged regression
Beyond This Workshop Dynamic regression
Simple Linear Regression

• Elements
– Intercept
– Slope
– Random error term
• Formal assumptions
– Linearity
– Same variance
– Independent
– Normally distributed
• Parameter estimation

Multiple Linear Regression

• Quantitative variables
– Trend
• Linear
• macroeconomic indicators (GDP, GSP, employment, etc.)
– Temperature


• Qualitative variables
– 0-1 indicator
• Piecewise linear regression
– Calendar variables (seasonality)
• Months of a year
• Days of a week
• Hours of a day


• Polynomial regression
– Polynomials of independent variable(s), i.e., temperature
2nd order – symmetric 3rd order – asymmetric

Interaction Regression
• Interactions between/among
– Quantitative variables
• A new quantitative variable (not covered)
– Quantitative variables and qualitative variables
• Month and temperature
• Hour and temperature
– Qualitative variables
• Weekday and hour

Interaction Regression
• Temperature vs. calendar variables
– High during the day, low at night
– High in summer, low in winter
– No apparent interactions across 7 days of a week
• Interactions (or cross effects)
– “Temperature” × Hour
– “Temperature” × Month
“Temperature”: T, T2, T3
E(Load) = β0 + β1 * Trend + β2 * Day * Hour + β3 * Month
+ β4 * Month * T + β5 * Month * T2 + β6 * Month * T3
+ β7 * Hour * T + β8 * Hour * T2 + β9 * Hour * T3
Lagged Regression
• Recency effect
– The most recently presented items or experiences will most likely be
remembered best. If you hear a long list of words, it is more likely that
you will remember the words you heard last (at the end of the list)
than words that occurred in the middle.
• Lagged regression models
– To forecast an output series yt, given a present and past of an input
series xt, or lagged independent variables.
• Load = f(T, T(t-1), T(t-2), …)
– Load refers to Load(t), T refers to T(t)
– i.e., Load = f(trend, calendar variables, T, T(t-1))

Lagged Regression
+ β10 * Month * T(t-1) + β11 * Month * T(t-1)2 + β12 * Month * T(t-1)3
+ β13 * Hour * T(t-1) + β14 * Hour * T(t-1)2 + β15 * Hour * T(t-1)3

Dynamic Regression
• Lagged dependent variable
– Example: Load = f(trend, calendar variables, T, T(t-1), Load(t-1))
• Notice that during the forecasting stage
– to forecast Load(t+20), we need Load(t+19), Load(t+18), Load(t+17)…
– at time t, we don’t have actual Load(t+19), Load(t+18), …
+ β10 * Month * T(t-1) + β11 * Month * T(t-1)2 + β12 * Month * T(t-1)3
+ β13 * Hour * T(t-1) + β14 * Hour * T(t-1)2 + β15 * Hour * T(t-1)3
+ β16 * Load(t-1)
Introduction ARIMA
Numerical and Graphical Methods Seasonal ARIMA
Regression Approach Temperature forecasting
Box-Jenkins Approach Intervention Analysis
Beyond This Workshop Warning
ARIMA
• REG + ARIMA
Step 1: Apply regression analysis to
forecast the original series. Then
^
Load = LoadREG + r calculate the residual series.
^
= Load + ^r
REG ARIMA + e Step 2: Use ARIMA to forecast
the residual series.
^
= Load + e
Step 3: The final forecast is the ARIMA based
residual forecast plus the regression based
load forecast.

Introduction ARIMA
Seasonal ARIMA
• Now you have another tool to model seasonal patterns
• Seasonal ARIMA can be used to forecast load series directly
– Univariate method
 Temperature is not needed
 Limited accuracy as forecasting horizon becomes longer

Introduction ARIMA
Temperature Forecasting
• Seasonal ARIMA can be used to forecast temperature series
directly
• Regression model with SARIMA based temperature forecast
In your final project,

you can use commercial weather forecast
and/or
develop your own weather forecast.

Introduction ARIMA
Intervention Analysis
• Holidays
• Big outages due to severe weather
– Hurricanes
– Snow storm
• Outliers

Introduction ARIMA
Warning
• You are now well equipped to perform load forecasting
Forecast
Submitted
History
Forecast
Morning
of today
End of End of
today tomorrow

Introduction ARIMA
Warning
• The more techniques you learn
– The more freedom and options you have
– The more powerful you should be
• However
– You can be easily buried by hundreds of
“combinations” of techniques
• ALWAYS keep in mind the principle of KISS
– Keep
– It
– Simple
– Stupid
Introduction
Numerical and Graphical Methods
Regression Approach
Box-Jenkins Approach
Beyond This Workshop
Exercise
• To forecast the loads of a given day, you can only use the loads up to two
days prior to the given day. For instance, to forecast the loads of 2007/8/3,
you can use the loads up to the last hour of 2007/8/1.
– When you are using dynamic regression models for forecast 2007/8/3, you can only plug
in predicted values of the loads after the last hour of 2007/8/1
• You will use the loads starting from the first hour of 2004/1/1 for the first
two problems.
• The load of the first hour of Day Light Saving Time (DST) of each year (in
spring) may be shown as zero, while the last hour of DST period (in fall) may
show the sum of the loads of two hours. You don’t need to make any
adjustment when doing the first two problems. If you make adjustment for
the 3rd problem, please indicate your strategy.
• Submission instructions are listed in the project assignment

