Point-based and probabilistic electricity demand prediction with a Neural Facebook Prophet and Kernel Density Estimation model

Abstract

Electricity demand prediction is crucial to ensure the operational safety and cost-efficient operation of the power system. Electricity demand has predominantly been predicted deterministically, while uncertainty analysis has been usually overlooked. To address this research gap, an integrated Neural Facebook Prophet (NFBP) model and Gaussian Kernel Density Estimation (KDE) model is proposed in this paper, as a way to obtain point and interval predictions of electricity demand, quantifying this way the uncertainty in the predictions. First, historical lagged data, created by utilizing the Partial Auto-correlation Function and Mutual Information Test, is applied to train a prediction model based on NFBP, Deep Learning (DL) as well as Statistical Models. Second, the model Prediction Errors (PE) are derived from the difference between actual and predicted values. A splitting strategy based on the mean and standard deviation of PE is proposed. Finally, electricity demand prediction intervals are obtained by applying Gaussian KDE on split PE. To verify the effectiveness of the proposed model, simulation studies are carried out for three prediction horizons on freely available datasets for the Bulimba sub-station in Southeast Queensland, Australia. Compared with DL models (Long-Short Term Memory Network and Deep Neural Network), the Root Mean Square Error of the NFBP model was reduced by 6.1% and 11.3% for 0.5-hr ahead, 22.7% and 26.3% for 6-hr ahead, and 31.8% and 29.9% for daily prediction. In addition, the Prediction Interval normalized Interval width is smaller in magnitude for the proposed NFBP-KDE model compared to other DL and Statistical models