Interpretable Net Load Forecasting Using Smooth Multiperiodic Features

Abstract

We consider the problem of forecasting net load over a horizon such as one day, using a trailing window of past net load values as well as date and time. We focus on three variations on this problem: point forecasts, marginal quantile forecasts, and generating conditional samples of the future value. We propose a method that relies on linear regression using some custom engineered time-based features to capture multiple periodicities, such as daily, weekly, and seasonal, and their interactions. Our proposed models are readily interpretable, and rely on efficient and reliable convex optimization [1] to fit. We illustrate our method on four years worth of hourly net load data, comparing predictions made with various subsets of the features.