Electricity Load Forecast
In this example we will show how to perform electricity load forecasting considering a model capable of handling multiple seasonalities (MSTL).
Introduction
Some time series are generated from very low frequency data. These data generally exhibit multiple seasonalities. For example, hourly data may exhibit repeated patterns every hour (every 24 observations) or every day (every 24 * 7, hours per day, observations). This is the case for electricity load. Electricity load may vary hourly, e.g., during the evenings electricity consumption may be expected to increase. But also, the electricity load varies by week. Perhaps on weekends there is an increase in electrical activity.
In this example we will show how to model the two seasonalities of the time series to generate accurate forecasts in a short time. We will use hourly PJM electricity load data. The original data can be found here.
Libraries
In this example we will use the following libraries:
StatsForecast
. Lightning ⚡️ fast forecasting with statistical and econometric models. Includes the MSTL model for multiple seasonalities.Prophet
. Benchmark model developed by Facebook.NeuralProphet
. Deep Learning version ofProphet
. Used as benchark.
Forecast using Multiple Seasonalities
Electricity Load Data
According to the dataset’s page,
PJM Interconnection LLC (PJM) is a regional transmission organization (RTO) in the United States. It is part of the Eastern Interconnection grid operating an electric transmission system serving all or parts of Delaware, Illinois, Indiana, Kentucky, Maryland, Michigan, New Jersey, North Carolina, Ohio, Pennsylvania, Tennessee, Virginia, West Virginia, and the District of Columbia. The hourly power consumption data comes from PJM’s website and are in megawatts (MW).
Let’s take a look to the data.
unique_id | ds | y | |
---|---|---|---|
32891 | PJM_Load_hourly | 2001-12-31 20:00:00 | 36392.0 |
32892 | PJM_Load_hourly | 2001-12-31 21:00:00 | 35082.0 |
32893 | PJM_Load_hourly | 2001-12-31 22:00:00 | 33890.0 |
32894 | PJM_Load_hourly | 2001-12-31 23:00:00 | 32590.0 |
32895 | PJM_Load_hourly | 2002-01-01 00:00:00 | 31569.0 |
We clearly observe that the time series exhibits seasonal patterns.
Moreover, the time series contains 32,896
observations, so it is
necessary to use very computationally efficient methods to display them
in production.
MSTL model
The
MSTL
(Multiple Seasonal-Trend decomposition using LOESS) model, originally
developed by Kasun Bandara, Rob J Hyndman and Christoph
Bergmeir, decomposes the time series
in multiple seasonalities using a Local Polynomial Regression (LOESS).
Then it forecasts the trend using a custom non-seasonal model and each
seasonality using a
SeasonalNaive
model.
StatsForecast
contains a fast implementation of the
MSTL
model. Also, the decomposition of the time series can be calculated.
First we must define the model parameters. As mentioned before, the
electricity load presents seasonalities every 24 hours (Hourly) and
every 24 * 7 (Daily) hours. Therefore, we will use [24, 24 * 7]
as
the seasonalities that the MSTL model receives. We must also specify the
manner in which the trend will be forecasted. In this case we will use
the
AutoARIMA
model.
Once the model is instantiated, we have to instantiate the
StatsForecast
class to create forecasts.
Fit the model
Afer that, we just have to use the fit
method to fit each model to
each time series.
Decompose the time series in multiple seasonalities
Once the model is fitted, we can access the decomposition using the
fitted_
attribute of
StatsForecast
.
This attribute stores all relevant information of the fitted models for
each of the time series.
In this case we are fitting a single model for a single time series, so
by accessing the fitted_ location [0, 0] we will find the relevant
information of our model. The
MSTL
class generates a model_
attribute that contains the way the series
was decomposed.
data | trend | seasonal24 | seasonal168 | remainder | |
---|---|---|---|---|---|
0 | 22259.0 | 25899.808157 | -4720.213546 | 581.308595 | 498.096794 |
1 | 21244.0 | 25900.349395 | -5433.168901 | 571.780657 | 205.038849 |
2 | 20651.0 | 25900.875973 | -5829.135728 | 557.142643 | 22.117112 |
3 | 20421.0 | 25901.387631 | -5704.092794 | 597.696957 | -373.991794 |
4 | 20713.0 | 25901.884103 | -5023.324375 | 922.564854 | -1088.124582 |
… | … | … | … | … | … |
32891 | 36392.0 | 33329.031577 | 4254.112720 | 917.258336 | -2108.402633 |
32892 | 35082.0 | 33355.083576 | 3625.077164 | 721.689136 | -2619.849876 |
32893 | 33890.0 | 33381.108409 | 2571.794472 | 549.661529 | -2612.564409 |
32894 | 32590.0 | 33407.105839 | 796.356548 | 361.956280 | -1975.418667 |
32895 | 31569.0 | 33433.075723 | -1260.860917 | 279.777069 | -882.991876 |
Let’s look graphically at the different components of the time series.
