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Forecasting, Volume 3, Issue 3 (September 2021) – 13 articles

Cover Story (view full-size image): As energy resources become more decentralised and energy markets potentially become more localised, there is a need for more data driven and probabilistic electricity price forecasting approaches to handle the increased volatility and uncertainty. Despite this need, there are only limited studies of such approaches for the wholesale market of Great Britain (GB). This research considers several methods applied to the GB market, including the novel X-model that forecasts the entire supply and demand curves and was recently applied to both the German and Austrian markets. We also consider the forecasting of price spikes as part of the case study. Not only do the methods show promise at accurately representing the price uncertainties in the day-ahead market, but they also highlight time periods which are sensitive to price spikes. View this paper
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Article
Comparing Prophet and Deep Learning to ARIMA in Forecasting Wholesale Food Prices
Forecasting 2021, 3(3), 644-662; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030040 - 15 Sep 2021
Viewed by 797
Abstract
Setting sale prices correctly is of great importance for firms, and the study and forecast of prices time series is therefore a relevant topic not only from a data science perspective but also from an economic and applicative one. In this paper, we [...] Read more.
Setting sale prices correctly is of great importance for firms, and the study and forecast of prices time series is therefore a relevant topic not only from a data science perspective but also from an economic and applicative one. In this paper, we examine different techniques to forecast sale prices applied by an Italian food wholesaler, as a step towards the automation of pricing tasks usually taken care by human workforce. We consider ARIMA models and compare them to Prophet, a scalable forecasting tool by Facebook based on a generalized additive model, and to deep learning models exploiting Long Short-Term Memory (LSTM) and Convolutional Neural Networks (CNNs). ARIMA models are frequently used in econometric analyses, providing a good benchmark for the problem under study. Our results indicate that ARIMA models and LSTM neural networks perform similarly for the forecasting task under consideration, while the combination of CNNs and LSTMs attains the best overall accuracy, but requires more time to be tuned. On the contrary, Prophet is quick and easy to use, but considerably less accurate. Full article
(This article belongs to the Special Issue Sales Forecasting in the Big Data Era)
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Perspective
A Brief Taxonomy of Hybrid Intelligence
Forecasting 2021, 3(3), 633-643; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030039 - 01 Sep 2021
Viewed by 362
Abstract
As artificial intelligence becomes ubiquitous in our lives, so do the opportunities to combine machine and human intelligence to obtain more accurate and more resilient prediction models across a wide range of domains. Hybrid intelligence can be designed in many ways, depending on [...] Read more.
As artificial intelligence becomes ubiquitous in our lives, so do the opportunities to combine machine and human intelligence to obtain more accurate and more resilient prediction models across a wide range of domains. Hybrid intelligence can be designed in many ways, depending on the role of the human and the algorithm in the hybrid system. This paper offers a brief taxonomy of hybrid intelligence, which describes possible relationships between human and machine intelligence for robust forecasting. In this taxonomy, biological intelligence represents one axis of variation, going from individual intelligence (one individual in isolation) to collective intelligence (several connected individuals). The second axis of variation represents increasingly sophisticated algorithms that can take into account more aspects of the forecasting system, from information to task to human problem-solvers. The novelty of the paper lies in the interpretation of recent studies in hybrid intelligence as precursors of a set of algorithms that are expected to be more prominent in the future. These algorithms promise to increase hybrid system’s resilience across a wide range of human errors and biases thanks to greater human-machine understanding. This work ends with a short overview for future research in this field. Full article
(This article belongs to the Special Issue Improved Forecasting through Artificial Intelligence)
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Article
Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain
Forecasting 2021, 3(3), 596-632; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030038 - 28 Aug 2021
Viewed by 438
Abstract
The energy sector is moving towards a low-carbon, decentralised, and smarter network. The increased uptake of distributed renewable energy and cheaper storage devices provide opportunities for new local energy markets. These local energy markets will require probabilistic price forecasting models to better describe [...] Read more.
