IEEE TRANSACTIONS ON POWER DELIVERY, VOL. 36, NO.

3, JUNE 2021 1631

Probabilistic Real-Time Dynamic Line Rating

Forecasting Based on Dynamic Stochastic General
Equilibrium With Stochastic Volatility
Sajad Madadi , Student Member, IEEE, Behnam Mohammadi-Ivatloo , Senior Member, IEEE, and Sajjad Tohidi

Abstract—Real-time dynamic line rating forecasting can be clas- z̄t∗ Stochastic process term of each factor.
sified into two critical steps of evaluating the operation risk, and Q∗t DLR heat balance equation component.
avoiding the overload operation of transmission lines. The dy- τ Risk aversion degree.
namic capacity of the transmission line is generally predicted for
scheduling power networks in the day-ahead market. However, Rt Reliable nominal rate.
the forecasting error motivates researchers to propose real-time πt An auxiliary variable to consider all of the monitoring
forecasting models to correct the day-ahead scheduling results spans.
based on the accurate data close to real-time values in the balanc- ncr Number of the monitoring spans.
ing market. Among the methods presented for real-time dynamic
V̄tsp Day-ahead weather conditions for the span detected as
line rating forecasting, the single-point estimation type has been
considered more than other forecasting types. Despite its safety, critical span.
sp
and efficiency, a single point estimation type suffers from several vt−rel Real-time weather condition predicted in the critical
significant drawbacks. For instance, this forecasting type cannot span.
indicate the probabilistic distribution function of forecasted value, v̂t Estimated real-time weather condition of other moni-
which is used in novel balancing methods of market scheduling.
toring spans.
The main purpose of this paper is to present a density forecast
method to predict real-time dynamic line rating for covering the Wil Weight of ordinary Krigings.
balancing market requirements. Dynamic stochastic general equi- ψ Variogram value.
librium (DSGE) is applied to achieve this aim. Due to incorporating n(h) Number of spans and weather station located in h
stochastic volatility in the proposed real-time forecasting model, distance of considered point.
evaluating simulation results, and reference models highlight a xi Ponit location.
significant improvement in the performance of the real-time density
forecast of DLR. β Lagrangian auxiliary variable.
Γ0 Kriging training matrix.
Index Terms—Dynamic line rating, dynamic stochastic general W0 Kriging weight matrix.
equilibrium, interval forecasting, density forecasting.
ψ0 Kriging validate vector.
Capt Line capacity at time t.
NOMENCLATURE gt An auxiliary variable to model the non-linear conduc-
tor resistance and exogenously conditions.
A. Indices
ρr An auxiliary variable to connect two terms of reliable
t Index of forecasting intervals running from 1 to T .
nominal rate equation.
cr Index of monitoring span.
mt Weather condition shock.
t Shock motion law.
B. Parameters vi,t Velocity value.
Ft∗ Evolvement of each factor. ηi,t Velocity improvment coefficient
γt∗ Deterministic trend of each factor. SV State variable.
φ Coefficient matrix.
σ Standard deviation.
Manuscript received April 29, 2020; revised July 11, 2020; accepted July 23, O Forecasting output.
2020. Date of publication July 28, 2020; date of current version May 21, 2021. SM Marginal predictive likelihood term.
This work was supported by the University of Tabriz under Grant 4563. Paper no.
TPWRD-00621-2020. (Corresponding author: Behnam Mohammadi-Ivatloo.) Sj Joint predictive likelihoodterm.
Sajad Madadi and Sajjad Tohidi are with the Faculty of Electrical and zzi,h,T probability integral transformer value.
Computer Engineering, University of Tabriz, Tabriz 51666, Iran (e-mail:
sajad.madadi@tabrizu.ac.ir; stohidi@tabrizu.ac.ir).
Behnam Mohammadi-Ivatloo is with the Institute of Research and
Development, Duy Tan University, Da Nang 550000, Vietnam (e-mail: C. Function
mohammadibehnam@duytan.edu.vn). Et Expected fuction.
Color versions of one or more of the figures in this article are available online
at https://ieeexplore.ieee.org. L Lagrangina function.
Digital Object Identifier 10.1109/TPWRD.2020.3012205 p(x/y) Conditional probability function.

0885-8977 © 2020 IEEE. Personal use is permitted, but republication/redistribution requires IEEE permission.
See https://www.ieee.org/publications/rights/index.html for more information.

