IEEE TRANSACTIONS ON SMART GRID, VOL. 4, NO.

1, MARCH 2013 549

Energy Load Forecasting Using Empirical Mode

Decomposition and Support Vector Regression
Luca Ghelardoni, Student Member, IEEE, Alessandro Ghio, Member, IEEE, and
Davide Anguita, Senior Member, IEEE

Abstract—In this paper we focus our attention on the long-term The energy load is characterized by complex and highly
load forecasting problem, that is the prediction of energy consump- non-linear implicit relationships among several factors, such as
tion for several months ahead (up to one or more years), useful in
order to ease the proper scheduling of operative conditions (such as weather, seasonality, climatic conditions, and past usage energy
the planning of fuel supply). While several effective techniques are utilization trend. Due to the intrinsic difficulties of the load esti-
available in the short-term framework, no reliable methods have mation, many papers exist which face the problem of short-term
been proposed for long-term predictions. For this purpose, we de-
scribe in this work a new procedure, which exploits the Empirical forecasting, that is the (e.g., hourly) prediction of electricity
Mode Decomposition method to disaggregate a time series into two demand for successive time-steps ranging from one hour to few
sets of components, respectively describing the trend and the local days ahead [7]–[11]. In this framework, the techniques based
oscillations of the energy consumption values. These sets are then
used for training Support Vector Regression models. The experi- on Auto-Regressive (AR) models [12], Neural Networks (NN)
mental results, obtained both on a public-domain and on an office [13]–[16], and Support Vector Regression (SVR) [17], [18]
building dataset, allow to validate the effectiveness of the proposed often guarantee a satisfying degree of accuracy. In particular,
method.
the SVR-based approach [19], [20] is attractive due to its adapt-
Index Terms—Empirical mode decomposition, load forecasting, ability and robustness in dealing with non-linear phenomena
support vector regression.
generating the data. Moreover, while NNs often get trapped
in local minima during the training phase, the SVR learning
I. INTRODUCTION problem corresponds to the minimization of a convex cost
function, thus it guarantees that the global minimum is found.
T HE PROBLEM OF load forecasting represents a crucial
issue for operational planners and researchers, thus it has
captured the attention of both academy and power industry in
However, even the SVR partially neglects the underlying
phenomena originating the data (e.g., local characteristics of
the time series, such as peaks at particular hours of the day),
the last years. As a matter of fact, energy suppliers are facing an
especially when highly non-linear and non-stationary series are
ever greater competition, so that factors like quality and conti-
considered. In this framework, preprocessing decomposition
nuity of the offered service, long-term maintenance scheduling,
methods can help the SVR, as they allow to determine char-
and optimization of the dispatched power flow, must be properly
acteristic time/frequency scales for the series and emphasize
taken into account. These claims are validated by the growing
the local trends characterizing the data. In particular, if the
interest in smart grids [1], [2], which exploit a large amount of
exploited decomposition technique satisfies the conditions of
new technologies in power generation, transmission, distribu-
adaptiveness (i.e., the method is data-driven), locality (i.e.,
tion, and utilization [1], [3], [4] as well as advanced computa-
local properties of the oscillatory modes are emphasized) and
tional methods [5] in order to achieve optimization of proper
completeness (i.e., the original signal can be exactly recon-
power management and energy saving.
structed by re-assembling the components), it is possible to
It is straightforward noting that the quality of the load esti-
show how SVR models, trained using the decomposed signals,
mation has a remarkable impact on the economic operation of
result to be more effective than regressors, trained using the
the power distribution system, as many decisions can be based
raw time series [21].
on the predicted values: for example, the energy demand can be
Several decomposition methods have been proposed in the
aprioristically evaluated, thus allowing to relieve possible con-
literature [22]:
flicts with the energy supply (e.g., due to an insufficient fuel pro-
• Fourier Series [23] are widely used in signal processing,
vision). The importance of such accurate forecasts will further
but are most useful when the underlying process is linear
increase in the near future, because of the remarkable changes
and the time series is stationary;
occurring in the structure of power industry (e.g., due to dereg-
• Wavelet analysis [24], despite being attractive because of
ulation) [6].