The energy sector is moving towards a low-carbon, decentralised, and smarter network. The increased uptake of distributed renewable energy and cheaper storage devices provide opportunities for new local energy markets. These local energy markets will require probabilistic price forecasting models to better describe the future price uncertainty. This article considers the application of probabilistic electricity price forecasting models to the wholesale market of Great Britain (GB) and compares them to better understand their capabilities and limits. One of the models that this paper considers is a recent novel X-model that predicts the full supply and demand curves from the bid-stack. The advantage of this model is that it better captures price spikes in the data. In this paper, we provide an adjustment to the model to handle data from GB. In addition to this, we then consider and compare two time-series approaches and a simple benchmark. We compare both point forecasts and probabilistic forecasts on real wholesale price data from GB and consider both point and probabilistic measures. Full article
(This article belongs to the Special Issue Forecasting Prices in Power Markets)
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Article
Modeling and Forecasting Daily Hotel Demand: A Comparison Based on SARIMAX, Neural Networks, and GARCH Models
Forecasting 2021, 3(3), 580-595; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030037 - 26 Aug 2021
Viewed by 419
Abstract
Overnight forecasting is a crucial challenge for revenue managers because of the uncertainty associated between demand and supply. However, there is limited research that focuses on predicting daily hotel demand. Hence, this paper evaluates various models’ of traditional time series forecasting performances for [...] Read more.
Overnight forecasting is a crucial challenge for revenue managers because of the uncertainty associated between demand and supply. However, there is limited research that focuses on predicting daily hotel demand. Hence, this paper evaluates various models’ of traditional time series forecasting performances for daily demand at multiple horizons. The models include the seasonal naïve, Holt–Winters (HW) triple exponential smoothing, an autoregressive integrated moving average (ARIMA), a seasonal autoregressive integrated moving average (SARIMAX) with exogenous variables, multilayer perceptron (MLP) artificial neural networks model (ANNs), an sGARCH, and GJR-GARCH models. The dataset of this study contains daily demand observations from a hotel in a US metropolitan city from 2015 to 2019 and a set of exogenous social and environmental features such as temperature, holidays, and hotel competitive set ranking. Experimental results indicated that under the MAPE accuracy measure: (i) the SARIMAX model with external regressors outperformed the ANN-MLP model with similar external regressors and the other models, in every one horizon except one out of seven forecast horizons; (ii) the sGARCH(4, 2) and GJR-GARCH(4, 2) shows a superior predictive accuracy at all horizons. The results performance is evaluated by conducting pairwise comparisons between the different model’s distribution of forecasts using Diebold–Mariano and Harvey–Leybourne–Newbold tests. The results are significant for revenue managers because they provide valuable insights into the exogenous variables that impact accurate daily demand forecasting. Full article
(This article belongs to the Section Forecasting in Economics and Management)
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Technical Note
Loop Current SSH Forecasting: A New Domain Partitioning Approach for a Machine Learning Model
Forecasting 2021, 3(3), 570-579; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030036 - 16 Aug 2021
Viewed by 446
Abstract
A divide-and-conquer (DAC) machine learning approach was first proposed by Wang et al. to forecast the sea surface height (SSH) of the Loop Current System (LCS) in the Gulf of Mexico. In this DAC approach, the forecast domain was divided into non-overlapping partitions, [...] Read more.
A divide-and-conquer (DAC) machine learning approach was first proposed by Wang et al. to forecast the sea surface height (SSH) of the Loop Current System (LCS) in the Gulf of Mexico. In this DAC approach, the forecast domain was divided into non-overlapping partitions, each of which had their own prediction model. The full domain SSH prediction was recovered by interpolating the SSH across each partition boundaries. Although the original DAC model was able to predict the LCS evolution and eddy shedding more than two months and three months in advance, respectively, growing errors at the partition boundaries negatively affected the model forecasting skills. In the study herein, a new partitioning method, which consists of overlapping partitions is presented. The region of interest is divided into 50%-overlapping partitions. At each prediction step, the SSH value at each point is computed from overlapping partitions, which significantly reduces the occurrence of unrealistic SSH features at partition boundaries. This new approach led to a significant improvement of the overall model performance both in terms of features prediction such as the location of the LC eddy SSH contours but also in terms of event prediction, such as the LC ring separation. We observed an approximate 12% decrease in error over a 10-week prediction, and also show that this method can approximate the location and shedding of eddy Cameron better than the original DAC method. Full article
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Article
Gutenberg–Richter B-Value Time Series Forecasting: A Weighted Likelihood Approach
Forecasting 2021, 3(3), 561-569; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030035 - 06 Aug 2021
Viewed by 455
Abstract
We introduce a novel approach to estimate the temporal variation of the b-value parameter of the Gutenberg–Richter law, based on the weighted likelihood approach. This methodology allows estimating the b-value based on the full history of the available data, within a data-driven setting. [...] Read more.
