Generative Probabilistic Time Series Forecasting and Applications in Grid Operations

With the expansion of renewables in the electricity mix, power grid variability will increase, hence a need to robustify the system to guarantee its security. Therefore, Transport System Operators (TSOs) must conduct analyses to simulate the future functioning of power systems. Then, these simulations are used as inputs in decision-making processes. In this context, we investigate using deep learning models to generate energy production and load forecast trajectories. To capt...

Probabilistic forecasting, i.e. estimating the probability distribution of a time series' future given its past, is a key enabler for optimizing business processes. In retail businesses, for example, forecasting demand is crucial for having the right inventory available at the right time at the right place. In this paper we propose DeepAR, a methodology for producing accurate probabilistic forecasts, based on training an auto regressive recurrent network model on a large numb...

Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or abandons modeling cross-series correlations. A promising line of work exploits scalable matrix factorization for latent-space forecasting, but is limited to linear embeddings, unable to model distributions, and not trainable end-to-end when u...

We present a novel approach to probabilistic electricity price forecasting which utilizes distributional neural networks. The model structure is based on a deep neural network that contains a so-called probability layer. The network's output is a parametric distribution with 2 (normal) or 4 (Johnson's SU) parameters. In a forecasting study involving day-ahead electricity prices in the German market, our approach significantly outperforms state-of-the-art benchmarks, including...

This paper presents VAEneu, an innovative autoregressive method for multistep ahead univariate probabilistic time series forecasting. We employ the conditional VAE framework and optimize the lower bound of the predictive distribution likelihood function by adopting the Continuous Ranked Probability Score (CRPS), a strictly proper scoring rule, as the loss function. This novel pipeline results in forecasting sharp and well-calibrated predictive distribution. Through a comprehe...

Time-series forecasting serves as a linchpin in a myriad of applications, spanning various domains. With the growth of deep learning, this arena has bifurcated into two salient branches: one focuses on crafting specific neural architectures tailored for time series, and the other harnesses advanced deep generative models for probabilistic forecasting. While both branches have made significant progress, their differences across data scenarios, methodological focuses, and decod...

Probabilistic forecasting of complex phenomena is paramount to various scientific disciplines and applications. Despite the generality and importance of the problem, general mathematical techniques that allow for stable long-term forecasts with calibrated uncertainty measures are lacking. For most time series models, the difficulty of obtaining accurate probabilistic future time step predictions increases with the prediction horizon. In this paper, we introduce a surprisingly...

Energy forecasting has a vital role to play in smart grid (SG) systems involving various applications such as demand-side management, load shedding, and optimum dispatch. Managing efficient forecasting while ensuring the least possible prediction error is one of the main challenges posed in the grid today, considering the uncertainty and granularity in SG data. This paper presents a comprehensive and application-oriented review of state-of-the-art forecasting methods for SG s...

Purpose This article presents a case for a next-generation grid monitoring and control system, leveraging recent advances in generative artificial intelligence (AI), machine learning, and statistical inference. Advancing beyond earlier generations of wide-area monitoring systems built upon supervisory control and data acquisition (SCADA) and synchrophasor technologies, we argue for a monitoring and control framework based on the streaming of continuous point-on-wave (CPOW) me...

Time series modeling has entered an era of unprecedented growth in the size and complexity of data which require new modeling approaches. While many new general purpose machine learning approaches have emerged, they remain poorly understand and irreconcilable with more traditional statistical modeling approaches. We present a general class of exponential smoothed recurrent neural networks (RNNs) which are well suited to modeling non-stationary dynamical systems arising in ind...