the locality of the approach and the uniform temporal res-
olution used for all the frequency scales, is non-adaptive
Manuscript received August 26, 2011; revised January 11, 2012, July 27,
and, then, is most useful when characterizing gradual fre-
2012, October 13, 2012; accepted December 09, 2012. Date of publication Feb-
ruary 06, 2013; date of current version February 27, 2013. Paper no. TSG- quency changes in the time series;
00407-2011. • Principal Component Analysis (PCA) [25] is an adap-
The authors are with the DITEN—University of Genoa, Via Opera
tive approach, but unfortunately the distribution of
Pia 11A, I-16145 Genoa, Italy (e-mail: Luca.Ghelardoni@unige.it;
Alessandro.Ghio@unige.it; Davide.Anguita@unige.it). the eigenvalues does not allow to obtain characteristic
Digital Object Identifier 10.1109/TSG.2012.2235089 time/frequency scales.

1949-3053/$31.00 © 2013 IEEE

550
Empirical Mode Decomposition (EMD) [26], [27], instead, is
particularly suitable as a preprocessing method in non-linear
and non-stationary series analysis: a signal is detrended and,
then, decomposed into a small number of Intrinsic Mode Func-
tions (IMFs). While the extracted trend describes the general
behavior of the time series, the IMFs obey to the requirements
of completeness, locality, and adaptiveness, which make EMD
an appealing decomposition method. In fact, the IMFs are mod-
ulated both in amplitude and frequency, in order to capture the
local characteristics of the time-varying signal (e.g., the infor-
mation concerning higher order statistical moments are kept in
the set of components). Due to its properties, EMD has been ef-
fectively used as a preprocessing step for SVR in the short-term
framework [21]: once the trend and the IMFs are extracted, SVR
models are trained on each of these components and used for
predicting values in the near future.
However, the scheduling of many operative conditions of the
energy distribution network requires that a wider time-horizon
is taken into account [28]: for example, load forecasting is im-
portant for contract evaluations and preparation of various so-
phisticated financial products on the energy liberalized market
[29]. Furthermore, the ability of performing accurate medium-
term (i.e., the hourly forecasting of electricity demand for some
days up to few months ahead) and long-term (i.e., the hourly
load forecasting for several months up to one or more years
ahead) predictions is propaedeutic for the success of a utility
company [28], as it allows to timely implement crucial opera-
tional decisions leading to the improvement of network relia-
bility and to the reduced occurrences of equipment failures and
blackouts [30]. For such purposes, the mere estimation of the
daily peak load [31] gives insufficient information to the electric
network manager; at the same time, the long-term forecasting1,
obtained using the conventional short-term techniques [32], is
often unreliable because of the error propagation in the estima-
tion of the load values [33]. Unfortunately, this issue afflicts
the conventional SVR-based and the combined EMD-SVR ap-
proaches too: in fact, high frequency components, which are
not properly captured by SVR [33], are typical of energy load
time series and are preserved in the decomposed IMFs, due
to the properties of locality and adaptiveness of EMD. More-
over, the exploitation of exogenous inputs to improve the fore-
casting, such as economic growth and weather/seasonal het-
erogeneous parameters (e.g., temperature, humidity index, or
wind-chill index [17]), is not an option either [33], as predicting
these factors in the long-term framework is, at least, as com-
plex as the energy load forecasting problem itself. In fact, to the
authors best knowledge, no effective approaches have been pro-
posed so far to target long-term forecasting problems.
In this paper, we present a new technique, which allows to
address the long-term load forecasting problem, by splitting it
into two sub-problems: on one hand, the IMFs, which better de-
scribe the long-term trend of the time series, are selected and
predicted by using a generalization of the EMD-SVR approach
of [21]; on the other hand, the components that describe the local
1Since, for the scopes of our work, medium- and long-term predictions are
characterized by similar difficulties (though the latter one is even more chal-
lenging), they are typically likened: thus, for the sake of simplicity in this paper
we will only distinguish between short- and long-term load forecasting methods.