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1632
D. Abbreviation
DLR Dynamic line rating.
DSGE Dynamic stochastic general equilibrium.
PIT Probability integral transformer.
RL Reliability level.
PINAW Prediction interval normalized average width.
I. INTRODUCTION
NE of the most significant current issues in the power sys-
O tems is renewable power generation integration into the
power networks. The dynamic transmission line rating (DLR)
is required to achieve this aim. By installing DLR measure-
ment technologies, capacity of the overhead lines is determined
based on online weather conditions. Many investigators have
argued that DLR can reduce total operation cost and increase
wind farm penetration level ([1]–[5]). The role of DLR in the
integration of wind power is investigated in [1]. Also, authors
of [2], [3] illustrate that DLR limitations can reduce the costs of
transmission expansion planning. In [4], [5], the impact of DLR
on scheduling of the reconfigurable microgrids and multi-area
systems is evaluated and its economic and reliability benefits
are highlighted. However, the intermittent nature of DLR causes
different challenges for the power system operators. Due to the
stochastic nature of DLR, scheduling of the power system in
the day-ahead market face with a significant challenge. The
forecasting methods are carried out to meet the mentioned
challenge. Moreover, the forecasting error leads to constructing
a new market called the balancing market. In the balancing
market, the supply and demand are balanced in each half-hour
trading period of every day. Real-time forecasting is one of the
most widely used tools in the balancing market for ensuring the
balancing of supply and demand.
A considerable amount of literature has been published on
DLR forecasting methods. These studies can be classified based
on the forecasting horizon. In the first group, the DLR values are
forecasted for the day-ahead market applications. In [6], DLR
values are predicted based on stochastic and deterministic mod-
els. In [7], four DLR forecasting approaches are proposed. This
reference integrates multivariate adaptive regression splines,
generalized linear models, random forests, and quintiles random
forests into the weather predictions to provide a DLR prediction
for a time horizon of 24-72 h. In the same vein, authors of [8] use
the artificial neural networks to predict DLR value for optimizing
the power system. A DLR day-ahead forecasting based on a
machine learning technique is conducted in [9]. An extended
Kalman filter is applied to estimate the transmission line tem-
perature and predict DLR value in [10]. Some analysts have
improved the accuracy of DLR forecasting. In [11], a statistical
approach is implemented for this goal. In [12], the integrated
factorized Ornstein-Uhlenbeck is applied to consider DLR and
weather time series simultaneously. The authors of this reference
conclude that considering the weather and DLR time series
information can reduce the forecasting error in DLR fluctuation
points. In addition, a novel physical static technique is used for
day-ahead DLR forecasting in [13]. Authors of [14] pointed out
that 1) DLR predictions are related to weather parameters, 2)
several transmission line points should be forecasted to reach
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IEEE TRANSACTIONS ON POWER DELIVERY, VOL. 36, NO. 3, JUNE 2021
DLR forecasting value, and 3) probabilistic forecasting model
can be used to illustrate the probabilistic distribution function.
This view is supported by Idaho researchers who propose a prob-
abilistic DLR forecasting technique by using the high-resolution
rapid-refresh in [15]. Authors of [16] argue that the reason for
more attention to probabilistic DLR forecasting methods stems
from their ability to detect points related to very low occurrence
probability to reduce operational risk. Therefore, a technique to
select the most suitable quintiles based on a cost-benefit analysis
is presented in this reference. In [17], an approach is proposed
for drawing out the DLR values in a probabilistic forecasting
method by considering power flow simulations and the network
operator’s risk aversion.
In contrast to the day-ahead forecasting methods, the real-time
DLR forecasting has not been discussed sufficiently. According
to [18], the reason for less attention to real-time DLR forecasting
is the high computation time required to reach acceptable results.
Hence, they apply a fast computational approach called analyti-
cal method to draw up a real-time DLR forecasting. Probabilistic
real-time DLR forecasting is elaborated in [19], where the author
proposed a real-time forecasting model based on auto-regressive
models. However, there are few investigations of improving
real-time DLR forecasting. Therefore, this paper seeks to obtain
a model to improve real-time DLR forecasting. The dynamic
stochastic general equilibrium (DSGE) is applied to achieve
this objective. Recently, several studies have highlighted that
the DSGE model outperforms other forecasting approaches
such as vector autoregressions in real-time objects. However,
a DLR forecasting model needs to forecast different points of
the transmission line to cover all the critical spans. Thereupon,
applying DSGE requires a significantly revised mathematical
model. This paper revises the DSGE mathematical model to
meet this objective and achieve the point, interval, and density
forecast of real-time DLR.
The remainder of this paper is organized as follows: The
mathematical model of the Keynesian DSGE Model is provided
in Section II. Section III presents the model solution. Results and
discussions are discussed in Section IV. Ultimately, conclusions
are written in Section V.
II. KEYNESIAN DSGE MODEL
This section describes the Keynesian DSGE model by using
a similar method presented in [20]. This model is generally used
in macroeconomic studies to forecast economic subjects such
as economic growth considering business cycles and inflation.
A DSGE model predicts the economic growth by integrating
general equilibrium theory and microeconomic principles. In
the microeconomic application of DSGE, a model attempts to
predict the impact of deviation of consumption rates, technology
evolvements, and inflation on the economic growth. Hence, the
deviation of such variables is modeled as different shocks. After
modeling the shocks, economic growth is obtained by using an
equilibrium between several variables related to such shocks.
The real-time DLR forecasting is carried out based on an equi-
librium between the heat balancing components by considering
the weather deviations. Therefore, it can be pointed out that a
real-time forecasting model integrate the general equilibrium
MADADI et al.: PROBABILISTIC REAL-TIME DYNAMIC LINE RATING FORECASTING 1633

