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

Published 12 Apr 2021 in cs.LG, cs.AI, and stat.ML | (2104.05522v6)

Abstract: 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 it to integrate multiple sources of useful information. To showcase the utility of the NBEATSx model, we conduct a comprehensive study of its application to electricity price forecasting (EPF) tasks across a broad range of years and markets. We observe state-of-the-art performance, significantly improving the forecast accuracy by nearly 20% over the original NBEATS model, and by up to 5% over other well established statistical and machine learning methods specialized for these tasks. Additionally, the proposed neural network has an interpretable configuration that can structurally decompose time series, visualizing the relative impact of trend and seasonal components and revealing the modeled processes' interactions with exogenous factors. To assist related work we made the code available in https://github.com/cchallu/nbeatsx.

Citations (98)

Summary

  • The paper presents a novel approach that integrates neural basis expansion analysis with exogenous variables for accurate electricity price forecasting.
  • It applies deep learning techniques to time series data, demonstrating improvements over traditional forecasting methods.
  • The study’s findings highlight the model’s practical potential in energy markets and pave the way for future forecasting research.

Overview of [Paper Title]

This paper, authored by researchers from two distinct institutions, is a contribution to the journal "Nuclear Physics B." The primary aim of the study remains cryptic due to the placeholder text, but it is clear that the authors intend to make substantive contributions to an area of study related to nuclear physics.

Summary and Key Contributions

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Highlights suggest multiple focal points within the research. These are labeled as "Research highlight 1" and "Research highlight 2," indicating several significant aspects or findings that the authors consider noteworthy. Further investigation into these highlights, if accessible, would provide a better understanding of the study's impact and relevance.

Research Methods and Theoretical Implications

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Conclusion

Despite the absence of specific data and findings due to the placeholder content, this paper's structure implies a traditional and well-organized approach to scholarly communication. As part of "Nuclear Physics B," the paper likely contributes to the ongoing dialogue in nuclear physics research, providing insights that may influence both theoretical understanding and practical application within the scientific community. Researchers in the field would benefit from examining the full text for detailed methodologies, results, and their broader implications.

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GitHub

  1. GitHub - cchallu/nbeatsx (209 stars)