IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO.
1, FEBRUARY 2005
Feature Extraction via Multiresolution Analysis for
Short-Term Load Forecasting
Agnaldo J. Rocha Reis, Member, IEEE, and Alexandre P. Alves da Silva, Senior Member, IEEE
Abstract—The importance of short-term load forecasting has
been increasing lately. With deregulation and competition, energy
price forecasting has become a big business. Bus-load forecasting
is essential to feed analytical methods utilized for determining
energy prices. The variability and nonstationarity of loads are
becoming worse, due to the dynamics of energy prices. Besides,
the number of nodal loads to be predicted does not allow frequent
interactions with load forecasting experts. More autonomous
load predictors are needed in the new competitive scenario. This
paper describes two strategies for embedding the discrete wavelet
transform into neural network-based short-term load forecasting.
Its main goal is to develop more robust load forecasters. Hourly
load and temperature data for North American and Slovakian
electric utilities have been used to test the proposed methodology.
Index Terms—Load forecasting, neural networks, wavelets.
I. INTRODUCTION
A RTIFICIAL neural networks (NNs) have been success-
fully applied to Short-Term Load Forecasting (STLF)
[1]–[4]. Many electric utilities that previously had employed
STLF tools based on classical statistical techniques now are
using NN-based STLF tools [5]. A comprehensive review
of the application of NNs to STLF can be found in [6]. A
certain regularity of the data is an important precondition for
the successful application of NNs [7]. When using classical
statistical techniques, a stationary process is assumed for the
data. For load time series, an assumption of stationarity has to
be discarded most of the time. Besides, one has to bear in mind
that different kinds of nonstationarities may exist.
In order to tackle the problem of nonstationarity, wavelets
have been utilized because they can produce a good local repre-
sentation of the signal in both time and frequency domains [8].
Moreover, the wavelet decomposition, as a multiscale analysis
tool, can be used to unfold inner load characteristics, which are
useful for more precise forecasting. In this paper, the effective-
ness of forecasting strategies that exploit multiresolution repre-
sentation via wavelet transform is investigated. The goal is to
identify different sources of useful information embedded in a
load time series.
Manuscript received May 3, 2004. This work was supported by the Brazilian
Research Council (CNPq). Paper no. TPWRS-00593-2003.
A. J. da Rocha Reis is with the Systems Engineering Group (GESis), Fed-
eral University of Itajubá, AV BPS 1303, Itajubá, MG, 37.500–903, Brazil, and
the Department of Control Engineering and Automation, Federal University of
Ouro Preto, Campus Morro do Cruzeiro, Ouro Preto, MG, 35.400-000, Brazil
(e-mail: agnaldo_reis@yahoo.com).
A. P. Alves da Silva is with PEE-COPPE, Federal University of Rio
de Janeiro, C.P. 68504, Rio de Janeiro, RJ, 21945-970, Brazil (e-mail:
alex@coep.ufrj.br).
Digital Object Identifier 10.1109/TPWRS.2004.840380
0885-8950/$20.00 © 2005 IEEE
189
The MultiResolution Analysis (MRA) approach for tack-
ling feature extraction problems splits up the load series into
one low-frequency and some high-frequency subseries in the
wavelet domain. Using this new representation of the original
load signal, two different alternatives are investigated. The
first one is new. It consists of creating a model for STLF
whose inputs are based on information from the original load
sequence and from wavelet domain subseries, too. The second
alternative predicts the load’s future behavior by independently
forecasting each subseries in the wavelet domain. The latter has
been proposed in [9]–[11].
The basic difference between the two alternatives is the
way that features from the subseries in the wavelet domain
are treated. In the previous work, after predicting each load
subseries, the final forecast is obtained by returning to the
original domain (reconstruction). In the proposed alternative,
reconstruction is not needed, and features from different sub-
series are combined in the same model. There are also a few
papers on another possible way of merging wavelets with
NNs [12], [13]. These papers have shown the viability of the
so-called wavenets to load forecasting. On the other hand, our
main contribution is related to the representation aspect of the
STLF problem, not with a particular model by itself. In any
case, no previous work on load forecasting via decomposition
using wavelets has considered the distortion at the end points
of the load series caused by filtering.