IEEE TRANSACTIONS ON SMART GRID, VOL. 4, NO. 1, MARCH 2013
properties, intrinsic to electric load patterns, are forecasted by
exploiting the cyclicities and the capacity of EMD to accurately
capture the underlying characteristics of the observed time se-
ries for training the SVR models. The outputs of the two models
are then re-assembled to obtain the load prediction, thanks to the
appealing completeness property of EMD.
The paper is organized as follows: in Section II we briefly
revise the Support Vector Machine for Regression algorithm,
while in Section III we present the Empirical Mode Decompo-
sition; then, in Section IV, we present the combined EMD-SVR
approach of [21], which is particularly suitable for short-term
forecasting applications. Section V presents the proposed
method, targeted towards the long-term prediction framework.
Finally, in Section VI, we present some experimental results
on real-world energy consumption series, which show the
effectiveness of our method.
II. SUPPORT VECTOR MACHINE FOR REGRESSION AND TIME
SERIES PREDICTION
A. Support Vector Regression
Let us consider a set of training data
, where, in general, ,
and . When targeting a regression problem, our objective
is to find the best approximating function which, in prin-
ciple, should not be far from the target function more than
a user-defined , that is .
By applying a map , with , to the patterns
so that, in the new space, the problem can be more efficiently
solved by linear regression, we get the following Support Vector
Regression (SVR) formulation [20] for training a model:
(1)
where is a hyperparameter, which must be properly tuned,
and is the kernel function. In regres-
sion problems, two of the most common kernel functions are the
linear and the Gaussian ones of (2) and (3) [34]:
(2)
(3)
Once the training phase is concluded and a model is iden-
tified, the SVR feed-forward function can be evaluated as fol-
lows:
(4)
where the bias can be derived when Problem (1) is solved [19]
from the Karush-Kuhn-Tucker (KKT) conditions.
GHELARDONI et al.: ENERGY LOAD FORECASTING USING EMPIRICAL MODE DECOMPOSITION AND SUPPORT VECTOR REGRESSION 551

B. Support Vector Regression for Time Series Analysis In the following, one state-of-the-art algorithm to implement
the EMD, namely the technique based on the sifting process, is
Let be a time series, where the continuous presented, which allows to disassemble the original signal into
signal , observed for a time-interval , is sampled at the IMFs components [36].
associated time-steps2 . Two possibilities exist
for using SVR in the time series prediction problem. A. The Sifting Process
The first alternative consists in creating a set ,
based on , where and is The sifting process consists in four main steps:
a user-defined parameter, which corresponds to the number of 1) Identify all the extrema in the original series ;
previous time-steps, considered for the regression problem [35]. 2) Interpolate the local maxima to obtain the upper envelope
can be thus exploited for training an SVR model. During the of the data: for this purpose, cubic splines are used as they
feed-forward phase, when future values of the time series must guarantee trade-off between the interpolating capabilities
be estimated, the outputs of the model for the previous steps of the curve and the computational time, needed to identify
are recursively used as inputs for the successive forecasts. Thus the coefficients of the function;
, during the forecasting phase, will also contain the predicted 3) Repeat the previous step for interpolating the local minima
values : for this reason, we define this procedure as Recur- to obtain the lower envelope;
sive-SVR (R-SVR). 4) Compute the mean of the two envelopes and the
A second alternative for using SVR models in the time series function .
prediction problem consists in exploiting the time-steps as Ideally, satisfies the properties of an IMF and the process
inputs. In this case, an SVR regressor is learnt on a training set is over; in many practical cases, is not an IMF, thus the
, obtained by juxtaposing the two sets and : previous procedure must be reiterated further by using the func-
in other words, an approximation of the function is obtained tion in place of the original one and the following
in the time-interval . During the feed-forward phase, the result is obtained:
outputs of the model are simply obtained using time-steps as
inputs: thus, we define this procedure as Approximating-SVR (5)
(A-SVR).
