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Ricardo Bessa INESC TEC, Portugal Feature Engineering to Improve Time Series Forecasting EES-UETP: Advanced Data Analytics for Energy Systems September 3-5, 2018 Porto, Portugal

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Page 1: Feature Engineering to Improve Time Series Forecasting › uploads › 1 › 3 › 4 › 0 › 13407469 › feature... · Feature Engineering to Improve Time Series Forecasting EES-UETP:

Ricardo BessaINESC TEC, Portugal

Feature Engineering to Improve Time Series Forecasting

EES-UETP: Advanced Data Analytics for Energy Systems

September 3-5, 2018Porto, Portugal

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Course Module Outline

1 Feature Engineering Concept

2 Manual and Automated Feature Engineering

3 Case Study: Solar and Wind Power Forecasting

4 Case Study: Electricity Price Forecasting

5 Other Use Cases and Concluding Remarks

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Feature Engineering Concept

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Feature Engineering

Motivation

Improve forecasting skill by extracting

additional information from raw data

(case studies ahead…)

Explain data and uncover relevant

information from unsupervised learning

(one example in this tutorial…)

Process information from

continuous streaming data

internet-of-things

➢ Aggregate information from

multiple sensors

➢ Explore multilevel information

(hierarchical features)

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Feature Engineering

Concept

CRoss Industry Standard Process for

Data MiningCRISP-DM

Feature engineering area of the process

OPTIONS

➢ Manual creation of features with domain knowledge

➢ Automatic extraction of features, e.g. deep learning techniques

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Feature Engineering

Toy Example

Predicting the life time of a specific component within the car or the equipment → forecast horizon is longer-term (days, weeks or months)

Sensors will produce data every second (atomic level)

Data needs to be aggregated over time to understand meaningful trends and changes that will signify an impending failure (aggregated level)

features feeding the statistical learning model

Example later on electricity price forecasting

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Manual and Automated Feature Engineering

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Manual Feature Engineering

Temporal Aggregation

Temporal aggregation of data

Overlapping windowOne may use various definitions of creating the time windows and then naturally these windows will overlap

Fixed time windowAggregation is performed over a specific, uniform time interval, e.g. 15-min

Variable time windowVarious measures can be used to generate variable time windows. In most cases, a specific number of occurrences of events are used to determine the window size

Exponentially expanding or exponentially contracting time windowsAggregate the near-term data across more granular time windows, while data that is further off, may be aggregated across a wider window [exponentially expanding windows]

The opposite is referred to as exponentially contracting window

1

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Manual Feature Engineering

Basic Features

Creation of basic features2

Simple features involving one type of signal▪ Change over time: Cm+1 = (Xm+1 – Xm)/(tm+1 – tm)▪ Rate of change over time: RTm= (Cm+1 – Cm)/(tm+1 – tm)▪ Growth or decay: Gm+1 = (Xm+1 – Xm)/Xm

▪ Rate of growth or decay: RGm= (Gm+1 – Gm)/(tm+1 – tm)▪ Count of values above or below a threshold value▪ Moving average = Average of (Xm-p to Xm)▪ Moving standard deviation = Standard deviation of (Xm-p to Xm)▪ Relative average = Moving average / Global average▪ Relatives standard deviation = Moving standard deviation / Global standard deviation▪ Ratio of changes, growth rate etc. with standard deviation▪ Features involving trend of values across various aggregation windows: change and rate of change in

average, standard deviation etc. across windows

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Manual Feature Engineering

Basic Features

Creation of basic features2

Using multiple time series to create large number of combined features▪ Simple ratio between the two series▪ Ratio of changes, rate of change and growth between the two series▪ Ratio of moving average and moving standard deviation▪ Ratio of relative averages and relative standard deviation▪ Relative first difference: RV1m+1 = (XAm+1 – XAm)/(XBm+1 – XBm)▪ Relative second difference: RV2m+1 = (GAm+1 – GAm)/(GBm+1 – GBm)▪ Count of cases where Growth of both series is positive or negative▪ Count of cases where Growth of both series is in opposite direction▪ Count of cases where the first series is above a threshold and the second below a threshold and vice-a-versa

