Rule-based autoregressive moving average models for forecasting load on special days: A case study for France

Journal article

This paper presents a case study on short-term load forecasting for France, with emphasis on special days, such as public holidays. We investigate the generalisability to French data of a recently proposed approach, which generates forecasts for normal and special days in a coherent and unified framework, by incorporating subjective judgment in univariate statistical models using a rule-based methodology. The intraday, intraweek, and intrayear seasonality in load are accommodated using a rule-based triple seasonal adaptation of a seasonal autoregressive moving average (SARMA) model. We find that, for application to French load, the method requires an important adaption. We also adapt a recently proposed SARMA model that accommodates special day effects on an hourly basis using indicator variables. Using a rule formulated specifically for the French load, we compare the SARMA models with a range of different benchmark methods based on an evaluation of their point and density forecast accuracy. As sophisticated benchmarks, we employ the rule-based triple seasonal adaptations of Holt-Winters-Taylor (HWT) exponential smoothing and artificial neural networks (ANNs). We use nine years of half-hourly French load data, and consider lead times ranging from one half-hour up to a day ahead. The rule-based SARMA approach generated the most accurate forecasts.

Authors: Arora, S; Taylor, J

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: Elsevier
• Journal: European Journal of Operational Research
• Volume: 266
• Issue: 1
• Pages: 259-268
• Publication date: 2017-09-01
• Acceptance date: 2017-08-29
• DOI: 10.1016/j.ejor.2017.08.056
• ISSN: 0377-2217
• Keywords: OR in Energy; short-term; public holidays; seasonality; load