The R-SVR procedure is most useful when values must be In practice, this procedure is usually reiterated up to times,
predicted outside the time-interval of observation and re- even though at some iterations the IMF properties are satisfied:
sults to be remarkably effective when low frequency compo-
(6)
nents characterize the samples [21]. On the contrary, due to its
scarce extrapolation capabilities, A-SVR is seldom used in time In fact, the main objectives of the sifting process are to eliminate
series problems, though it represents a valuable alternative to riding waves and to improve symmetry with respect to zero: ide-
R-SVR when the time-interval is fixed and high frequency os- ally, the best possible solution is thus obtained for large values of
cillations afflict the data. . Unfortunately, the iteration of the procedure has a side-effect:
the amplitude of the IMF-candidate function is smoothed
III. EMPIRICAL MODE DECOMPOSITION at every iteration. In other words, a proper stopping criterion
must be defined. For this purpose, an index has been proposed
The Empirical Mode Decomposition (EMD) technique [26], in [37]: a preselected number is aprioristically defined and the
[27] consists in decomposing a signal into a sum of func- iterative procedure is stopped after times the result function
tions, such that each of them satisfies two conditions: respects the IMF properties. No rigorous methods have been
1) The number of zero crossings must be equal to or differ proposed for properly selecting the value of ; however, from
from the number of extrema by no more than one; a practical point of view, is usually considered an
2) The mean value of the two envelopes, defined by interpo- effective choice [37].
lating, respectively, the local maxima and minima of , After the stopping criterion is satisfied, results to be
must be equal to zero. the first component of the EMD:
If both these properties hold, the decomposition is complete,
local, and adaptive [26]. Waveforms, satisfying the two previous (7)
conditions, give information concerning the intrinsic oscillation
modes of the data and, thus, are called Intrinsic Mode Functions Further decomposed signals can be obtained by re-sifting the
(IMFs). The IMFs represent oscillatory modes, but are much residue, computed as
more general than harmonic functions. In fact, it is worth noting
that the IMFs are modulated both in amplitude and in frequency (8)
and, consequently, are not restricted to be stationary. A pure
amplitude or frequency modulated signal represents a particular This procedure is repeated to find all the IMFs, i.e., until the
case of IMF. residue is characterized by less than two extrema and then
cannot be further decomposed. It is worth noting that, as candi-
2Note that the time-steps can also contain information concerning special
date functions which include high frequency components
days and holiday events: as these exogenous inputs are deterministic, they must
not be predicted and thus can be safely exploited also in the long-term frame- often require a larger number of steps to converge to IMFs, their
work. amplitude is usually more smoothed.
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From the definition of , the obtained IMFs can be re-as-
sembled in order to obtain the original data
(9)
Note that the IMFs have local mean equal to zero, so the last
residue represents the trend (i.e., the longest period com-
ponent) of the original signal.
IV. THE COMBINED EMD-SVR APPROACH
In this section, we briefly revise the combined EMD-SVR
approach, presented in [21] for the short-term load forecasting
problem. Given a time series of elements, the training phase
of the method consists of few steps:
1) EMD is applied to identify the IMFs, defined as
, for . For the sake of sim-
plicity, let be the residue (i.e., the trend);
2) The number of previous values to be considered for
R-SVR (see Section II-B) is defined by the user (or chosen
via a conventional model selection procedure [38], such as
K-fold Cross Validation [39]);
3) The datasets for the R-SVR training are
created: , where
;
4) R-SVR models are trained on the IMFs
and the trend.
During the feed-forward phase, the prediction is obtained by
re-assembling the values, predicted by the R-SVR
models, analogously to (9).
Due to the appealing properties of EMD, R-SVR models,
trained on the IMFs, are usually effective and allow to obtain
good results in the short-term framework (i.e., some hours up
to few days ahead) [21]. Unfortunately, its generalization to the
long-term analysis is not effective, mainly due to the limited
capabilities of R-SVR in dealing with higher frequency compo-
nents included in the original series and preserved in some of
the IMFs: as a matter of fact, error propagation in the predic-
tion can cause the forecasted load to rapidly diverge from the
real value when the time-horizon is extended to some weeks or
months [33]. In order to avoid these large errors, we should be
able to capture possible “basic” cyclicities (e.g., due to season-
ality), which, by the way, are maintained in the identified IMFs
by construction. In the next section, we present a generalization
of the EMD-SVR approach.
V. THE EMD-SVR APPROACH FOR LONG-TERM LOAD
FORECASTING
Broadly speaking, we can divide the IMFs into two cate-
gories:
1) some IMFs, which are identified in few sifting steps, are
characterized by larger values of amplitude, and, thus, can
be considered the most informative components;
2) other IMFs contain high frequency components and need
more sifting iterations, which cause a smoothing in the am-
plitude.