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Manual Feature Engineering

Advanced Features

Features based on higher order statistics3

▪ Moments (mean, variance, skewness and kurtosis etc.) are calculated within the aggregation window▪ In non-Gaussian time series, cumulants are used rather than the moments for obtaining information

about the nature of the distribution within the window

Features based on series transformation4

Mathematical transformations can be used to decompose the time series into a set of simpler functions. Usually the following transformations are attempted:▪ Fast Fourier Transform▪ Hilbert Huang Transform▪ Wigner Ville Distribution▪ Wavelet Transformation

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Automated Feature Engineering

Available Software

➢ Automatically create features from a set of related tables

➢ Method known as Deep Feature Synthesis (Kanter and Veeramachaneni, 2015)➢ Deep feature synthesis stacks multiple

transformation and aggregation operations (which are called feature primitives **analogues to basic features in previous slides) to create features from data spread across many tables

Source: Kanter, J. M., & Veeramachaneni, K. (2015, October). Deep feature synthesis: Towards automating data science endeavors. In Data Science and Advanced Analytics (DSAA), 2015. 36678 2015. IEEE International Conference on (pp. 1-10). IEEE.

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Automated Feature Engineering

Representation Learning Framework

CLASSICALPrincipal Components Analysis (PCA)(+) simplicity(-) linear (non-linear versions require parameter tuning)

Source: Angermueller, C., Pärnamaa, T., Parts, L., & Stegle, O. (2016). Deep learning for computational biology. Molecular systems biology, 12(7), 878.

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Automated Feature Engineering

Convolutional Extraction

Source: Angermueller, C., Pärnamaa, T., Parts, L., & Stegle, O. (2016). Deep learning for computational biology. Molecular systems biology, 12(7), 878.

Input Image

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Automated Feature Engineering

Stack of Restricted Boltzmann Machines(RBM)

Source: Testolin, A., Stoianov, I., De Filippo De Grazia, M., & Zorzi, M. (2013). Deep unsupervised learning on a desktop PC: a primer for cognitive scientists. Frontiers in psychology, 4, 251..

Source: Hinton, G. E., & Salakhutdinov, R. R. (2006). Reducing the dimensionality of data with neural networks. science, 313(5786), 504-507.

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Case Study: Solar and Wind Power Forecasting

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Case-Study

PV Installation in INESC TEC Building & Sotavento Wind Farm in Spain

Data available upon request

Raw NWP dataset: 2704 variables for the wind power plant and 1014 variables for the PV site

Clear case for feature engineering: how much information can be extracted from this raw data?

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Local NWP Information

PV Forecasting

Clear SkyPartially Cloud Cover OvercastLo

cal N

WP

info

rmat

ion

Tem

po

ral Varian

ce

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Local NWP Information

PV Forecasting

Clear SkyPartially Cloud Cover Overcast

Loca

l NW

P in

form

atio

n

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Grid NWP Information

PV Forecasting

Clear SkyPartially Cloud Cover OvercastSp

atia

l Gri

d N

WP

info

rmat

ion

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List of Created Features

PV Forecasting

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PV Forecasting Framework

Model Chain

NWP for the client location

Grid of NWP

Gradient Boosting Trees

PV Power Forecasts

(point & probabilistic)

Temporal Features+ Point Forecasts Spatial Features

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Forecast Example

PV Forecasting

Probabilistic forecasts• Uncertainty better modeled around the observed values• Some of the abnormal high uncertainty verified for clear-sky days is removed

Point forecasts• Some of the over/underestimation situations are resolved• Improvements on the power peak forecasts for some clear-sky days

Temporal Information Temporal & Spatial Information

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Numerical Results

PV Forecasting

Local Temporal Information

Grid Spatial Information

Combination temporal & spatial

inputs

(best overall model)

24h Forecast Horizon

𝐼𝑚𝑝𝑟𝑜𝑣𝑒𝑚𝑒𝑛𝑡 = 1 −𝑚𝑒𝑡𝑟𝑖𝑐𝑚𝑜𝑑𝑒𝑙

𝑚𝑒𝑡𝑟𝑖𝑐𝑏𝑎𝑠𝑒∙ 100%

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Local NWP Information

Wind Power Forecasting

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Local NWP Information

Wind Power Forecasting

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Spatial NWP Information

Wind Power Forecasting

Power and Spatial NWP Grid Comparison

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List of Created Features

Wind Power Forecasting

Lo

ca

l In

form

ati

on

Do

ma

in K

no

wle

dg

e

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Automated Features from NWP Grid

