A project report on

Model Selection, Hyperparameter Tuning and Time

Series Analysis for Energy Price Data using Modern
Model Amalgamation and Model Optimization

Submitted in partial fulfillment of the requirements for the

Degree of B. Tech in Electrical Engineering

By
Mayank Shahabadee (1803096)
Mayank Dubey (1803131)

Under the guidance of

Prof. Banishree Misra
School of Electrical Engineering
Kalinga Institute of Industrial Technology
Deemed to be University
Bhubaneswar

April 2021

1
© KALINGA INSTITUTE OF INDUSTRIAL TECHNOLOGY KIIT-
DEEMED TO BE UNIVERSITY, BHUBANESWAR ALL RIGHTS
RESERVED

2
 CERTIFICATE

This is to certify that the project report entitled “Model Selection,

Hyperparameter Tuning and Time Series Analysis for Energy Price Data
using Modern Model Amalgamation and Model Optimization” submitted by
Mayank Shahabadee bearing roll number 1803096 in partial fulfillment of the
requirements for the award of the degree of Bachelor of Technology in
Electrical Engineering is a Bonafede record of the work carried out under
our guidance and supervision at the School of Electrical Engineering, KIIT.

Signature of Supervisor 1
Prof. Banishree Misra
Assistant Professor
School of Electrical Engineering,
KIIT

................................................................................................................................................
The Project was evaluated by us on

EXAMINER 1 EXAMINER 2

EXAMINER 3 EXAMINER 4

3
 CERTIFICATE

This is to certify that the project report entitled “Model Selection,

Hyperparameter Tuning and Time Series Analysis for Energy Price Data
using Modern Model Amalgamation and Model Optimization” submitted by
Mayank Dubey bearing roll number 1803131 in partial fulfillment of the
requirements for the award of the degree of Bachelor of Technology in
Electrical Engineering is a Bonafede record of the work carried out under
our guidance and supervision at the School of Electrical Engineering, KIIT.

Signature of Supervisor 1
Prof. Banishree Misra
Assistant Professor
School of Electrical Engineering,
KIIT

................................................................................................................................................
The Project was evaluated by us on

EXAMINER 1 EXAMINER 2

EXAMINER 3 EXAMINER 4

4
 ACKNOWLEDGEMENTS

Firstly, I would like to sincerely thank my supervisors Prof.

Banishree Misra for sharing their knowledge and expertise
in this study. I would not be able to thank them enough for
making themselves available to even clear my silliest doubts
and also for teaching and guiding me throughout the
process of research.

I am also thankful to my mentor Prof. Rudra Narayan Dash

for helping and advising me in the right way every time.

I would further thankful to the Dean, School of Electrical

Engineering Dr. Byamakesh Nayak, all faculty members of
school of Electrical Engineering and technical assistants of
School of Electrical Engineering for their constant support.

Mayank
Shahabadee
Mayank
Dubey

5
 Preface

The Goal of Forecasting is not to predict the future but to tell

you what you need to know to take meaningful action in the
present.

• Paul Saffo

Author: Mayank Shahabadee 1803096

Mayank Dubey 1803131
Under the Supervision of Dr. Banishree Misra

6
Chapter 1 - Background and Introduction:
Demand Forecasting (Big Data and Predictive Analysis):
If we can predict the demand of future, like in the current
scenario, where we are failing to predict the demand of oxygen
cylinder and beds in covid-19 hospitals, accurate prediction can
lead to solving many challenges in day-to-day life.

Formal Definition and Common Terminologies:

7
Forecasting Types:

1. Judgement based manual forecasting

2. Univariate Forecasting
3. Multivariate Forecasting
4. Automated Forecasting at Scale

Techniques for Demand Forecasting:

Mainly there are 2 categories in Demand Forecasting:
1. Time Series Models: These are a set if methods which take Time as
an intrinsic part of the model.

E.g.: ARIMA, Prophet, Recurrent Neural Network

2. Regression Models: We can also use general Regression methods

and inject time as an external dependency to the models.
E.g.: Ridge/Lasso Regression, Gradient Boosting Machines, Feedforward
Neural Network.

8
Problems with Traditional Time Series Problems:
• There is no systematic approach for the identification and selection
of an appropriate model, and therefore, the identification process is
mainly trial-and-error.
• There is difficulty in verifying the validity of the model
• Most traditional methods were developed from intuitive and
practical considerations rather than from a statistical
foundation

The Classic ARIMA Model Solution and its Problems:

• Autoregressive Integrated Moving-average
• A “stochastic” modeling approach that can be used to calculate
the probability of a future value lying between two specified limits.