The feasibility of the aforementioned approaches for STLF
is verified using hourly load and temperature data from North
American and Slovakian electric utilities. The tests evaluate 1-
to 24-hr ahead predictions. This paper is divided as follows: Sec-
tion II deals with some basic theoretical aspects of the wavelet
transform and MRA. In Section III, the proposed forecasting
models are described. They are compared through forecasting
simulations in Section IV. Finally, Section V presents the main
conclusions of this work.
II. WAVELET TRANSFORM
Wavelets can be described as a pulse of short duration with
finite energy that integrates to zero. The basic fact about them
is that they are located in time (or space), unlike trigonometric
functions. This characteristic enables them to analyze a great
deal of nonstationary signals [14].
A. Motivation for Using Wavelet Transforms
When using Fourier transforms for analyzing a signal, it is
very hard to say when a particular event took place because the
basis functions used in Fourier analysis are precisely located in
190 IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 1, FEBRUARY 2005

Fig. 1. Examples of mother wavelets. (a) Haar. (b) Daubechies of order 2. (c) Daubechies of order 3. (d) Daubechies of order 4.

frequency but are applied all the time. This drawback implies a given signal , with respect to , is defined in (1), where
that the conventional Fourier analysis is suited for dealing and are the scale and translation factors, respectively.
with frequencies that do not evolve with time, i.e., stationary
signals. The short-time Fourier transform, which takes into
account short data windows, has been tried in order to deal CWT (1)
with nonstationary signals. However, low-frequency estimates
require long windows, while the high-frequency ones need
small windows. A CWT coefficient, at a particular scale and translation,
On the other hand, it is very well known that electric load represents how well the original signal and the scaled/trans-
series contain several nonstationary features such as trends, lated mother wavelet match. Thus, the set of all wavelet coeffi-
changes in level and slope, and seasonalities, to name a few. cients CWT , associated to a particular signal , is the
These features are often the most important and challenging wavelet representation of the signal with respect to the mother
parts of the load signal and must be taken into account when wavelet .
dealing with nonstationarity. Hence, it is plain to note that Since the CWT is achieved by continuously scaling and trans-
loads’ characteristics challenge the traditional Fourier analysis. lating the mother wavelet, substantial redundant information is
Wavelet analysis overcomes the limitations of the Fourier generated. Therefore, instead of doing that, the mother wavelet
methods by using functions that retain a useful compromise can be scaled and translated using certain scales and positions
between time location and frequency information. Implicitly, based on powers of two. This scheme is more efficient and just
wavelets have a window that automatically adapts itself to give as accurate as the CWT. It is known as the Discrete Wavelet
the appropriate resolution. Transform (DWT) and defined as

B. Continuous and Discrete Wavelet Transforms DWT (2)

Wavelet analysis employs a prototype function called mother

wavelet . This function has null mean and sharply drops in The scaling and translation parameters and , in (1), are
an oscillatory way, as in Fig. 1. Data are represented via su- functions of the integer variable ( and ).
perposition of scaled and translated versions of the prespecified In (2), is an integer variable that refers to a particular point of
mother wavelet. The Continuous Wavelet Transform (CWT) of the input signal, and is the discrete time index.
ROCHA REIS AND ALVES DA SILVA: FEATURE EXTRACTION VIA MULTIRESOLUTION ANALYSIS FOR SHORT-TERM LOAD FORECASTING
Fig. 2. Single-resolution analysis via Mallat’s algorithm (S = A +
(adapted from [16]).
C. Multiresolution and Mallat’s Pyramidal Algorithm
A fast DWT variant, using filters, was developed by Mallat in
[8]. Multiresolution via Mallat’s pyramidal algorithm is a pro-
cedure to obtain “approximations” and “details” from a given
signal. An approximation is a low-frequency representation of
the original signal, whereas a detail is the difference between
two successive approximations. An approximation holds the
general trend of the original signal, whereas a detail depicts
high-frequency components of it.
The pyramidal algorithm presents two stages: decomposition
(analysis) and reconstruction (synthesis). The former calculates
the Fast Wavelet Transform (FWT), while the latter computes
the Inverse Fast Wavelet Transform (IFWT). Multiresolution
can be obtained by using a filter bank composed of L, H, L , and
H , as shown in Fig. 2. The lowpass and highpass decomposition
filters (L and H), together with their corresponding reconstruc-
tion filters (L and H ), form a system called quadrature mirror
filters. In this paper, the filters’ coefficients [analogous to
in (2)] are based on Daubechies mother wavelets [15].
