Forecasting the electricity consumption by aggregating specialized experts; a review of the sequential aggregation of specialized experts, with an application to Slovakian and French country-wide one-day-ahead (half-)hourly predictions - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

Forecasting the electricity consumption by aggregating specialized experts; a review of the sequential aggregation of specialized experts, with an application to Slovakian and French country-wide one-day-ahead (half-)hourly predictions

Résumé

We consider a variant of the sequential prediction of arbitrary sequences based on experts advice, called prediction with specialized experts. We design aggregation rules, that sequentially combine the forecasts provided by the experts; the latter are specialized and need not output a prediction at all time instances while the aggregation rules have to. We provide first a review of the literature on specialized experts and take a new look at some aggregation rules (obtained as adaptations or extensions of earlier rules). We then consider an application to the sequential short-term (one-day-ahead) forecasting of electricity consumption; to do so, we consider two data sets, a Slovakian one and a French one, respectively concerned with hourly and half-hourly predictions. We introduce and develop a general methodology to perform the stated empirical studies. The introduced aggregation rules demonstrate an improved accuracy on the data sets at hand; the improvements lie in a reduced mean squared error but also in a more robust behavior with respect to large occasional errors.
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Dates et versions

hal-00484940 , version 1 (19-05-2010)
hal-00484940 , version 2 (27-03-2011)
hal-00484940 , version 3 (06-07-2012)

Identifiants

  • HAL Id : hal-00484940 , version 2

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Marie Devaine, Yannig Goude, Gilles Stoltz. Forecasting the electricity consumption by aggregating specialized experts; a review of the sequential aggregation of specialized experts, with an application to Slovakian and French country-wide one-day-ahead (half-)hourly predictions. 2011. ⟨hal-00484940v2⟩
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