We observe that there is a clear trend towards the high (orange line).
This component would be predicted with the
AutoARIMA
model. We can also observe that every 24 hours and every 24 * 7
hours
there is a very well defined pattern. These two components will be
forecast separately using a
SeasonalNaive
model.
Produce forecasts
To generate forecasts we only have to use the predict
method
specifying the forecast horizon (h
). In addition, to calculate
prediction intervals associated to the forecasts, we can include the
parameter level
that receives a list of levels of the prediction
intervals we want to build. In this case we will only calculate the 90%
forecast interval (level=[90]
).
unique_id | ds | MSTL | MSTL-lo-90 | MSTL-hi-90 | |
---|---|---|---|---|---|
0 | PJM_Load_hourly | 2002-01-01 01:00:00 | 30215.608163 | 29842.185622 | 30589.030705 |
1 | PJM_Load_hourly | 2002-01-01 02:00:00 | 29447.209028 | 28787.123369 | 30107.294687 |
2 | PJM_Load_hourly | 2002-01-01 03:00:00 | 29132.787603 | 28221.354454 | 30044.220751 |
3 | PJM_Load_hourly | 2002-01-01 04:00:00 | 29126.254591 | 27992.821420 | 30259.687762 |
4 | PJM_Load_hourly | 2002-01-01 05:00:00 | 29604.608674 | 28273.428663 | 30935.788686 |
Let’s look at our forecasts graphically.
In the next section we will plot different models so it is convenient to reuse the previous code with the following function.
Performance of the MSTL model
Split Train/Test sets
To validate the accuracy of the
MSTL
model, we will show its performance on unseen data. We will use a
classical time series technique that consists of dividing the data into
a training set and a test set. We will leave the last 24 observations
(the last day) as the test set. So the model will train on 32,872
observations.
MSTL model
In addition to the
MSTL
model, we will include the
SeasonalNaive
model as a benchmark to validate the added value of the
MSTL
model. Including
StatsForecast
models is as simple as adding them to the list of models to be fitted.
To measure the fitting time we will use the time
module.
To retrieve the forecasts of the test set we only have to do fit and predict as before.
unique_id | ds | MSTL | MSTL-lo-90 | MSTL-hi-90 | SeasonalNaive | SeasonalNaive-lo-90 | SeasonalNaive-hi-90 | |
---|---|---|---|---|---|---|---|---|
0 | PJM_Load_hourly | 2001-12-31 01:00:00 | 29158.872180 | 28785.567875 | 29532.176486 | 28326.0 | 23468.555872 | 33183.444128 |
1 | PJM_Load_hourly | 2001-12-31 02:00:00 | 28233.452263 | 27573.789089 | 28893.115438 | 27362.0 | 22504.555872 | 32219.444128 |
2 | PJM_Load_hourly | 2001-12-31 03:00:00 | 27915.251368 | 27004.459000 | 28826.043736 | 27108.0 | 22250.555872 | 31965.444128 |
3 | PJM_Load_hourly | 2001-12-31 04:00:00 | 27969.396560 | 26836.674164 | 29102.118956 | 26865.0 | 22007.555872 | 31722.444128 |
4 | PJM_Load_hourly | 2001-12-31 05:00:00 | 28469.805588 | 27139.306401 | 29800.304775 | 26808.0 | 21950.555872 | 31665.444128 |
Then we were able to generate forecasts for the next 24 hours. Now let’s look at the graphical comparison of the forecasts with the actual values.
Let’s look at those produced only by
MSTL
.
We note that
MSTL
produces very accurate forecasts that follow the behavior of the time
series. Now let us calculate numerically the accuracy of the model. We
will use the following metrics: MAE
, MAPE
, MASE
, RMSE
, SMAPE
.
metric | mase | mae | mape | rmse | smape |
---|---|---|---|---|---|
MSTL | 0.587265 | 1219.321795 | 0.036052 | 1460.223279 | 0.017577 |
SeasonalNaive | 0.894653 | 1857.541667 | 0.056482 | 2201.384101 | 0.029343 |
We observe that
MSTL
has an improvement of about 35% over the
SeasonalNaive
method in the test set measured in MASE
.