IEEE TRANSACTIONS ON SMART GRID, VOL. 4, NO. 1, MARCH 2013
From a qualitative point of view, the first set of IMFs, that we
define Principal-IMFs (P-IMFs), describes the long-term trend
of the time series, while the second set of IMFs, namely the Be-
havioral-IMFs (B-IMFs), captures local features of the signal
(e.g., peak values or oscillations due to environmental factors).
In order to obtain a reliable prediction, the long-term load fore-
casting method should contemporaneously allow to:
• Approximate the P-IMFs, where high frequency oscilla-
tions are usually absent;
• Approximate the B-IMFs, which are characterized by high
frequency components, through the exploitation of the in-
formation regarding the cyclicities (embedded in them).
A. Identification of the Most Informative IMFs
In order to rank the most informative IMFs, once the EMD
procedure ends, we can make use of conventional techniques,
exploited in other decomposition methods as well (such as the
PCA [25]), which allow to compute the energy associated to
each component. In the case of the IMFs and the residue, we
define the overall energy of the whole time series as
(10)
The percentage of energy associated to the -th IMF is:
% (11)
where and the -th component rep-
resents the residue (which, for the sake of simplicity, is likened
to an IMF). Once the values of energy are computed for the
IMFs and the residue, we can simply rank the components in
descending order and select the first IMFs which guarantee a
cumulative energy level greater than a user-defined and appli-
cation-dependent value % %
(12)
These first components constitute the set of P-IMFs, while the
remaining ones are classified as B-IMFs.
B. P-IMFs Prediction
Let us consider the P-IMFs. Our aim is to predict each series
behavior by using R-SVR models. It is worth noting that, as high
frequency oscillations are usually absent in the P-IMFs, we can
safely use the technique, presented in [21] and summarized in
Section IV, for approximating them: this method allows us to
achieve a small forecasting error even in a long-term prediction.
In the following, we will refer to this procedure as recursive
Support Vector regression for P-IMFs prediction (SVP).
During the training phase, R-SVR models are created for
the P-IMFs: let be the prediction for the -th component,
where . We can re-assemble the predicted values
in the SVP feed-forward phase, obtaining:
(13)
GHELARDONI et al.: ENERGY LOAD FORECASTING USING EMPIRICAL MODE DECOMPOSITION AND SUPPORT VECTOR REGRESSION 553

C. B-IMFs Prediction respect to the original B-IMFs due to the weighted-av-

eraging operation: however, it is worth underlining that the
The B-IMFs usually contain higher frequency components.
B-IMFs are the least informative components and that the
Unfortunately, the presence of short period oscillations causes
trend is well approximated through the SVP technique of
the prediction with the conventional combined EMD-SVR ap-
Section V-B. The main advantage of this method consists in
proach to be afflicted by large errors because of the scarce ex-
the exploitation of the intrinsic features of the time series, such
trapolation capabilities, which are typical of the R-SVR models
as the cyclicities, which allows the A-SVR to suitably capture
in these cases. In order to circumvent this issue, we have to re-
high frequency components in the target series.
sort to A-SVR and to exploit additional and application-depen-
dent information.
D. The SVP SVB Algorithm
For training purposes, let us consider the ranked set of
IMFs and the residue (see Section V-A). As a first step, since The combined SVP+SVB algorithm for long-term prediction
our target is to avoid overfitting every single B-IMF, which puts together the different pieces of the complex puzzle of load
could cause error propagation problems, we create a new series forecasting.
by simply re-assembling the identified B-IMFs, As a first step, given a time series and an
that is associated set of time-steps , we create the
model during the training phase:
1) apply the EMD method to find the residue and the IMFs.
(14) The latter ones can be then divided into P-IMFs and
B-IMFs by exploiting the results of Section V-A;
2) apply the SVP method of Section V-B and find R-SVR
where the first ranked components (i.e., the P-IMFs) are not
models for the P-IMFs;
considered and is the -th element of the -th IMF.
