PrEF: Probabilistic Electricity Forecasting via Copula-Augmented State Space Model

Abstract

Electricity forecasting has important implications for the key decisions in modern electricity systems, ranging from power generation, transmission, distribution and so on. In the literature, traditional statistic approaches, machine-learning methods and deep learning (e.g., recurrent neural network) based models are utilized to model the trends and patterns in electricity time-series data. However, they are restricted either by their deterministic forms or by independence in probabilistic assumptions -- thereby neglecting the uncertainty or significant correlations between distributions of electricity data. Ignoring these, in turn, may yield error accumulation, especially when relying on historical data and aiming at multi-step prediction. To overcome these, we propose a novel method named Probabilistic Electricity Forecasting (PrEF) by proposing a non-linear neural state space model (SSM) and incorporating copula-augmented mechanism into that, which can learn uncertainty-dependencies knowledge and understand interactive relationships between various factors from large-scale electricity time-series data. Our method distinguishes itself from existing models by its traceable inference procedure and its capability of providing high-quality probabilistic distribution predictions. Extensive experiments on two real-world electricity datasets demonstrate that our method consistently outperforms the alternatives.