Introduction
Regression Approach
Exercise
• Using the naive MLR benchmarking model disscussed in page 28 to do ex
post forecasting for 2007/8/3 and 2007/11/22, report the MAPE and MAE
for each day.
• Using the lagged regression model discussed in page 30 to do ex post
forecasting for 2007/8/3, and 2007/11/22, report the MAPE and MAE for
each day.
• Can you further improve the forecasting accuracy of 2007/11/22? Report
the methodology you used and the best MAPE and MAE you can get.
• Hints
– The first two problems mean to have you “calibrate” the tool. We expect the same
answers from each one of you
– The third problem is tricky. After solving the first two problems, you probably find the
forecasting error of 11/22 is much larger than 8/3. Thank about why, and how to improve
it, and try to improve it. Remember to use your intuition.
Introduction Theory
Numerical and Graphical Methods Reading
Regression Approach Forecaster’s job
Box-Jenkins Approach Networking
Beyond This Workshop Project assignment
Theory
• Seasonal ARIMA
• Intervention analysis
• Time series regression
• Artificial Neural Networks
• Clustering

Introduction Theory
Reading
• Tao Hong, “Short Term Electric Load Forecasting”, PhD
dissertation, NCSU
• Ott and Longnecker, “An Introduction to Statistical Methods
and Data Analysis”
• Kutner, et. al., “Applied Linear Statistical Models”
• Brockleblank and Dickey, “SAS for Forecasting Time Series”
Forthcoming
• Hyndman and Athanasopoulos, “Forecasting: Principles and
Practice”
• Hong and Dickey, “Electric Load Forecasting”
Introduction Theory
Forecaster’s Job
Day ahead forecasting for the 24 hours with hour ending:
9/13/2011 1am to 9/14/2011 12am
• Review the past forecasting performance
• Alter forecasting methodology if necessary
• Develop temperature forecast
• Calculate load forecast for the next day
• Adjust forecast if necessary
• Submit load forecast
By 9/12/2011 morning, i.e. 8am.

Introduction Theory
Networking
• IEEE working group on energy forecasting
– Utility application oriented energy forecasting
– Focus on practical needs of utilities
– Data: outlier detection, data cleansing, selection of weather station(s)
– Inputs: temperature forecast, wind forecast, solar forecast, EV load
forecast, customer behavior, demand response activities, loss
evaluation
– Modeling: hierarchical (system-substation-feeder) forecasting, multi-
region forecasting
– Applications (outputs): price forecasting, demand response analysis,
planning of demand side management, risk management, weather
normalization, loss evaluation
Introduction Theory
Overview
• A medium-large utility would like to improve their one-day
ahead load forecasting practice. You are hired to develop
statistical models for this utility
• You will be working with your group members to conduct this
project
• At the end, each group will make a presentation about the
findings and results of the study

Introduction Theory
Objectives
• Develop and sharpen the following skills
– Data analysis
– Statistical modeling
– SAS programming
– Strategic planning
– Teamwork
– Project management
– Reporting
– Presentation
– Documentation

Introduction Theory
SOW and Due Dates

SOW Due Date
Phase 0 Finish the in-class exercise 9/16
Phase 1 ETL 9/23
Phase 2 Model development
Task 2.1 GLM and ARIMA 9/26 – 10/2
Task 2.2 Seasonal ARIMA, Intervention Analysis 10/3 – 10/9
Phase 3 Documentation and presentation
Task 3.1 Documentation 10/24
Task 3.2 Presentation TBD

Introduction
Regression Approach
Thank You
• Questions / comments?
Notes, data, and reading materials can be downloaded from the lecture webpage:
http://courses.drhongtao.com/smelf


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Statistical Models for Electric Load Forecasting

Tao Hong, PhD

Guest Lecture at Institute for Advanced Analytics, NC State University

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Objectives for MSA Students

Statistical Models for Electric Load Forecasting

What’s Electric Load Forecasting?

Statistical Models for Electric Load Forecasting

Why do We Need Load Forecasts?

Why do We Need Load Forecasts?

• Demand Side Management

Statistical Models for Electric Load Forecasting

How to Forecast Electricity Demand?

– A.I.: ANN, fuzzy logic, neuro-fuzzy system, SVM

– Others: hybrid approach, multi-stage approach

How to Forecast Electricity Demand?

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Let’s have a 5 minutes break here…

Statistical Models for Electric Load Forecasting

Simple Linear Regression

Statistical Models for Electric Load Forecasting

Multiple Linear Regression

Statistical Models for Electric Load Forecasting

Multiple Linear Regression

Statistical Models for Electric Load Forecasting

Multiple Linear Regression

2nd order – symmetric 3rd order – asymmetric

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

In your final project,

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

SOW and Due Dates

Statistical Models for Electric Load Forecasting

Statistical Models for Electric Load Forecasting

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