Prediction interval estimation for electricity price and demand using support vector machines

Uncertainty is known to be a concomitant factor of almost all the real world commodities such as oil prices, stock prices, sales and demand of products. As a consequence, forecasting problems are becoming more and more challenging and ridden with uncertainty. Such uncertainties are generally quantified by statistical tools such as prediction intervals (Pis). Pis quantify the uncertainty related to forecasts by estimating the ranges of the targeted quantities. Pis generated by traditional neural network based approaches are limited by high computational burden and impractical assumptions about the distribution of the data. A novel technique for constructing high quality Pis using support vector machines (SVMs) is being proposed in this paper. The proposed technique directly estimates the upper and lower bounds of the PI in a short time and without any assumptions about the data distribution. The SVM parameters are tuned using particle swarm optimization technique by minimization of a modified Pi-based objective function. Electricity price and demand data of the Ontario electricity market is used to validate the performance of the proposed technique. Several case studies for different months indicate the superior performance of the proposed method in terms of high quality PI generation and shorter computational times.