theory and transmission line characteristics. Therefore, a novel forecasting, the impact of weather conditions on DLR value is
DSGE model is proposed for real-time DLR forecasting in this calculated for a critical span detected in the day-ahead forecast-
section. The DLR real-time forecasting model includes solar ing. However, deviation of the weather conditions can change
heating, radiative cooling, convective cooling, and the non-linear the location of critical span. The effect of other critical spans
resistance of conductor curve. In this study, also, a reliability is modeled by using πt formulated in (4). In this equation, the
policy is applied to avoid the overload operation of transmission day-ahead weather conditions for the span detected as critical
lines by setting the reliable nominal rate. The log-linearized span is illustrated by V̄tsp . Such a value for ith monitoring span is
thermal heating balancing is summarized in the following. The shown by V̄tsp . The real-time weather condition predicted in the
sp
mathematical model of each factor evolvement (e.g., wind speed critical span is determined by vt−rel . Also, the real-time weather
and solar heating) is stated at time t in 1. condition of other monitoring spans is estimated based on the
sp
vt−rel and illustrated by v̂ti . In this paper, they are estimated
log Ft∗ = log γt∗ + z̄t∗ (1) based on the geostatistical analysis. Equation (5) formulates the
where Ft∗ represents the evolvement of each factor. Also, the ordinary Kriging geostatistical analysis based on a semivari-
upper bound of ∗ models the type of factors, which includs ogram. In this equation, wil is the weights defined by the ordinary
the air temperature (FtT ), the wind speed (FtW ), and the solar Kriging estimator.
radiation (Ftsl ). Such values are summation of two terms. The 
first term indicates the deterministic trend of each factor (e.g., i
0 V̄tspc + vt−rel
spc
≥ V̄tsp + v̂ti
πt = spc
(4)
solar radiation, wind speed). In this term, the deterministic vt−rel − v̂ti V̄tspc + vt−rel
spc
< V̄tsp + v̂ti
component of each factor is determined by γt∗ . This term is  l sp
generally updated by using the day-ahead forecasting values and i∈n wi vt−rel
v̂ti = (5)
time series recorded during the prior period. In the second term V̄
of equation (1), an exogenous stochastic process of each factor
The model weights are obtained by applying a training ap-
(z̄t∗ ) is modeled to shape the real-time deviation of each factor for
proach for increasing the accuracy of weather parameters’ esti-
improving the efficiency of real-time forecasting. Variation of
mations for each monitoring span. The regular Kriging training
the stochastic terms of each factor is calculated in the following:
is started by calculating the variogram shown in (6). The output
zt = z̄t − z̄t−1 (2) of this step is detecting the local correlation between the monitor-
ing spans. Different models are studied to specify each position
The evolvement of factors (weather conditions) is used to variogram. In addition, the spherical variogram model is em-
calculate the heat balance component value. Then, the real-time ployed to detect each position variogram. Indeed, this variogram
forecasted rate of DLR is calculated by using the heat balance is used for calculating the local correlation between different
equation. However, the IEEE standard provided in [21] repre- points of a wide region. Equation (7) formulates the mathemati-
sents various non-linear equations to calculate the impact of each cal model of this variogram type. The ordinary Kriging weights
weather factor on the heat balance component values under low, are updated according to a Lagrangian function determined in
medium, and high wind conditions. Applying such equations for (8). A simplified form of a Lagrangian function is written in
calculating the heat balance components of critical spans may (9). The mathematical models for calculating Γ0 , W0 , ψ0 are
need a significant computational burden, which is conflicted represented in (11)-(13), respectively.
with the real-time forecasting constraints. In this paper, the
Euler equation is applied to update each heat balance compo- n(h)
1 
nent by using the related factor evolvement and considering ψ(i, h) = [xi − xi+h ]2 (6)
2n(h) i=1
the different weights to model the non-linearity mentioned in
the IEEE standard. Such weights are updated according to the  Ä ä
h3
c0 + c 3˜h
2a − 2a 3 0≤h≤a
training approach. The mathematical model of Euler equation is ψ(i, h) = (7)
illustrated in (3). This model includes two terms. The first term c0 + c h>a
estimates the impact of weather changes on the heat balancing ⎡ 2 ⎤
N
 N

components. Furthermore, this standard points out that the DLR
value should be determined based on the lowest value estimated L(wW , wSp β) = E ⎣ v(xtrain ) − wi As.t
w − wj V t ⎦
i=1 j=1
in the monitoring spans. Therefore, the information of monitor-
Ç å
ing spans and reliable nominal rate are considered in the second  
term of model to enhance accuracy. − 2β wW + wSp − 1 (8)
 ncr

