Multivariate Quantile Regression for Short-Term Probabilistic Load Forecasting

Short-term probabilistic load forecasting is essential to power systems management and optimization of power flows across transmission networks. Developing forecasting tools capable of providing accurate predictions must comply with their practical implementation in short-term operations, mainly in terms of fast computing and high efficiency. Many data-driven forecasting solutions are often unnecessarily verbose, thus making their practical value limited. This problem occurs more frequently when multiple loads have to be predicted simultaneously, as in power transmission system analysis and optimization. In this paper, we propose a new cooperative forecasting system that refines probabilistic forecasts of individual loads online. The refining procedure is based on a multivariate quantile regression, which is dynamically applied to the individual forecasts as new observations become available. The proposal is validated on the load data published by ISO New England for eight regions, covering six states of the United States. The quality of probabilistic forecasts is assessed in terms of reliability and sharpness, comparing the results to three benchmarks. The proposed method outperforms the best benchmark by up to 6% w.r.t. the reduction in pinball loss.