Starting from signal [i.e., ], two sets of coefficients
are produced by the FWT: approximation coefficients and
detail coefficients . This decomposition is obtained by con-
volving with the lowpass filter L for approximation and with
the highpass filter H for detail, followed by downsampling, i.e.,
by throwing away every other coefficient. Conversely, starting
from and , the IFWT reconstructs by inverting the de-
composition stage. Inversion is achieved by inserting zeros be-
tween the wavelet coefficients (upsampling) and by convolving
the resulting signal with the reconstruction filters L and H
(Fig. 2). Notice that a multilevel decomposition process can be
achieved, according to Fig. 3. The successive approximations
are decomposed, so that is broken down into lower resolution
components.
D. Tackling Border Distortion
When one performs filtering/convolution on finite-length
signals, border distortions arise. Therefore, multilevel load
191
Fig. 3. Multiple-level decomposition scheme (S = A + D + D ).
decomposition via wavelets corrupts the information at both
sides of each subseries. Distortion on the left side (i.e., the oldest
information is corrupted) degrades the forecaster estimation. On
the other side, corruption of the most recent load information
affects both model estimation and forecasting. In order to deal
with this problem, signal extension (known as padding) at
the borders of the original load series is applied. The goal is
to minimize the amount of distortion on both edges of the
subseries (in the wavelet domain).
Four different padding schemes have been compared in this
D ) work. The first padding scheme, named zero-padding (zpd), in-
cludes zeros at the beginning and at the end of the load series.
The second approach supposes that signals can be recovered by
symmetric boundary replication (sym). Smooth padding (spd)
is the third scheme evaluated here, and it employs a first-order
derivative extrapolation. These padding schemes are discussed
in depth in [16]. Finally, the proposed padding strategy appends
the previous measured load values at the beginning of the series
under analysis and forecasted values at the end of it. By using
the proposed padding, one can expect no distortion at the begin-
nings of the decomposed signals and a reduced amount of dis-
tortion at their ends. Bear in mind that the better the quality of
forecasts, the better the quality of padding, and, consequently,
the lesser the border distortion. Another important question is
related to the length of the attached information. Empirically,
one has found out that the use of 72 padding-values (at least) in
each extremity of the load series is enough to reduce distortions.
Fig. 4 shows the deviations of these four schemes from the
ideal padding, i.e., measurements attached to the beginning
and to the end of the series, too. For convenience, only sub-
series is presented. Notice that the ideal padding cannot be
used in practice, because the exact padding-values at the right
side border are unknown (related with the future). Traditional
padding schemes introduce very heavy oscillations on both
sides of . On the other hand, the proposed padding scheme
(prev) produces an subseries quite similar to that generated
by the ideal padding.
E. Representation of a Load Series via MRA
In this subsection, one can find an example of the decom-
position of a load series via MRA. The main objective of
this example is to depict the typical waveforms that arise in
the MRA of a load series, normalized between [ 0.5; 0.5].
However, before performing the wavelet analysis, two tasks
must be accomplished: selection of the mother wavelet and
definition of the number of levels of decomposition.
There are many types of mother wavelets that can be used
in practice. To choose the most suitable, the attributes of the
mother wavelet and the characteristics of the signal must be
taken into account. Different wavelet families have been consid-
ered in [15]. This reference shows that the Daubechies wavelet
192
is the most appropriate for treating load series. In this work, the
feasibility of the Daubechies wavelets of orders 2–4 has been
evaluated, and results have shown the superiority of the first one.
It is advisable to select a suitable number of decomposition
levels based on the nature of the signal or based on another
criterion such as entropy [17]. In this paper, based on features of
typical load curves, three, four, and five levels of decomposition
have been considered. It has been found out that three levels
of decomposition is the most promising choice, because it has
described the load series in a more thorough and meaningful
way than the others. This conclusion is mainly due to the low-
frequency band (approximation), which is the most significant
part of a load signal. The three-level decomposition scheme
emphasizes the regular behavior of a load series. It reveals
hidden patterns that cannot be seen with higher resolutions.
Periodic details provide different sources of useful information.
However, high-frequency details associated to higher resolutions
are mainly superfluous random noise.