1 
∗ ∗ ∗ i
Qt = Et [Ft + zt ] − Rt − πt (3) Γ0 Ω0 = ψ0 (9)
τ i=1 ⎡ ⎤
ψ(w1 , w1 ) . . . ψ(w1 , wn ) 1
where the expected value is defined as Et . The risk aversion ⎢ ⎥
⎢ ψ(w1 , wn ) . . . ψ(wn , wn ) 1⎥
degree and the reliable nominal rate are denoted by τ and Rt , ⎢ ⎥
ψ0 = ⎢
⎢ .. .. .. ⎥
⎥ (10)
respectively. πti is added to consider all of the monitoring spans, ⎢ . . . ⎥
which are monitored by DLR measurement devices. Also, the ⎣ ⎦
number of monitoring spans is represented by ncr . In real-time 1 ... 1 1

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1634 IEEE TRANSACTIONS ON POWER DELIVERY, VOL. 36, NO. 3, JUNE 2021

⎡ ⎤
w1w In this paper, it is assumed that each shock motion law is orthogo-
⎢ ⎥ nal. Moreover, constant and stochastic velocities are considered
⎢ ... ⎥
⎢ ⎥ to obtain real-time DLR forecasting. The parameters εR,t , εz,t ,
⎢ w ⎥
⎢ wN ⎥ and εg,t are set as εR , εz , and εg , respectively, in the real-time
⎢ sp ⎥
W0 = ⎢
⎢ w1 ⎥ ⎥ (11) DLR forecasting with constant velocity. In the real-time DLR
⎢ ⎥ forecasting with stochastic velocity, such parameters are set as:
⎢ ... ⎥
⎢ ⎥
⎢ sp ⎥
⎣ wN ⎦
σi,t = σevi,t vi,t = ρσi vi,t−1 + ηi,t i ∈ {R, z, g} (17)
β
⎡ ⎤
ψ(x0 , xw1 ) where, velocity value is determined based on past value (vi,t−1 )
⎢ .. ⎥ and velocity improvement coefficient (ηi,t ) to increase the accu-
⎢ ⎥
⎢ . ⎥ racy of real time DLR forecasting model. The velocity improv-
⎢ ⎥
⎢ ψ(x , x ) ⎥ ment coefficient is a variable with normal probabilistic distribu-
⎢ 0 wn ⎥
⎢ ⎥ tion function. Also, the parameters of this normal distribution
ψ0 = ⎢ ⎥
⎢ ψ(x0 , xSP 1 ) ⎥ (12)
⎢ ⎥ function is defined in the next section. It should be noted that
⎢ .. ⎥ the η and ε are independent process.
⎢ . ⎥
⎢ ⎥
⎢ ⎥
⎣ ψ(x0 , xSP n ) ⎦
1 III. MODEL SOLUTION

ω0 = Γ−1 The model presented in (1)–(14), irrespective of the stochastic

0 γ0
After calculating heat balancing components as stated in (1)-
(12), the real-time DLR forecast can be obtained by considering
(14). In this equation, the transmission line capacity during t time
period is illustrated by Capt . gt models the non-linear conductor
resistance and exogenously conditions. However, the reliable
nominal rate should be set to cover the stochastic conditions,
which may occur in real-time forecasting methods. Thus, the
mathematical model for the reliable nominal rate is formulated
based on (15).
2Capt + gt = log(Qrt + Qw sl
t − Qt )
Rt = ρR Rt−1 + (1 − ρR ) × [(1 − ϕ1 )π∗t + ϕ1 πt
+ ϕ2 (Capt − Capt−1 + zt )] + mt
According to the mathematical model of reliable nominal rate, it
can be pointed out that this term is updated for each heat balanc-
ing component regarding its past value indicated as Capt−1 ,
the information obtained by (14), the DLR forecasted value
for time t. Moreover, π∗t is the day-ahead forecasted value of
heat balancing component at time t. ρR is an auxiliary variable
to connect the two terms of reliable nominal rate. Also, a
weather condition shock is considered equal to mt to capture
the low-frequency shifts. The weights illustrated by ϕ and ρR
are set based on the experimental test. Therefore, the normal
and Beta probability distributions are assigned for each ϕ and
ρR parameters, respectively. The parameters of such probability
distributions are set by using gradients technique, which is
applied to reduce the forecasted error described in the next
section. The model is completed by assigning the shock motion
laws.
2 that all the elements of φε (w2,ij ) are modeled as shock. Since
mt = εR,t εR,t ∼ N (0, σR,t )
2
z̄t = ρz (1 − ϕ)z̄t−1 + ϕz̄t−2 + εz,t εz,t ∼ N (0, σR,t )
2
gt = ρg gt−1 + εg,t εg,t ∼ N (0, σg,t )
(13)
volatilities (εR,t , εz,t and εg,t ), constructs a system defined as
the linear rational expectations system in economic time series
analysis studies. There are different techniques, such as Sims
approach [22], to solve the mentioned system. By considering
the stochastic volatilities, the second-order perturbation tech-
nique is used to solve the DSGE model. Also, the log-linear
estimation is combined with the stochastic volatility described
in the previous section to reach a conditional linear Gaussian
state-space model.
(14)
A. Transition
In this section, the transition equations are investigated in two
(15) steps. First, the constant velocity is considered in the transition
equation description. Then, the impact of stochastic velocity on
the transition equation is investigated.
1) Constant Volatility: A first-order perturbation response
for the state variables can be obtained in a linear transition
equation. This solution is written in (18).
svt = φ1 svt−1 + φε εt εt ∼ N (0, Q) (18)
In this equation, the state variable vector is determined by
svt = [Capt , Capt−1 , Q∗t , Ft∗ , πt , Rt , zt , mt , gt ] , which is used
to extract the time-series information. Also, three matrices il-
lustrated by φ1 , φε and Q are used to construct the coefficient
matrices. The dimensions of φ1 , φε , and Q are ns × ns , ns × ne ,
and ne × ne , respectively. Besides, the state variables number
and the structural shock number are denoted by ns and ne ,
respectively. An example of φ1 is written in (19). It is noteworthy
such weights are not equal to zero, this matrix is not illustrated.
The weights are determined in the training step. Here, Q is
a diagonal matrix in which the diagonal elements, which are
(16) updated by executing the training step, determine the standard