• Autoregressive AR process:
• Series current values depend on its own previous values
• AR(p) - Current values depend on its own p-previous values
• P is the order of AR process

• Moving average MA process:

• The current deviation from mean depends on previous deviations
• MA(q) - The current deviation from mean depends on q- previous
deviations
• q is the order of MA process

• Autoregressive Moving average ARMA process

ARIMA is also known as Box-Jenkins’s approach. It is popular

because of its generality.
It can handle any series, with or without seasonal elements, and
it has well documented computer programs

9
Series current values depend on its own previous values

The current deviation from mean depends on previous deviations

10
Example y(t) data:

Example Arima Nodes:

11
  Arima (p, d, q) modeling:
To build a time series model issuing ARIMA, we need to study the time
series and identify p, d, q:

1. Ensuring Stationarity
Determine the appropriate values of d

2. Identification:
Determine the appropriate values of p & q using the ACF, PACF,
and unit root tests
<<<p is the AR order, d is the integration order, q is the MA order>>>

3. Estimation:
Estimate an ARIMA model using values of p, d, & q you
think are appropriate.

4. Diagnostic checking:
Check residuals of estimated ARIMA model(s) to see if they are white
noise, pick best model with well-behaved residuals.

5. Forecasting:
Produce out of sample forecasts or set aside last few data points for in-
sample forecasting.

12
Stationarity:
In order to model a time series with the Box-Jenkins approach, the series
has to be stationary:
In statistical terms, a stationary process is assumed to be in a
particular state of statistical equilibrium, i.e., p(xt) is the same for all t
In particular, if zt is a stationary process, then the first difference Δzt
= zt - zt-1 and higher differences Δd zt are stationary.

Demo: Testing Stationarity

Stochastic Trend: Inexplicable changes in direction.

13
Achieving Stationarity:

Power of Differentiation:

14
Other Methods to Achieve Stationarity:

15
Chapter 2 – Model Selection
Prophet Model (By Facebook):
Prophet is a Generalized Additive Model which models a Time Series
prediction as a curve fitting exercise with the given formula:
y(t) = g(t) + s(t) + h(t) + ε(t)

g(t) - Trend Model - Linear/Logistic

s(t) – Seasonality Model - Daily/Weekly/Monthly

h(t) – Holiday Model - Regressor Effect of Different Models

ε(t) - Error/Residual

Advantages:

1. Prophet is robust to outliers, missing data, and dramatic changes in

your time series.
2. Automatic Changepoint Detection to models piecewise trends.
3. Provides reasonable forecast on messy data with little to no manual
efforts.

Code Sample:

16
Recurrent Neural Networks (RNNs):
• Designed to handle sequential data.
• And Time Series is a Sequential data.

Vanilla RNN is rarely used due to its problem of vanishing gradients,

LSTM (Long Short-Term Memory) which is modified version of RNN is
used to overcome a lot of problems of traditional RNN.

17
Chapter 3 - Time Series as Regression:

To use the time series data as a supervised data for regressor, we use
what’s called a sliding window method, where we take t1, t2, t3 as x and
then t4 is y, we are using t1, t2, t3 to predict t4 and them moving the
window ahead, we get t2, t3, t4 to predict t5. That’s how we generate
different samples of data for the supervised learning.

Then we can apply linear regression onto this transformed matrix:

18
Chapter 4 - Feature Engineering:

Just depending on lags in the sliding window, is very rudimentary way of

doing it, if we want to get good performance, we would want to help our
model learn the time much better.

1. Datetime Features: Features like day of the week, month, quarter

can be included keeping in mind the frequency of the time series,
can help the model to take into consideration seasonality very well.
2. Lag Features: We can provide the previous values of the time
series as features, as in the sliding window method.
3. Rolling Features: We can also use the sliding window to create
the rolling statistics (mean, max, etc.) features, instead of giving t1,
t2, t3.
4. Trend Features: We can extract the trend with a simple linear
model and provide that feature, as regression models are not ideal
to find trends in data.
5. Fourier Features: Sometimes its beneficial to use Fourier
transformation on those features, to get continuous representation
of the seasonality, and plus it also gives boost in performance.

19
Chapter 5 - Common Problems faced in Regression:

1. Temporal Data Leakage: Data Leakage is basically when the

targets leak into the input, and the model starts to exploit it.
Temporal Data Leakage, with reference to cross validation or k fold
validation, we need to take care of the time in our temporal data, we
obviously can’t use future data train on it and then predict on past.

Time Series Split (Sci-Kit Learn) – It does the data drop-in

replacement for the k-fold validation. Very useful for temporal data.

20
2. Lag and Rolling Features: In Pandas, we have the mean rolling
window function, by default it includes the current timestamp
version also, which is the direct leak of the target into the rolling
mean, hence we shift it by one and then apply the rolling feature.
This makes it absolutely sure that the target is not leaked.