We introduce a novel approach to estimate the temporal variation of the b-value parameter of the Gutenberg–Richter law, based on the weighted likelihood approach. This methodology allows estimating the b-value based on the full history of the available data, within a data-driven setting. We test this methodology against the classical “rolling window” approach using a high-definition Italian seismic catalogue as well as a global catalogue of high magnitudes. The weighted likelihood approach outperforms competing methods, and measures the optimal amount of past information relevant to the estimation. Full article
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Article
Influence of the Characteristics of Weather Information in a Thunderstorm-Related Power Outage Prediction System
Forecasting 2021, 3(3), 541-560; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030034 - 05 Aug 2021
Viewed by 482
Abstract
Thunderstorms are one of the most damaging weather phenomena in the United States, but they are also one of the least predictable. This unpredictable nature can make it especially challenging for emergency responders, infrastructure managers, and power utilities to be able to prepare [...] Read more.
Thunderstorms are one of the most damaging weather phenomena in the United States, but they are also one of the least predictable. This unpredictable nature can make it especially challenging for emergency responders, infrastructure managers, and power utilities to be able to prepare and react to these types of events when they occur. Predictive analytical methods could be used to help power utilities adapt to these types of storms, but there are uncertainties inherent in the predictability of convective storms that pose a challenge to the accurate prediction of storm-related outages. Describing the strength and localized effects of thunderstorms remains a major technical challenge for meteorologists and weather modelers, and any predictive system for storm impacts will be limited by the quality of the data used to create it. We investigate how the quality of thunderstorm simulations affects power outage models by conducting a comparative analysis, using two different numerical weather prediction systems with different levels of data assimilation. We find that limitations in the weather simulations propagate into the outage model in specific and quantifiable ways, which has implications on how convective storms should be represented to these types of data-driven impact models in the future. Full article
(This article belongs to the Special Issue Feature Papers of Forecasting 2021)
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Article
Attention-Based CNN-RNN Arabic Text Recognition from Natural Scene Images
Forecasting 2021, 3(3), 520-540; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030033 - 20 Jul 2021
Viewed by 612
Abstract
According to statistics, there are 422 million speakers of the Arabic language. Islam is the second-largest religion in the world, and its followers constitute approximately 25% of the world’s population. Since the Holy Quran is in Arabic, nearly all Muslims understand the Arabic [...] Read more.
According to statistics, there are 422 million speakers of the Arabic language. Islam is the second-largest religion in the world, and its followers constitute approximately 25% of the world’s population. Since the Holy Quran is in Arabic, nearly all Muslims understand the Arabic language per some analytical information. Many countries have Arabic as their native and official language as well. In recent years, the number of internet users speaking the Arabic language has been increased, but there is very little work on it due to some complications. It is challenging to build a robust recognition system (RS) for cursive nature languages such as Arabic. These challenges become more complex if there are variations in text size, fonts, colors, orientation, lighting conditions, noise within a dataset, etc. To deal with them, deep learning models show noticeable results on data modeling and can handle large datasets. Convolutional neural networks (CNNs) and recurrent neural networks (RNNs) can select good features and follow the sequential data learning technique. These two neural networks offer impressive results in many research areas such as text recognition, voice recognition, several tasks of Natural Language Processing (NLP), and others. This paper presents a CNN-RNN model with an attention mechanism for Arabic image text recognition. The model takes an input image and generates feature sequences through a CNN. These sequences are transferred to a bidirectional RNN to obtain feature sequences in order. The bidirectional RNN can miss some preprocessing of text segmentation. Therefore, a bidirectional RNN with an attention mechanism is used to generate output, enabling the model to select relevant information from the feature sequences. An attention mechanism implements end-to-end training through a standard backpropagation algorithm. Full article
(This article belongs to the Special Issue Forecasting with Machine Learning Techniques)
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Editorial
Advances in Hydrological Forecasting
Forecasting 2021, 3(3), 517-519; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030032 - 08 Jul 2021
Viewed by 525
Abstract
Hydrological forecasting is of primary importance to better inform decision-making on flood management, drought mitigation, water system operations, water resources planning, and hydropower generation, among others [...] Full article
(This article belongs to the Special Issue Advances in Hydrological Forecasting)
Article
The Effect of Lead-Time Weather Forecast Uncertainty on Outage Prediction Modeling
Forecasting 2021, 3(3), 501-516; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030031 - 05 Jul 2021
Viewed by 684
Abstract
Weather-related power outages affect millions of utility customers every year. Predicting storm outages with lead times of up to five days could help utilities to allocate crews and resources and devise cost-effective restoration plans that meet the strict time and efficiency requirements imposed [...] Read more.
