Probabilistic Forecasting of Regional Net-load with Conditional Extremes

Browell, J. (Speaker), Matteo Fasiolo (Contributor)

Activity: Talk or presentation typesInvited talk


The increasing penetration of embedded renewables makes forecasting net-load, consumption less embedded generation, a significant and growing challenge. This talk will present a framework for producing probabilistic forecasts of net-load with particular attention given to the tails of predictive distributions, which are required for managing risk associated with low-probability events. Only small volumes of data are available in the tails, by definition, so estimation of predictive models and forecast evaluation requires special attention. We propose a solution based on a best-in-class load forecasting methodology adapted for net-load, and model the tails of predictive distributions with the Generalised Pareto Distribution, allowing its parameters to vary smoothly as functions of covariates. The resulting forecasts are shown to be calibrated and sharper than those produced with unconditional tail distributions. In a use-case inspired evaluation exercise based on reserve setting, the conditional tails are shown to reduce the overall volume of reserve required to manage a given risk. Furthermore, they identify periods of high risk not captured by other methods. The proposed method therefore enables user to both reduce costs and avoid excess risk.
Period1 Jul 2021
Event titleExtreme Value Analysis
Event typeConference
LocationEdinburgh, United Kingdom
Degree of RecognitionInternational