Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression

Autor: Lipiecki, Arkadiusz, Uniejewski, Bartosz, Weron, Rafał

Publikováno v: Energy Economics (2024) 107934

Operational decisions relying on predictive distributions of electricity prices can result in significantly higher profits compared to those based solely on point forecasts. However, the majority of models developed in both academic and industrial se

Externí odkaz: http://arxiv.org/abs/2404.02270

Operational Research: Methods and Applications

Autor: Petropoulos, Fotios, Laporte, Gilbert, Aktas, Emel, Alumur, Sibel A., Archetti, Claudia, Ayhan, Hayriye, Battarra, Maria, Bennell, Julia A., Bourjolly, Jean-Marie, Boylan, John E., Breton, Michèle, Canca, David, Charlin, Laurent, Chen, Bo, Cicek, Cihan Tugrul, Cox Jr, Louis Anthony, Currie, Christine S. M., Demeulemeester, Erik, Ding, Li, Disney, Stephen M., Ehrgott, Matthias, Eppler, Martin J., Erdoğan, Güneş, Fortz, Bernard, Franco, L. Alberto, Frische, Jens, Greco, Salvatore, Gregory, Amanda J., Hämäläinen, Raimo P., Herroelen, Willy, Hewitt, Mike, Holmström, Jan, Hooker, John N., Işık, Tuğçe, Johnes, Jill, Kara, Bahar Y., Karsu, Özlem, Kent, Katherine, Köhler, Charlotte, Kunc, Martin, Kuo, Yong-Hong, Lienert, Judit, Letchford, Adam N., Leung, Janny, Li, Dong, Li, Haitao, Ljubić, Ivana, Lodi, Andrea, Lozano, Sebastián, Lurkin, Virginie, Martello, Silvano, McHale, Ian G., Midgley, Gerald, Morecroft, John D. W., Mutha, Akshay, Oğuz, Ceyda, Petrovic, Sanja, Pferschy, Ulrich, Psaraftis, Harilaos N., Rose, Sam, Saarinen, Lauri, Salhi, Said, Song, Jing-Sheng, Sotiros, Dimitrios, Stecke, Kathryn E., Strauss, Arne K., Tarhan, İstenç, Thielen, Clemens, Toth, Paolo, Berghe, Greet Vanden, Vasilakis, Christos, Vaze, Vikrant, Vigo, Daniele, Virtanen, Kai, Wang, Xun, Weron, Rafał, White, Leroy, Van Woensel, Tom, Yearworth, Mike, Yıldırım, E. Alper, Zaccour, Georges, Zhao, Xuying

Publikováno v: Journal of the Operational Research Society (2024) 75(3)

Throughout its history, Operational Research has evolved to include a variety of methods, models and algorithms that have been applied to a diverse and wide range of contexts. This encyclopedic article consists of two main sections: methods and appli

Externí odkaz: http://arxiv.org/abs/2303.14217

Forecasting Electricity Prices

Autor: Maciejowska, Katarzyna, Uniejewski, Bartosz, Weron, Rafał

Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and forward p

Externí odkaz: http://arxiv.org/abs/2204.11735

Calibration window selection based on change-point detection for forecasting electricity prices

Autor: Nasiadka, Julia, Nitka, Weronika, Weron, Rafał

We employ a recently proposed change-point detection algorithm, the Narrowest-Over-Threshold (NOT) method, to select subperiods of past observations that are similar to the currently recorded values. Then, contrarily to the traditional time series ap

Externí odkaz: http://arxiv.org/abs/2204.00872

Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx

Autor: Olivares, Kin G., Challu, Cristian, Marcjasz, Grzegorz, Weron, Rafał, Dubrawski, Artur

Publikováno v: International Journal of Forecasting 2022

We extend the neural basis expansion analysis (NBEATS) to incorporate exogenous factors. The resulting method, called NBEATSx, improves on a well performing deep learning model, extending its capabilities by including exogenous variables and allowing

Externí odkaz: http://arxiv.org/abs/2104.05522