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MADADI et al.: PROBABILISTIC REAL-TIME DYNAMIC LINE RATING FORECASTING 1635

deviation of each shock. the proposed state-space system. The estimation method used

ω11 ω12 ω ∗ ω ∗ 0 0 0 0 1 in this paper can be classified into Bayesian techniques. A
13 14
feature of Bayesian techniques is the need for specifying the
1 0
0 0 0 0 0 0 0 probability distribution parameters to reach acceptable results.

0 ∗ ∗
0 In this study, the type of probability distribution is fitted based
0 ω33 ω34 ω35 ω36 ω37 0
on historical data. However, the parameter of probability distri-
0 ∗
0
0 0 ω44 0 0 ω47 0 bution is assigned based on the training approach for reducing

∗ density-forecasting error. In this study, it is assumed that the
φ= 0 0 0 ω54 ω55 0 0 0 0 (19)
random walk evolves the log volatility, which is mathematically

ω61 ω62 0 0 ω65 ω66 ω67 ω68 0 expressed by (23).


0 0 0 0 0 0 ω77 0 0

Ot = Dt + Zt svt (22)
0 0 0 0 0 0 0 ω88 0

SV − RW :vi,t = vi,t−1 + ηit
0 0 0 0 0 0 0 0 ω99
ηit ∼ N (0, σσ2i ) (23)
2) Stochastic Volatility: In [23], it is shown that the second-
order approximation should be considered to keep the terms
dependent on the stochastic velocity. The authors of this paper where ρσit is set as 1. Also, the inverse gamma is considered for
argue that the stochastic volatility disappears by the first-order σσi , shown as:
linearization. In another study conducted by [24], an approxi-
mation technique based on partially non-linear function is sug- σσ2i ∼ IG(2, 0.0001) (24)
gested to reach the model solution. In this paper, the linearization
technique is applied to solve the proposed model. According to C. Density Estimator
the mentioned technique, the state variables can be obtained
from a linear transition equation, similar to constant velocity. In this paper, the stochastic velocity is considered for the
The mathematical model of state variable equation is illustrated DSGE model. The technique described in [25] is applied to
in (20). obtain the density forecasting. In this method, the effect of each
shock on the DLR distribution is calculated. At last, the total
svt = φ1 svt−1 + φε εt εt ∼ N (0, Qt ) (20) distribution is estimated by aggregating all of the impacts. The
In contrast with the transition with constant velocity, the matrix predictive density is obtained according to Algorithm 1. Before
Q is changed by the time and denoted by Qt in the transition with describing the density forecasting algorithm, the mathematical
stochastic velocity. The matrix can be classified into a diagonal model of density forecasting is expressed by (25). In the first
(j) (j)
matrix. σi2 e2vi,t and σπ2 ∗ construct the first three diagonal ele- step of algorithm, the posterior distribution of (svT , vt ) is
ments for R, z, g and the fourth diagonal element, respectively. extracted. Once the posterior distributions are extracted and
Also, the variable vi,t is calculated as: marked, the sequence of volatility variations is calculated by
using (21). Then, the structural shock innovations (the changing
vi,t = ρσi vi,t−1 + ηi,t
(21) values of weather conditions in the real-time horizon) are drawn
ηi,t ∼ N (0, σσ2i )
according to the probabilistic distributions, which are updated in
According to (20) and (21), such equations make a non- the training approach to model the weather condition variations
linear state-space representation by considering the measure- accurately. Furthermore, the state transition equation illustrated
ment equation. (j)
in (20) is calculated. In the last step, the sequence OT =1:T +H
is drawn by using the measurement equation. The process is re-
B. Parameter Estimation peated several times to cover all the structural shocks, which are
In this section, an equation is introduced to link the state wind speed, wind direction, solar radiation, and air temperature.
variable and observation conditions. In the first step, the mea-
surement equation is defined as (22). In this equation, a vector is  T +1:T +H |O1:T )
P (O
applied to represent the observed variable. Also, Dt is a vector = (svT ,vT ) [ svT +1:T +H ,vT +1:T +H p(OT +1:T +H |svT +1:T +H )
that includes the DSGE obtained by the average of outputs ×p(svT +1:T +H , vT +1:T +H |svT , vT , O1:T )
and day-ahead forecasting values. Zt is a matrix with ns × ns d(svT +1:T +H , vT +1:T +H )] × p(svT , vT |Y1:T )d(svT , vT )
dimension to connect the observables to the states of model. This (25)
matrix is written by using the Keynesian DSGE model studied
in Section II. The forecasting outputs are shown by Ot . In this
D. Training Method
study, the real-time values of state vector are selected as the
forecasting outputs. In the next step, the random walk metropolis The first step of training approach is finding a tool for mea-
technique combined with the Kalman filter is applied to elicit suring the relative density forecast accuracy. In this paper, the
the linearized DSGE with stochastic volatility. Implementation log predictive likelihood method is used to measure that. Au-
of inference is facilitated because of linear-Gaussian nature of thors of [26] have studied the mathematical model of predictive