Weather-related power outages affect millions of utility customers every year. Predicting storm outages with lead times of up to five days could help utilities to allocate crews and resources and devise cost-effective restoration plans that meet the strict time and efficiency requirements imposed by regulatory authorities. In this study, we construct a numerical experiment to evaluate how weather parameter uncertainty, based on weather forecasts with one to five days of lead time, propagates into outage prediction error. We apply a machine-learning-based outage prediction model on storm-caused outage events that occurred between 2016 and 2019 in the northeastern United States. The model predictions, fed by weather analysis and other environmental parameters including land cover, tree canopy, vegetation characteristics, and utility infrastructure variables exhibited a mean absolute percentage error of 38%, Nash–Sutcliffe efficiency of 0.54, and normalized centered root mean square error of 68%. Our numerical experiment demonstrated that uncertainties of precipitation and wind-gust variables play a significant role in the outage prediction uncertainty while sustained wind and temperature parameters play a less important role. We showed that, while the overall weather forecast uncertainty increases gradually with lead time, the corresponding outage prediction uncertainty exhibited a lower dependence on lead times up to 3 days and a stepwise increase in the four- and five-day lead times. Full article
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Editorial
Editorial for Special Issue “New Frontiers in Forecasting the Business Cycle and Financial Markets”
Forecasting 2021, 3(3), 498-500; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030030 - 05 Jul 2021
Viewed by 706
Abstract
The global financial crisis of 2007–2009 and the COVID-19 pandemic have heightened uncertainty in financial markets and the business cycle [...] Full article
(This article belongs to the Special Issue New Frontiers in Forecasting the Business Cycle and Financial Markets)
Review
The Wisdom of the Data: Getting the Most Out of Univariate Time Series Forecasting
Forecasting 2021, 3(3), 478-497; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030029 - 23 Jun 2021
Viewed by 10412
Abstract
Forecasting is a challenging task that typically requires making assumptions about the observed data but also the future conditions. Inevitably, any forecasting process will result in some degree of inaccuracy. The forecasting performance will further deteriorate as the uncertainty increases. In this article, [...] Read more.
Forecasting is a challenging task that typically requires making assumptions about the observed data but also the future conditions. Inevitably, any forecasting process will result in some degree of inaccuracy. The forecasting performance will further deteriorate as the uncertainty increases. In this article, we focus on univariate time series forecasting and we review five approaches that one can use to enhance the performance of standard extrapolation methods. Much has been written about the “wisdom of the crowds” and how collective opinions will outperform individual ones. We present the concept of the “wisdom of the data” and how data manipulation can result in information extraction which, in turn, translates to improved forecast accuracy by aggregating (combining) forecasts computed on different perspectives of the same data. We describe and discuss approaches that are based on the manipulation of local curvatures (theta method), temporal aggregation, bootstrapping, sub-seasonal and incomplete time series. We compare these approaches with regards to how they extract information from the data, their computational cost, and their performance. Full article
(This article belongs to the Special Issue Feature Papers of Forecasting 2021)
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Article
Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine
Forecasting 2021, 3(3), 460-477; https://0-doi-org.brum.beds.ac.uk/10.3390/forecast3030028 - 22 Jun 2021
Viewed by 569
Abstract
Day-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators. Despite the fact that much research on price forecasting has been published in [...] Read more.
Day-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators. Despite the fact that much research on price forecasting has been published in recent years, it remains a difficult task because of the challenging nature of electricity prices that includes seasonality, sharp fluctuations in price, and high volatility. This study presents a three-stage short-term electricity price forecasting model by employing ensemble empirical mode decomposition (EEMD) and extreme learning machine (ELM). In the proposed model, the EEMD is employed to decompose the actual price signals to overcome the non-linear and non-stationary components in the electricity price data. Then, a day-ahead forecasting is performed using the ELM model. We conduct several experiments on real-time data obtained from three different states of the electricity market in Australia, i.e., Queensland, New South Wales, and Victoria. We also implement various deep learning approaches as benchmark methods, i.e., recurrent neural network, multi-layer perception, support vector machine, and ELM. In order to affirm the performance of our proposed and benchmark approaches, this study performs several performance evaluation metric, including the Diebold–Mariano (DM) test. The results from the experiments show the productiveness of our developed model (in terms of higher accuracy) over its counterparts. Full article
(This article belongs to the Special Issue Emerging Topics in Data-Driven Forecasting Applications)
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