The Use of Singular Spectrum Analysis and K-Means Clustering-Based Bootstrap to Improve Multistep Ahead Load Forecasting

Winita Sulandari (), Yudho Yudhanto and Paulo Canas Rodrigues
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Winita Sulandari: Study Program of Statistics, Universitas Sebelas Maret, Surakarta 57126, Indonesia
Yudho Yudhanto: Informatics Engineering, Vocational School, Universitas Sebelas Maret, Surakarta 57126, Indonesia
Paulo Canas Rodrigues: Department of Statistics, Federal University of Bahia, Salvador 40170-110, Brazil

Energies, 2022, vol. 15, issue 16, 1-22

Abstract: In general, studies on short-term hourly electricity load modeling and forecasting do not investigate in detail the sources of uncertainty in forecasting. This study aims to evaluate the impact and benefits of applying bootstrap aggregation in overcoming the uncertainty in time series forecasting, thereby increasing the accuracy of multistep ahead point forecasts. We implemented the existing and proposed clustering-based bootstrapping methods to generate new electricity load time series. In the proposed method, we use singular spectrum analysis to decompose the series between signal and noise to reduce the variance of the bootstrapped series. The noise is then bootstrapped by K-means clustering-based generation of Gaussian normal distribution (KM.N) before adding it back to the signal, resulting in the bootstrapped series. We apply the benchmark models for electricity load forecasting, SARIMA, NNAR, TBATS, and DSHW, to model all new bootstrapped series and determine the multistep ahead point forecasts. The forecast values obtained from the original series are compared with the mean and median across all forecasts calculated from the bootstrapped series using the Malaysian, Polish, and Indonesian hourly load series for 12, 24, and 36 steps ahead. We conclude that, in this case, the proposed bootstrapping method improves the accuracy of multistep-ahead forecast values, especially when considering the SARIMA and NNAR models.

Keywords: electricity load forecasting; bootstrap aggregating; singular spectrum analysis; time series forecasting; calendar variation (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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