3) apply the SVB method of Section V-C and find the A-SVR
As a second issue, it is well-known that in load forecasting
model which better approximate the summation of the
problems the energy demand has a periodic behavior which
B-IMFs [see (14)].
strongly depends on many factors [17]: for example, energy load
Once the models have been created and we want to estimate
series are characterized by periods which approximately equals
the output at a generic time-step in the future (where ),
weeks, months and seasons. In such problems, the time-step in-
we have to implement the following feed-forward prediction
formation associated to the original time se-
steps:
ries , as introduced in Section II, consists usually in an in-
1) apply the feed-forward functions of the SVP models
teger index: the first measure has index 1 and the last one has
to predict every output from up to , following the
index . In order to take into account the periodicity, which is
R-SVR procedure described in Section II-B. The outputs of
intrinsic to the energy time series, a proper mapping
these models are re-assembled in the SVP prediction ,
must be applied, so that the index is normalized with reference
as shown in (13);
to the value of the period. For example, sub-series, with
2) map , according to the function defined during the
months, of elements (the number of measures-per-month) are
training phase;
created, which are characterized by an analogous behavior. In
3) apply the feed-forward function of the SVB model to fore-
other words, and are such that . A new time series
cast the behavioral value at . The output of this model is
is created by applying the mapping to all
;
the values in
4) the final predicted output of the series at is computed as

(16)
(15)
From the point of view of the computational effort, needed to
forecast the load values in the long-term framework, it is worth
The final training set for the A-SVR learning is generated
underlining that:
by juxtaposing the two time series and , that is • the training phase of the procedure is more
. In other words, the inputs are the pe- computationally intensive than other state-of-the-art tech-
riodic time-steps, while the targets consist in the output of niques, proposed in the short-term framework. This is
the B-IMFs re-assembling. From the A-SVR learning phase, mainly due to both the time required by the sifting process
we obtain a weighted-average over the user-defined periods of EMD to identify the IMFs, and the resources needed by
of the behavioral time series (see also (14)). We define the R-SVR and the A-SVR training procedures. How-
this procedure as approximating Support Vector regression for ever, the models are usually built offline, while the online
B-IMFs prediction (SVB). The feed-forward phase consists in predictions are obtained by exploiting the feed-forward
simply mapping the corresponding time-step, according to the functions of the R-SVR and A-SVR regressors;
chosen , and exploit the SVB model to obtain the predicted • the online prediction phase of the SVP+SVB algorithm,
output. once the models are created, only requires that SVR
The main drawback of the SVB approach consists in the par- feed-forward functions [see (4)] are computed. In addition
tial smoothing of the amplitude values of the output with to being computationally non-intensive, the SVP+SVB
554
prediction phase can be either easily parallelized on
multi-core CPUs or, if required by the application, prop-
erly speeded-up by exploiting special purpose hardware
devices [40].
VI. EXPERIMENTAL RESULTS
In this section, we test the SVP+SVB approach on two real-
world datasets, which are exploited to show the effectiveness
of the method and to compare its performance against the other
state-of-the-art techniques, available in literature.
In particular, as graphical results are not shown due to space
constraints, we use the Mean Absolute Error (MAE), the Mean
Absolute Percentage Error (MAPE), the Normalized Mean
Square Error (NMSE) and the Relative Error Percentage (REP)
as error indexes for the comparison [42]. Furthermore the
Pearson Product-Moment Correlation Coefficient (PPMCC)
is used, which allows to compute the correlation between the
forecasted and the true values:
(17)
where is the number of test patterns, is the estimated
output, and
(18)
A. Experimental Setup
The experimental setup for our method is the following:
• We apply the EMD procedure to the series, extracting the
IMFs and the residue. The P-IMFs are selected so
to include at least 99% of the overall energy of the IMFs
( in (12));
• In order to avoid possible numerical issues, the IMFs and
the residue are normalized so that most of the values lie in
the range ; ARMA models. The experimental setup is analogous to
• The SVP procedure of Section V-B is applied, where
R-SVR models are trained using a Gaussian kernel. The
optimal R-SVR hyperparameter values are found using a
conventional 10-fold Cross Validation procedure and a grid
search, in order to test several values of and [38],
[39]. The searching space for the hyperparameter is set
to [10, 1000];
• The SVB procedure of Section V-C is applied, where the
experimental setup for A-SVR is analogous to the one for
the SVP method.