Comparison with Prophet
One of the most widely used models for time series forecasting is
Prophet
. This model is known for its ability to model different
seasonalities (weekly, daily yearly). We will use this model as a
benchmark to see if the
MSTL
adds value for this time series.
unique_id | ds | Prophet | Prophet-lo-90 | Prophet-hi-90 | |
---|---|---|---|---|---|
0 | PJM_Load_hourly | 2001-12-31 01:00:00 | 25294.246960 | 20299.105766 | 30100.467618 |
1 | PJM_Load_hourly | 2001-12-31 02:00:00 | 24000.725423 | 19285.395144 | 28777.495372 |
2 | PJM_Load_hourly | 2001-12-31 03:00:00 | 23324.771966 | 18536.736306 | 28057.063589 |
3 | PJM_Load_hourly | 2001-12-31 04:00:00 | 23332.519871 | 18591.879190 | 28720.461289 |
4 | PJM_Load_hourly | 2001-12-31 05:00:00 | 24107.126827 | 18934.471254 | 29116.352931 |
model | time (mins) | |
---|---|---|
0 | MSTL | 0.455999 |
1 | Prophet | 0.408726 |
We observe that the time required for Prophet
to perform the fit and
predict pipeline is greater than
MSTL
.
Let’s look at the forecasts produced by Prophet
.
We note that Prophet
is able to capture the overall behavior of the
time series. However, in some cases it produces forecasts well below the
actual value. It also does not correctly adjust the valleys.
metric | mase | mae | mape | rmse | smape |
---|---|---|---|---|---|
MSTL | 0.587265 | 1219.321795 | 0.036052 | 1460.223279 | 0.017577 |
SeasonalNaive | 0.894653 | 1857.541667 | 0.056482 | 2201.384101 | 0.029343 |
Prophet | 1.099551 | 2282.966977 | 0.073750 | 2721.817203 | 0.038633 |
In terms of accuracy, Prophet
is not able to produce better forecasts
than the
SeasonalNaive
model, however, the
MSTL
model improves Prophet
’s forecasts by 45% (MASE
).
Comparison with NeuralProphet
NeuralProphet
is the version of Prophet
using deep learning. This
model is also capable of handling different seasonalities so we will
also use it as a benchmark.
unique_id | ds | NeuralProphet | NeuralProphet-lo-90 | NeuralProphet-hi-90 | |
---|---|---|---|---|---|
0 | PJM_Load_hourly | 2001-12-31 01:00:00 | 25292.386719 | 22520.238281 | 27889.425781 |
1 | PJM_Load_hourly | 2001-12-31 02:00:00 | 24378.796875 | 21640.460938 | 27056.906250 |
2 | PJM_Load_hourly | 2001-12-31 03:00:00 | 23852.919922 | 20978.291016 | 26583.130859 |
3 | PJM_Load_hourly | 2001-12-31 04:00:00 | 23540.554688 | 20700.035156 | 26247.121094 |
4 | PJM_Load_hourly | 2001-12-31 05:00:00 | 24016.589844 | 21298.316406 | 26748.933594 |
model | time (mins) | |
---|---|---|
0 | MSTL | 0.455999 |
1 | Prophet | 0.408726 |
0 | NeuralProphet | 1.981253 |
We observe that NeuralProphet
requires a longer processing time than
Prophet
and
MSTL
.
The forecasts graph shows that NeuralProphet
generates very similar
results to Prophet
, as expected.
metric | mase | mae | mape | rmse | smape |
---|---|---|---|---|---|
MSTL | 0.587265 | 1219.321795 | 0.036052 | 1460.223279 | 0.017577 |
SeasonalNaive | 0.894653 | 1857.541667 | 0.056482 | 2201.384101 | 0.029343 |
Prophet | 1.099551 | 2282.966977 | 0.073750 | 2721.817203 | 0.038633 |
NeuralProphet | 1.061160 | 2203.255941 | 0.071060 | 2593.708496 | 0.037108 |
With respect to numerical evaluation, NeuralProphet
improves the
results of Prophet
, as expected, however,
MSTL
improves over NeuralProphet
’s foreacasts by 44% (MASE
).
Important
The performance of
NeuralProphet
can be improved using hyperparameter optimization, which can increase the fitting time significantly. In this example we show its performance with the default version.
Conclusion
In this post we introduced
MSTL
,
a model originally developed by Kasun Bandara, Rob Hyndman and
Christoph Bergmeir capable of
handling time series with multiple seasonalities. We also showed that
for the PJM electricity load time series offers better performance in
time and accuracy than the Prophet
and NeuralProphet
models.