Wind Power Forecasting

Without considering the spatial relationbetween the variables

extractedfeatures

extractedfeatures

with the spatial relationbetween the variables

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Automated Features from NWP Grid

Wind Power Forecasting

Lo

ca

l In

form

ati

on

Au

to-E

nc

od

ers

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Numerical Results

Wind Power Forecasting

24h Forecast Time Horizon

𝐼𝑚𝑝𝑟𝑜𝑣𝑒𝑚𝑒𝑛𝑡 = 1 −𝑚𝑒𝑡𝑟𝑖𝑐𝑚𝑜𝑑𝑒𝑙

𝑚𝑒𝑡𝑟𝑖𝑐𝑏𝑎𝑠𝑒∙ 100%

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Numerical Results

Wind Power Forecasting

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Forecast Example

Wind Power Forecasting

Base model

Model spatial & temporal data

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The Impact of Feature Engineering

In Contrast to Probabilistic Forecasts Generated with Weather Ensembles

Probabilistic forecast generated with a weather ensemble model

Probabilistic forecast generated with a feature engineering + GBT

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Case Study: Electricity Price Forecasting

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Electricity Price Forecasting

Motivation

Statistical learning methods heavily dependent onthe availability of sufficient historical data withhigh (or low) price regimes

highest prices during thistwo years period

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Feature Engineering Approach

Electricity Price Forecasting

combine additional (in addition to exogenous variables) information with the statistical model

forecast the daily average price including information from daily futures contracts

(proxy forecast of spot price)

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Feature Engineering Approach

Statistical Models

Linear Median Regression

➢ Day of the week, month of the year➢ Past daily average prices➢ Daily futures contracts➢ D-1 generation: coal, wind and PV

Forecast Daily Average Price

Gradient Boosting Trees

➢ Day of the week, hour of the day, month of the year➢ Past daily average prices➢ D-1 generation: coal, hydro w/reservoir➢ Forecasts: load, wind power penetration, PV, solar thermal

Forecast Day-ahead Price

The analysis of cross-effects between variables needs to be analyzed within the model (model-specific)

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Feature Engineering Approach

The Impact of the Average Price Feature in the Forecasting Skill

without rescaling

with rescaling

➢ Low price regime

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Feature Engineering Approach

The Impact of the Average Price Feature in the Forecasting Skill

without rescaling

with rescaling

➢ High price regime

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Day-ahead Price Forecasting

Results

without rescaling with rescaling

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Features for Intraday Price Forecasting

Data Analysis

All intraday sessions are strongly influenced by the day-ahead prices

Each intraday session is highly correlated with the previous one

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Features for Intraday Price Forecasting

Model

Linear Quantile Regression

i-th intraday session

𝑆𝑖 𝜏 = ൞

𝑐 + 𝛽7 × 𝑃𝐷𝐴, 𝑖𝑓 𝑖 = 1

𝑐 + 𝛽7 × 𝑃𝐷𝐴 +𝑗=1

𝑖−1

𝛽8+𝑗−1 × 𝐼𝐷 𝑗 , 𝑖𝑓 𝑖 > 1

where c comprises calendar variables

𝑐 = 𝛽0 + 𝛽1 × 𝐶𝐻,𝑐𝑜𝑠 + 𝛽2 × 𝐶𝐻,𝑠𝑖𝑛+ 𝛽3 × 𝐶𝑊𝑑,𝑐𝑜𝑠+ 𝛽4 × 𝐶𝑊𝑑,𝑠𝑖𝑛+ 𝛽5 × 𝐶𝑀,𝑐𝑜𝑠 + 𝛽6 × 𝐶𝑀,𝑠𝑖𝑛

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Intraday Price Forecasting

Results

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Deep Learning for Electricity Markets

Curve Forecasting

CONCEPT

GOALForecast the 24 residual demand curves from the day-ahead market

Demand

Supply Residual demand

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Type of Features

Curve Forecasting

Long Short Term Memory networks

1-Dimensional input vector

-0.49446

-0.407376

-0.407376

0.39716

0.420512

0.731689

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Type of Features

Curve Forecasting

Long Short Term Memory networks

2-Dimensional input vector

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Automatic Feature Extraction with LSTM

1-D and 2-D Approaches

1-D 2-D

Exogenous variables(solar, load, windforecast, wind andsolar penetration).