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1636 IEEE TRANSACTIONS ON POWER DELIVERY, VOL. 36, NO. 3, JUNE 2021

PIT of Oi,T +h is defined as the random variable cumulative

Algorithm 1 Algorithm of Predictive Density.
density Oi,T +h assessed at the correct Oi,T +h realization. The
1: procedure PIT is written as:
2: for i 1: nsim do
(j) (j)  Oi,T +h
3: Extract (svT , vt ) from the previous
4: distribution function p(svT , vT |O1:T ) zzi,h,T = p(Õi,T +h |O1:T )dÕi,T +h (29)
−∞
5: Determine the series of volatility alterations
(j)
6: ηi,T +1:T +H ∼ N (0, (ωi2 )(j) ) for i = R, z, g. The Monte Carlo average is applied to compute the PIT:
7: Exttract the sequence by considering the n
sim
(j) 1 (j)
8: volatility motion law (21) for vt zzi,h,T ≈ I{Oi,T +h ≤ Oi,T +h } (30)
(j) nsim
9: vi,t = ρσi (j) vi,t−1 (j) + ηi,t (j) j=1
10: Depict the shock variations
(j) 2(j) Authors of [27] emphasized that the zzi,h,T should have an
11: εi,T +1:T +H ∼ N (0, σ i e2vi,t (j) ) for i = R, z, g
uniform distribution function U(0, 1). Then, it can be concluded
(j) 2(j)
12: and επ,T +1:T +H ∼ N (0, σ π ) for i = R, z, g that the density predictive algorithm is calibrated properly and
(j) conditionally. Thereupon, this condition is selected as the goal
13: Construct the state transition svT
14: based on (20) be achieved by the proposed training technique. The character-
(j) (j)
15: svt = φ1 (j) svt−1 + φε (j) εt istics of uniform distribution are applied to update the model
16: Calculate the sequence based on following parameters. Therefore, the training step is started by collecting
(j) 10 samples of the training step. In the next step, the mean
17: equation (OT =1:T +H ) :
(j) (j) (j) (j) (M), mode, and standard deviation of such data are calculated.
18: Ot = Dt + Z t s t Pearson mode skewness of training data is obtained by (31). One
19: end for of the uniform distribution characteristics is their zero skewness
20: end procedure factor. Hence, Lagrangian equation L(Ω) of this problem is
written by (32). The model parameters are shown by Ω.
likelihood. This model is formulated as: Mean − Mode
Skewness(Ω) = (31)
1 −h
E+P Standarddeviation
SM (h) = P −h log p(ÕT +h |O1:T ) h = 1, 2, . . ., H
T =E L(Ω) = Skewness(Ω) (32)
(26)
In this model, the starting point, the number of prediction Different optimization techniques can be employed to min-
origins, and the forecasting horizon are denoted by E, P , and h, imize the Lagrangian problem. In this paper, this problem is
respectively. The marginal predictive likelihood term is denoted solved by the stochastic gradients approach illustrated in (33).
by M . The second term of predictive likelihood is known as This optimization can update the model parameters in each
joint. This parameter is expressed as: training iteration. It should be noted that the mean, mode, and
E+P
standard deviation are changed in each iteration of training.
1 −h
Sj (h) = log p(ÕT +1:T +h |O1:T ) Ωstep+1 = Ωstep − η∇L(Ωstep )
P −h (33)
T =E