Fig. 5 shows a load’s approximation and the corre-
sponding levels of detail , , and . The series is
corrupted by two outliers (located at 27h and 80h) and 12
missing values (153h through 164h). It can be noticed that
approximation is a very good representation for the original
load signal. The most essential information can be found at
this level. represents the daily load seasonality, and it is a
smoothed version of the load curve. The levels of detail
and contain useful higher frequency information. These
subseries exhibit some regularities, similar shapes, and compa-
rable mean values. Irregularities in those levels of detail are due
to load random variations and measurement errors. The level
of detail shows some peaks that allow time localization of
peak load. The effects of outliers on the details are clear. It can
be noticed that they are synchronized with and . Besides,
the flat part of , ranging from 153h through 164h, can be
associated to missing values.
III. MODELS FOR LOAD FORECASTING
This section describes the proposed load forecasters. For
convenience, the design task is divided into four parts: data
set definition, data preprocessing, input variable selection, and
selection of type and structure of NNs.
A. Data Set
Hourly load and temperature data from a North-American
electric utility [18], over the period of January 1, 1988, through
October 12, 1992, have been used in this work. Some informa-
tion about these hourly load and temperature data can be found
in Table I. As in any research area, in load forecasting, it is
also important to allow the reproduction of one’s results. The
only way of doing that is using public domain data sets, such
as the one mentioned above, provided at http://www.ee.wash-
ington.edu/class/559/2002spr.
B. Data Preprocessing
Before a data set is ready to compose a training set for NNs, it
is advisable to preprocess it. Techniques such as normalization,
standardization, first-order differencing, and MRA have been
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 1, FEBRUARY 2005
applied in this work. Besides ordinary normalization, a com-
plementary procedure based on the standardization of variables
can be very useful. The process of first-order differencing sub-
tracts adjacent load values. A good reason for differencing is
that, besides series detrending, the variations can be as impor-
tant as the original values. Finally, MRA—the main interest of
this work—extracts the important features of the load dynamics.
The most important purpose of this paper is to show that patterns
in the wavelet domain are not so clear in the original load time
series.
C. Input Variable Selection
The basic set of input variables have been selected by
applying the partial and standard autocorrelation functions.
Temperature variables were added for every time instant for
which a load variable was included, plus the forecasted tem-
perature for the target hour. Finally, two additional inputs
and , codifying the
hour of the day , were included, too.
It has been shown that the best set of input variables for linear
predictors is not necessarily good for nonlinear models [19].
Nevertheless, the present work keeps using the most popular
input variables for STLF models, because the main aim of this
paper is to show that feature extraction via MRA can be very
beneficial for STLF.
D. Selection of NN Structure
Multilayer Perceptrons (MLPs) have been used in this work
as the basic forecasting engine. One single hidden layer has been
used. Hyperbolic and linear activation functions have been em-
ployed in the hidden and output layers, respectively.
1) Model 1 (M1): The first load forecaster is the benchmark
[1]. Input and output variables are standardized (zero mean and
standard deviation equal to one) and then normalized in the
[ 0.5; 0.5] range. Fig. 6 shows this MLP-based load predictor.
The architecture consists of 11 inputs, four hidden neurons, and
one neuron in the output layer.
2) Model 2 (M2): The second load predictor adds differ-
enced variables to the M1 set of inputs. Therefore, three time
series are employed in the selection of the input variables:
hourly standardized and normalized load (P), temperature (T),
and first-order differenced load (D). Table II displays the inputs
for M2.
The output of the MLP is also the standardized and normal-
ized differenced load [i.e., ]. The ar-
chitecture consists of 15 inputs, four hidden neurons, and one
output neuron. M2 also provides 1- to 72-hr ahead predictions
for the padding required by models 3 and 4.
3) Model 3 (M3): Model 3 combines standardization/nor-
malization and first-order differencing with MRA via
Daubechies wavelets of order 2 (daub2). Several combina-
tions of different input variables have been tried. It has been
verified that the information provided by the differenced series
decomposition is more useful than the one from the original
load. Three levels of decomposition have been considered.
There are two main reasons for doing that. First, important
high-frequency features of a load series can be emphasized.