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Illustrative Results (1-D)

Iberian Electricity Market

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Illustrative Results (2-D)

Iberian Electricity Market

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Other Use Cases and Concluding Remarks

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Distribution Grids

Visualization of Low Voltage Grid Operation

21 22 23

24 25 26 27 28

1

2 3 4

5 6 7 8

9 10 11 12 13 14 15

16 17 18 19 20

29 30 31 32

33

Distributed Stochastic Neighbor Embedding (t-SNE)

2125 belief states

PCA (no information!)

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Classify Events in Transmission Networks

Using Data Collected by Phasor Measurement Units (PMU)

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Generator tripping Load shedding

Line tripping Oscillation

❑ Events collected at several PMUs simultaneously in Brazil (MedFasee project)❑ Frequency data collected at the rate of 1 measurement per 1/60 second

60.4 Hz

59.5 Hz

60 Hz

60.4 Hz

59.5 Hz

60 Hz

60.4 Hz

59.5 Hz

60 Hz

60.4 Hz

59.5 Hz

60 Hz

Page 54: Feature Engineering to Improve Time Series Forecasting › uploads › 1 › 3 › 4 › 0 › 13407469 › feature... · Feature Engineering to Improve Time Series Forecasting EES-UETP:

Classify Events in Transmission Networks

Results

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model error in event recognition

Deeper Feedforward ANN 1,5 %

Deep Belief Networks 8,5 %

Convolutional NN 30x40 0 %

Look: can you see?

Layer 1 Layer 2 Layer 32D image

Page 55: Feature Engineering to Improve Time Series Forecasting › uploads › 1 › 3 › 4 › 0 › 13407469 › feature... · Feature Engineering to Improve Time Series Forecasting EES-UETP:

• Feature engineering can result in significant improvements for renewable energy forecasting

• #personal opinion# more important than the choice of the statistical learning model

• Deep learning (frame representation) and manual feature construction can be combined to extract meaningful information from the raw NWP dataset

• Several business cases exist for feature engineering, including data-driven optimization (e.g. reinforcement learning)

• Additional information is very critical when producing uncertainty forecasts

• Feature engineering can also be used for machine learning model interpretation and big data visualization

Concluding Remarks

Page 56: Feature Engineering to Improve Time Series Forecasting › uploads › 1 › 3 › 4 › 0 › 13407469 › feature... · Feature Engineering to Improve Time Series Forecasting EES-UETP:

J.R. Andrade, R.J. Bessa, “Improving renewable energy forecasting with a grid of numericalweather predictions”, IEEE Transactions on Sustainable Energy, vol. 8, no. 4, pp. 1571-1580,Oct. 2017.

J.R. Andrade, J.M. Filipe, M. Reis, R.J. Bessa, “Probabilistic price forecasting for day-ahead andintraday markets: Beyond the statistical model,” Sustainability, vol. 9, no. 11, pp. 1990, 2017.

R.J. Bessa, C. Möhrlen, V. Fundel, M. Siefert, J. Browell, S. Haglund El Gaidi, Bri-Mathias Hodge,U. Cali, and G. Kariniotakis, “Towards improved understanding of the applicability ofuncertainty forecasts in the electric power industry,” Energies, vol. 10, no. 9, pp. 1402, 2017.

L. Cavalcante, R. J. Bessa, M. Reis, J. Dowell, “LASSO vector autoregression structures for veryshort-term wind power forecasting,” Wind Energy, vol. 20, no. 4, pp. 657-675, April 2017.

V. Miranda, P. Cardoso, R.J. Bessa, “Through the looking glass: seeing events in power systemsdynamics,” working paper, 2018.

M. Pereira, R.J. Bessa, C. Gouveia Moura, “Low voltage grid data visualization with abiologically inspired cognitive architecture,” working paper, 2018.

References

INESC TEC Work