B. EUNITE Dataset
In order to test the performance of the proposed technique on
real-world data, we exploit the public-domain dataset, used for
the EUNITE competition [41], where electricity load demand
values, recorded every two hours in Eastern Slovakia during
1997 and 1998, are provided. The whole time series, shown in
Fig. 1, consists of 8760 samples, 12 for each day of the year.
For the competition, the whole 1997–1998 set had to be used
IEEE TRANSACTIONS ON SMART GRID, VOL. 4, NO. 1, MARCH 2013
Fig. 1. Original EUNITE competition electric load time series.
in order to predict the load values for January 1999, thus a
short-term framework problem was targeted. On the contrary,
as we are interested in the long-term prediction problem, we
consider the first 4380 values (which corresponds to the electric
load values recorded in 1997) as a training set, while the second
half of the series (year 1998) is used as an independent test set.
To the authors best knowledge, given the hourly resolution
targeted by our approach, no effective long-term prediction
techniques have been presented so far in literature, since several
proposals cope with the simpler problem of daily or weekly
load peaks forecasting. Thus, we compared the proposed
method with the state-of-the-art techniques for short-term
load prediction, able to cope with high-resolution time series.
In particular, four different approaches have been taken into
account for this purpose:
• Auto-Regressive Moving-Average (ARMA) models: in
our application, both the AR and the MA orders of the
forecaster have been properly tuned by using a KCV
procedure;
• A standard R-SVR regressor, based on a linear kernel,
which represents a generalization of the conventional
the one applied to our technique (see Section VI-A), with
the exception that the hyperparameter is not used;
• A standard R-SVR regressor, which exploits a Gaussian
kernel and is learnt using the original training time series.
In this case, the experimental setup is the same as the one
used for our method;
• The models created by exploiting the EMD-SVR of [21].
In this case, a Gaussian R-SVR regressor is trained on each
of the IMFs and the residue: the predictions are then re-as-
sembled, analogously to (9). Once again, we use the same
experimental setup as our proposed method.
By applying the EMD procedure, summarized in Section III,
to the training series, we obtain 13 IMFs and the residue: as
already remarked in Section V-A, in the following we assimilate
the residue to the other IMFs for the sake of simplicity. Then,
we exploit (10) and (11) in order to rank the most informative
components (i.e., the ones characterized by the largest values of
amplitude). It is possible to show that the residue (for which
%, according to (11)) and the IMF %
GHELARDONI et al.: ENERGY LOAD FORECASTING USING EMPIRICAL MODE DECOMPOSITION AND SUPPORT VECTOR REGRESSION
TABLE I
EUNITE DATASET—ERROR AND CORRELATION ON THE TEST SET
cover more than 99% of the total energy and, thus, are classified
as P-IMFs.
Table I shows the results, where the proposed method
( approach) is validated against the ARMA, the
conventional (linear and Gaussian) R-SVR, the conventional
EMD-SVR technique of [21] and the predictions, obtained by
simply applying the SVP procedure. It is straightforward noting
that:
• due to the error propagation effect, the non-linear Gaussian
R-SVR is characterized by a performance, which is much
worse than the linear R-SVR. On the other hand, the linear
R-SVR and the ARMA model are not able to properly cap-
ture the characteristics of the series and, then, the predic-
tions rapidly diverge from the real values in the long-term
framework;
• due to its appealing properties, the EMD technique allows
to enhance the extrapolation capabilities of the R-SVR.
Even the conventional EMD-SVR approach of [21], which
is targeted toward short-term forecasting problems, is char-
acterized by an acceptable long-term performance;
• despite neglecting local oscillations, the performance in-
dexes of the SVP method underline the validity of this ap-
proach, especially when one is interested in studying only
the long-term trend of a series;
• the best performance is obtained by the proposed
technique, which allows to improve by more than
20% the MAPE of the EMD-SVR approach [21].