h = 1, 2, . . ., H (27) IV. REAL-TIME FORECASTING

According to such equations, the terms of predictive likeli- After the training step, the real-time DLR density forecast is
hood are equal when the forecasting horizon is equal to 1. In obtained by executing Algorithm 1. In this section, the methods
this study, the parameter of marginal predictive likelihood term to draw the real-time DLR point and interval forecasts are
is obtained as: introduced.
p(ÕT +1:T +h |O1:T )
n
A. Point Forecast
sim
1 (j) (j) (j)
≈ p(ÕT +h |VT +1:T +h , svT , vT ) (28) The real-time point forecast is computed by using the mean
nsim j=1 of Monte Carlo. The mathematical model of point forecasting
The marginal predictive likelihood term computed in (28) calculation is expressed by:
needs a relative standard to evaluate the efficiency of density  n
sim
ÙT +h|T = 1 (j)
forecast. By applying the log predictive density, this standard O OT +h p(OT +h |O1:T ) ≈ OT +h
should rank density forecasts based on assigning the observed OT +h nsim j=1
realization sequence likelihoods. In this paper, the correct condi- (34)
(j)
tional calibration is applied to evaluate the model. In the first step In this model, Algorithm 1 is used to generate OT +h . Efficiency
of this evaluation, the probability integral transformer (PIT) [27] of the point forecast is evaluated by using the normalized root
is calculated by using the correct conditional calibration. The mean square error illustrated in [12].

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MADADI et al.: PROBABILISTIC REAL-TIME DYNAMIC LINE RATING FORECASTING 1637

B. Interval Forecast TABLE I

SPECIFICATIONS OF THE STUDIED TRANSMISSION LINE
In this paper, the real-time interval forecasting is conducted
to provide information about the forecasting uncertainty rating
for the studied horizon. The interval information is generally
used for making real-time decisions based on robust and interval
optimization techniques. The numerical searching for the less
(j)
linked interval, which includes100(1 − α)% of {Oi,T +h }nj=1 sim
,
is used to obtain the interval prediction for Oi,T +h of OT +h
[28].
In this study, the reliability level (RL) and sharpness factors
are applied to assess the efficiency of proposed interval fore-
casting. The RL mathematical model of interval forecasting is
expressed in (35) and, δn is calculated in (36).
L V. RESULTS AND DISCUSSION
1 
RL = δn (35) In this paper, the real- time transmission line capacity is
L n=1
predicted six times per hour with ten minutes steps. The fore-

1 ynmin ≤ yn ≤ ynmax casting problem can be divided into two problems in one day.
δn = (36) In the first problem, the model execution needs the running
0 otherwise proposed training technique. This problem is solved twice in a
The sharpness factor can be calculated by measuring predic- day. A training technique is run at 24:00 and 5:00 to find model
tion interval normalized average width (PINAW) formulated as: parameters in day and night times, respectively. The mentioned
problem is simulated by a computer with Intel core i7-6770HQ
1
P IN AW = processor and 4 GB of memory. The execution times for train-
(M ax({On }L
n=1 ) − (M in({On }L
n=1 ).L ing and forecasting is equal to 25.05 seconds. In other times,
L
 the model parameters are selected based on results of training
× (Onmax − Onmin ) (37) technique obtained in the previous problem. The execution times
n=1 for such times is equal to 4.90 seconds. Also, the model is able to
By choosing different value of α, the power system operator predict DLR for a 24 hour ahead. However, the aim of real- time
can tune the confidence level to give proper interval forecasting forecasting model is DLR prediction for next ahead in each time
results. However, there are different studies, which are defined and the forecasting model is repeated based on weather condition
an optimization problem to find shortest confidence level such changes in each 10 minute step. In this section, efficiency of the
as [29], [30]. In this paper, an optimization problem illustrated DLR real-time forecasting is evaluated. For this purpose, the data
in (38) is stated to manage the trade- off between the confidence collected from a transmission line installed in Khaf, Iran, are
level and making a conservative solution. In this objective func- used to investigate the accuracy of proposed real-time forecast-
tion, the confidence level and the training data size are repre- ing model. The studied transmission line has three wire single
sented by α and Ttrain . Also, the interval forecasting accuracy phase aluminum conductor steel (ACSR) reinforced conductors.
indices are considered by P IN AW and RL. For solving this Conductor diameter and maximum temperature of conductor are
objective function, the training data forecasting and the DLR equal to 31.5 and 75 ◦ C. Also, the number of critical spans
forecasted density obtained by applying training algorithm are is equal to six spans. The Characteristics of such spans are
used. The optimization problem finds a suitable α to minimize measured to determine DLR value. Other specifications of the
the objective function. In other words, the proposed optimization studied transmission line are reported in Table I. Moreover, the
problem attempts to select lower value of α to increase the solar radiation, wind speed, air temperature, and wind direction
confidence level of interval forecasting. However, the upper and historical data in the mentioned transmission line are available.
lower bounds of interval forecasting are closed by selecting Such data are investigated to model the structural shocks. It is
a lower value for α. Hence, the interval forecasting accuracy noteworthy that the day-ahead forecasted value for historical
indices increase the objective function. Therefore, the optimal data is collected for 12 months with resolution of 10 min. The
trade-off between the confidence level and finding a conservative day ahead forecasting for this transmission line is performed by
solution is obtained by solving this objective function. The the method described in [12].
optimization problem can be solve by using heuristic algorithm.
In this paper, the Genetic optimization algorithm described in A. Density Forecast and Training Step Evaluation
[29] is used to solve this problem.The optimal value of α is
As mentioned in the training step, the PIT is used to evaluate
obtained almost equal to 5%. Therefore, the optimal confidence
the accuracy of density forecasting and performance of the train-
level is equal to 95%.
ing step. The results of training step revealed that the calculated