3. Rolling Forecast: Multi-Step Rolling Forecast, we basically train a

single model to train one step ahead. We take that forecasted
values as actuals and adjust the lags and rolls and everything. Then
we pass it into the model to get the next and the next. Disadvantage
here is that we are propagating the same error, we made in the first
timestamp into the subsequent timestamp. The forecast will be
worst as we move far away from the current line.

21
4. Direct Forecast: Single Models in Direct Forecast have added
advantages over Multi Model Forecast, for 18 Months of data we are
using 18 models and difficult to manage. When regressor supports
multiple targets, we can use the Single Models in Direct Forecast,
which basically comes under the neural network world where we
can take past data and do direct predictions on t+1, t+2, and t+3.

22
Chapter 6 - Forecasting at Scale:

Traditional Data Science Process as depicted by Joe Blitzstein and Hans

Peter Pfister:

Suppose, when we have 1M items (Big Data) to forecast it’s difficult to

plot the data and find patterns. We can’t validate each and every model
and make decisions on it, and engineer specific features for each model.
Solution: Embrace Automation into the data
science pipeline.

23
Automated Model Selection (Auto ML) and Hyper Parameter
Tuning:
Our Default choice for model selection is
Grid Search and on top of it we do hyper
parameter tuning. Trying out all possibilities
for hyperparameter tuning is computation-
ally expensive for large datasets.
Random Search:
It’s basically like throwing darts in a dark room and expecting it to hit the
target.

Bayesian Optimization (Best of both worlds):

1. Let’s imagine we
have 3 parameters
a, b and c for which
we need to find the
optimal values
which minimizes a
loss / metric.
2. We start out with a
range of values or
probability density
distribution for
each of the three
parameters.

24
 - This is the prior believe in Bayesian world.
3. Now we sample three parameters from these prior distributions and
record the value of the metric. Based on the value of the metric, we
update the distribution of the three parameters – This is called the
posterior.
4. Now we repeat this for N number of iterations, each iteration
sharpening the posterior and moving closer to the optimal solution.

 One of the many implementations of Bayesian Optimization

in Python is Optuna.

o A Python library which has implemented state of the art algorithms

in Bayesian Optimization Space.
o Eager Search Spaces let us define and create search spaces with
pythonic syntax and flexibility.
o Efficient Pruning (If a trial is not promising, we stop it mid-way.) and
integrations to all the major ML/DL libraries.

 Sample Code:

25
 Pooled vs Un-pooled Model:

VS.

Basically, depends on the amount of data we are using out

weights the disadvantages.
Advantages
01. Less Training Time
02. Less Resource Utilization
Disadvantages
01. May not be able to learn
specific patterns of each time
series.

03. Cross Learning 002. Need highly complex

algorithms to learn the patterns
for all the pooled time series
dataset.

26
Chapter 7 - Time Series Segmentation:

Classical Approach (Heuristic Based Segmentation):

o ADI (Average Demand Interval):

It’s a proxy for intermittency, basically, it measures the demand

regularity in time by computing the average interval between the

two demands.

o Coefficient of Variation: Proxy for variability in the series. It

measures the variation in quantities.

o Smooth Bucket comprises of no sporadicity (continuous), and

very low variability. Ideal conditions, Real World dataset is found to
be in erratic and lumpy region.

27
Chapter 8 - Unsupervised Clustering for Time Series
o Euclidean Distance
• Sensitive to time shifts
• Only works for equal length time Series

 Dynamic Time Warping Distance

o Computationally Expensive
o Shape Based and Time Shift Intensive
o SoftDTW is a faster approximation

 Autoencoders:
o Uses a Deep Neural Network to learn feature representation
of a time series.
o Uses normal clustering algorithms on those representations

28
 Python Libraries:
tslearn implements the classical time series clustering.
Autoencoders can be coded using any of the popular DL
frameworks.

29
From Point Forecast to Probabilistic Forecast:

Some Ways of generating Probabilistic Forecast:

30
31
Chapter 9 - Conclusion:
1.> For Large Scale data, Neural Network Models gives the best
output.
2.> For Small Datasets, Precise Hyperparameter Tuned Model turns
the best.
3.> Multivariate Dataset can perform better in Larger Datasets than
Univariate Datasets.

32
Chapter 10 - Future Challenges and Research Problems:
1.> Self-Optimization of Model according to the kind of dataset
given or is available.
2.> Optimizing Pretrained Models and customizing it to fit the
dynamic nature of data.
3.> Still Data Analysis misses due to lack of insights due to access
to classified data. Data should be openly available for analysis
without personal identity violations.

33
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keywords: {Artificial neural networks;Predictive
models;Forecasting;Training;Time series analysis;Biological system
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network;model combination;time-series forecasting},
URL: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=62103
91&isnumber=6214687

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