C. Office Building Dataset
Further experimental results have been obtained on a dataset,
where electricity load consumption values have been collected
for two years (2010–2011) in an office building in Italy. Twelve
measurements per day have been recorded, thus the whole
dataset, analogously to the previous one, consists of 8760
samples: one year (2010) was used as a training set, while the
second year (2011) was used as a test set. The whole series is
shown in Fig. 2.
By applying the EMD procedure to the series used as training
set, we obtain 11 IMFs and the residue, which will be considered
as IMF for the sake of simplicity. Once ranked, it is possible to
show that the residue and the IMF cover more than the
99% of the total energy and, thus, are classified as P-IMFs.
Then, we apply the SVP and the SVB procedures and we
re-assemble the predictions. We compare the performance of the
proposed SVP+SVB approach (and of the forecasting, obtained
by only exploiting the SVP procedure) against four state-of-
the-art techniques for load forecasting as in the previous exper-
iments.
Table II presents the results, obtained on the test set: anal-
ogous conclusions can be drawn. In fact, though Gaussian
555
Fig. 2. The load consumption series, collected in an office building in Italy.
TABLE II
OFFICE BUILDING DATASET—ERROR AND CORRELATION ON THE TEST SET
R-SVR is less affected by error propagation effects than in the
previous experiments, the predictions obtained with ARMA
and conventional (both linear and non-linear) R-SVR models
tend to diverge from the true values. On the contrary, the EMD
procedure allows to remarkably improve the performance
of the Recursive Support Vector Regression, even when the
short-term EMD-SVR technique of [21] is exploited. Though
the SVP represents an appealing alternative when one is not
interested in capturing the local oscillations of a series, the best
performance is obtained by the proposed SVP+SVB method,
which allows to remarkably improve the results of the previ-
ously cited EMD-SVR short-term approach.
VII. CONCLUSION
We presented in this paper a new approach to the long-term
load forecasting problem. In particular, the proposed method al-
lows to perform a long-term prediction of energy consumption
time series up to one year in the future with a hourly time scale
and, thus, represents an appealing solution when the scheduling
of operative conditions of the energy distribution network re-
quires that a wider time-horizon is taken into account.
The proposed approach exploits the Empirical Mode Decom-
position and ad hoc techniques, based on Support Vector Re-
gression, in order to obtain an accurate long-term estimation of
the load: in particular, the SVP procedure allows to estimate the
P-IMFs, which describe the general trend of the series, while the
SVB method models the B-IMFs, which give information re-
garding local characteristics of the data. The proposed approach
has been tested against some conventional state-of-the-art tech-
niques on both a public-domain and an office building dataset,
where electricity load demand values are provided: the experi-
mental results clearly show that the SVP+SVB algorithm allows
to obtain remarkable improvements in the long-term framework
[4], [16].
556
ACKNOWLEDGMENT
The authors would like to thank Prof. Stefano Massucco
(DITEN, University of Genoa) and his laboratory for providing
one of the datasets used for the experiments.
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Luca Ghelardoni was born in Genova, Italy, in 1984. He received the M.S.
degree in electronic engineering from the University of Genova in 2009. He
is currently working toward the Ph.D. degree in “knowledge and information
science” at the University of Genova.
He is currently working in the development of data analysis and time series
prediction techniques for industrial applications. His main research activities
concern machine learning approaches for time series prediction.
Alessandro Ghio was born in Chiavari, Italy, in 1982. He received the M.S.
degree in electronic engineering and the Ph.D. degree in “‘knowledge and in-
formation science’” from the University of Genova, Italy, in 2010.
His main research activities concern both theoretical and practical aspects
of smart systems based on computational intelligence and machine learning
methods. Currently, he also works as an IT consultant.
Davide Anguita (S’93–M’95) received the Laurea degree in electronic engi-
neering and the Ph.D. degree in computer science and electronic engineering
from the University of Genova, Italy, in 1989 and 1993, respectively.
After working as a Research Associate at the International Computer Science
Institute, Berkeley, CA, on special-purpose processors for neurocomputing, he
joined the Department of Biophysical and Electronic Engineering (DIBE, now
DITEN Dept.), University of Genova, where he is currently an Associate Pro-
fessor of Smart Electronic Systems. His current research focuses on the theory
and application of kernel methods and artificial neural networks.