Ttrain PIT values should have a uniform distribution between 0 and 1.
min α + P IN AWi − RLi /100 (38)
α i=1 The PIT histograms of heat balancing components and DLR

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1638
Fig. 1. PIT histogram obtained in training step for a)15 February 2019 b) 15
May 2019 c) 15 August 2019 d) 15 November 2019.
Fig. 2. Impact of velocity type on real-time forecasting obtained in a)24
February 2019 b) 24 April 2019 c) 24 December 2019 d) 24 July 2019.
for training models included stochastic velocities which are
obtained in four days of year (15 February, 15 May, 15 August,
and 15 November 2019), are shown in Fig. 1. The PITs are
classified into four bins with equal size. If each bin includes
25% of the PITs,It can be concluded that the PIT distribution
histogram is uniform for bins with 25% of PITs. In this Fig,
the horizontal red lines indicate the PIT’s bin. These horizontal
lines contain approximately 25% of PITs in the training step of
models with stochastic velocity. Thus, conditional calibration is
proven for such models.
B. Point Forecasted Evaluation
In this section, efficiency of the proposed real-time point
forecasting model is investigated. Indeed, this section includes
two investigations. The first investigation highlights the impact
of considering stochastic velocity on the accuracy of real-time
DLR forecasting. The role of considering stochastic velocity is
indicated in Fig. 2. This figure depicts the DLR value predicted
by considering the stochastic velocity and constant velocity for
four-step ahead at different times of different days. The real-
time forecasted values obtained in 24 February 2019, 24 April
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IEEE TRANSACTIONS ON POWER DELIVERY, VOL. 36, NO. 3, JUNE 2021
Fig. 3. Comparison of the proposed model with other techniques obtained in
a) 5 January 2019 b) 5 June 2019 c) 5 September 2019 d) 5 October 2019.
2019, 24 December 2019 and 24 July 2019 are used to depict
this figure.
In addition, this figure demonstrates that when the DLR
value forecasted by DSGE with stochastic velocity and that
with constant velocity are compared, the former is more similar
to the target value. The accuracy of proposed real-time DLR
forecasting models is compared with that of machine learning
and auto-regressive models in [9], [19]. For this aim, the hourly
mean absolute error is defined as an index for measuring the
accuracy of real-time forecasting models. The mathematical
model of this accuracy index is highlighted in (39). In this
equation, the hourly accuracy at time t is illustrated by Ert .
Also, the actual and forecasted values of DLR at ith step of time
t are demonstrated by ot+10i and ôt+10i , respectively. Fig. 3
illustrates the hourly mean absolute error of each method for four
forecasted times in four days. Overall, the proposed real-time
DLR forecasting with the stochastic velocity indicates higher
efficiency compared to other models.
5
i=0 |ot+10i − ôt+10i |
Ert = (39)
6
C. Interval Forecasting Evaluation
Fig. 4 shows the interval forecasting obtained by proposed
model with stochastic velocity for four days (12 March 2019,
12 June 2019, 12 November 2019 and 12 August 2019) at time
between 10 and 11. The forecasted values of four horizons of two
hours of a day depicted in this figure highlight the efficiency of
the proposed model at different times. Moreover, the interval
percentiles are assumed to be 25–75 in this paper. Table II
reports the RL and sharpness factors, which are obtained by
the proposed method with stochastic velocity, constant velocity,
machine learning, and regressive techniques. The recorded data
in this table are obtained by averaging the value of this indices
calculated in all of real-time forecasting points at time 2019. This
table shows that the accuracy of proposed real-time forecasting
with stochastic velocity is more than other techniques.
MADADI et al.: PROBABILISTIC REAL-TIME DYNAMIC LINE RATING FORECASTING
Fig. 4. Interval forecasting obtained by the proposed model with stochastic
velocity obtained in a) 12 March 2019 b) 12 June 2019 c) 12 November 2019 d)
12 August 2019.
TABLE II
PINAW AND RA FACTORS OF EACH MODEL
VI. CONCLUSION
This paper proposes a density forecast method to predict
real-time dynamic line rating for covering the balancing market
requirements. Thus, the point and interval forecast curves are
obtained by using the proposed density forecasting method.
The proposed real-time density forecasting is based on the dy-
namic stochastic general equilibrium incorporated nonlinearities
in the exogenous driving process. By incorporating stochastic
volatility in the proposed real-time forecasting model, the per-
formance of real-time density forecast of DLR is significantly
improved during evaluating simulation results and reference
models in each forecasting type (i.e. density, interval, and point
forecasting).
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