ROCHA REIS AND ALVES DA SILVA: FEATURE EXTRACTION VIA MULTIRESOLUTION ANALYSIS FOR SHORT-TERM LOAD FORECASTING
Fig. 4. Evaluated techniques zpd, sym, spd, and prev appear in the legend at the upper-panel. Magnified views of both edges are shown below that.
Second, the noisy part of a load series can be separated. Fig. 7
shows the M3’s sketch.
Analysis of the frequency bands has shown that the most
informative subseries are the differenced and . The
differenced and are very noisy because the differenced
series is already a high-frequency component of the original
load series. Therefore, the information provided by them has
been disregarded from M3. The input set for M3 can be found
in Table III. The corresponding output is the same as in M2. The
NN’s architecture consists of 23 inputs, four hidden neurons,
and one output neuron.
4) Model 4 (M4): Model 4 presents a different approach
[9]–[11]. Here, the idea is to decompose the load series using
MRA with daub2 and to model it via individual fitting of each
level of resolution (frequency bands). That is, each component
( , , , and ) is modeled separately, and the final fore-
casting is obtained by adding those four forecasts. Notice that
for M4, the approximation and all three levels of details must
be necessarily taken into account to “reconstruct” the load se-
ries. Fig. 8 shows the diagram for this model. Each of its sub-
models will be introduced in the sequel.
a) Submodel for : Since the approximation is a
smoothed version of the load series, analogous input variables,
as in M2, have been selected (Table IV). This submodel consists
of three hidden neurons and one neuron in the output layer.
b) Submodels for and : Autocorrelation analysis
has also been used to select input variables for and . and quite different from regular workdays. For instance, there
Table IV presents the sets of inputs/outputs for these submodels.
It can be noticed that both submodels share the same structure.
Nonetheless, they are quite different from the previous sub-
193
model. The main differences are 1) five load input variables
(instead of four) have been selected by autocorrelation—note
that a lag of 12 hr has been included; and 2) the temperature in-
formation has not been considered—this is due to the fact that
the cross-correlations are not significant. The submodels and
consist of three hidden neurons and one output neuron each.
c) Submodel for : Since the level of detail is more
related to the noisy part of the load series, predictions for this
level of resolution are based on mean values only. The mean is
estimated over the previous six weeks of data.
IV. TESTS
In the absence of temperature forecasting, two case studies
have been considered. In Case Study A, measured temperatures
have been employed as temperature predictions for the next day.
Yet in Case Study B, the effect of adding Gaussian noise to
the measured temperatures, as a way to simulate temperature
forecasting errors, has been investigated. Last, more tests, using
load forecasting competition data sets, have been carried out
(Case Study C).
Tables V–X summarize the results for regular workdays only.
Holidays and anomalous days should be treated with special
schemes, usually system dependent. Holidays and anomalous
days represent a very hard task to any load forecasting tool. This
is due to the fact that those atypical load conditions are rare
is one example of Labor Day per year, and the corresponding
load behavior varies depending on the day of the week and the
nature of the load.
194 IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 1, FEBRUARY 2005

Fig. 5. Load series corrupted by two outliers and 12 missing values.

TABLE I TABLE II
SUMMARY OF THE FIVE-YEAR TEMPERATURE AND LOAD DATA SET OF INPUT VARIABLES FOR M2

Fig. 6. Structure of M1, where T~(t) represents the forecasted temperature.

A. Case Study A
A comparison of the four proposed models has been per-
formed. Concatenations of six-week windows for the current
year and for the equivalent periods—one year before and
two years before [e.g., Oct./Nov. of Year(N), Oct./Nov. of
Year(N–1), and Oct./Nov. of Year(N–2)]—have been used for Fig. 7. Diagram for M3.
training and validation purposes, with data grouping according
to the day of the week. For each day of the week, an MLP has propagation algorithm with cross-validation [20]. The early
been trained, applying an improved version of the original back stop criterion has been adopted to finish the training sessions.
ROCHA REIS AND ALVES DA SILVA: FEATURE EXTRACTION VIA MULTIRESOLUTION ANALYSIS FOR SHORT-TERM LOAD FORECASTING
TABLE III
INPUT VARIABLES FOR M3
Fig. 8. Diagram for M4.
TABLE IV
INPUT VARIABLES FOR M4
Different partitions for the training and validation subsets have
been randomly created every 500 epochs.
