On particle filters applied to electricity load forecasting

zbMATH Open1316.62184arXiv1210.0770MaRDI QIDQ5262092FDOQ5262092

Tristan Launay, Sophie Lamarche, Anne Philippe

Publication date: 13 July 2015

Abstract: We are interested in the online prediction of the electricity load, within the Bayesian framework of dynamic models. We offer a review of sequential Monte Carlo methods, and provide the calculations needed for the derivation of so-called particles filters. We also discuss the practical issues arising from their use, and some of the variants proposed in the literature to deal with them, giving detailed algorithms whenever possible for an easy implementation. We propose an additional step to help make basic particle filters more robust with regard to outlying observations. Finally we use such a particle filter to estimate a state-space model that includes exogenous variables in order to forecast the electricity load for the customers of the French electricity company 'Electricit'e de France and discuss the various results obtained.

Full work available at URL: https://arxiv.org/abs/1210.0770

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zbMATH Keywords

sequential Monte Carloparticle filterdynamic modelelectricity load forecasting

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30) Inference from stochastic processes and prediction (62M20) Sequential estimation (62L12)

Cited In (1)

• On particle Gibbs sampling

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