After the one-step ahead training, next-hour (online fore-
casting) and 1- to 24-hr ahead (off-line forecasting always
beginning at midnight) predictions are computed. Multiple
steps ahead are reached via recursion, i.e., by feeding input
variables with the model’s outputs. Next-hour forecasts are
195
TABLE V
HOURLY MAPE FOR THE 4 MODELS (1–24 STEPS AHEAD)
TABLE VI
AVERAGE GLOBAL EVALUATION FOR 1–24 STEPS AHEAD WITH “PERFECT”
TEMPERATURE PREDICTIONS
performed for every hour of the day. The load forecasters are
retrained at the end of each day to incorporate the most recent
load information. The concatenation of six-week training
windows, for a particular day, is shifted one day ahead, and the
forecasts for the next 24 hr are evaluated. This test procedure is
repeated for the last two years of the available load/temperature
data.
The load forecast accuracy is reported in terms of the
following error measures: mean absolute percentage error
(MAPE), mean square error (MSE), and mean error (ME).
Furthermore, ANalysis Of VAriance (ANOVA) has been used
to compare the means of the forecasting errors for the models,
in order to find out if the concepts behind the four models are
significantly different. The first group of errors consists of daily
MAPEs for M1, considering the test period. The second group
consists of daily MAPEs for M2, and so forth.
1) One-day Ahead Load Forecast Analysis: Based on
Table VI, it can be noticed that the benchmark, i.e., M1, has not
performed very well. Nevertheless, the addition of differenced
load variables to it has slightly improved its accuracy (M2).
With M3, which exploits multiresolution, further enhancement
can be noted. Yet model 4, on average, is the most accurate
one. For multiple steps ahead, its forecasting errors are signif-
icantly smaller than the other models (see Tables V and VI).
With M3 and M4, average accuracy improvements of 11.73%
196
TABLE VII
HOURLY MAPE FOR THE FOUR MODELS (NEXT-HOUR FORECAST)
TABLE VIII
AVERAGE GLOBAL EVALUATION FOR NEXT-HOUR FORECASTING WITH
“PERFECT” TEMPERATURE PREDICTIONS
TABLE IX
AVERAGE GLOBAL EVALUATION FOR 1–24 STEPS AHEAD WITH SIMULATED
TEMPERATURE PREDICTIONS
and 26.26%, with respect to M1, have been obtained (i.e.,
and , respectively; see
Table VI).
It is clear that a larger forecasting lead-time does not neces-
sarily imply a larger forecasting error. That depends on the data
variability for the different periods of the day and the kind of
model at hand [21]. Notice that the MSE, in Table VI, points
out a smaller number of high errors for M4.
The outcome of ANOVA also suggests that the differences
among the means of the four groups of errors, corresponding
to each model, are likely to be just chance. The value of the F
statistic ( ) assures, with a confidence of 95%, that the
source of the variation has a significant effect. Fig. 9 illustrates
a 24-h ahead recursive forecasting for each band, using M4.
2) Next-Hour Forecast Analysis: Based on Tables VII and
VIII, it can be noticed that M2 and M3 have presented the best
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 1, FEBRUARY 2005
TABLE X
AVERAGE GLOBAL EVALUATION FOR NEXT-HOUR FORECASTING WITH
SIMULATED TEMPERATURE PREDICTIONS
Fig. 9. Actual load and corresponding forecasts (+/ ) obtained with M4.
results and similar performances. The fact that M4 has not per-
formed very well for one-step ahead predictions has to do with
its own nature. Its performance for this horizon is highly depen-
dent on the quality of the attached information used as padding.
B. Case Study B
In this case, the effect of adding Gaussian noise of zero mean
and standard deviation of 0.6 C to the measured temperature
series, in order to simulate temperature forecasting errors, has
been investigated (Tables IX and X). Comparing Table VI with
Table IX, it can be noticed that the accuracy of M1, for 1–24
steps ahead, has been considerably degraded with the “fore-
casted” temperatures . On the other
hand, M2 has not degraded much. Concerning M3, one can say
that the temperature forecast errors have not meaningfully im-
pacted it. The MAPE of 3.16% for the noiseless case increases to
3.38% with the “forecasted” temperatures. Finally, M4 has not
suffered with noise addition to the perfect temperature forecasts
ROCHA REIS AND ALVES DA SILVA: FEATURE EXTRACTION VIA MULTIRESOLUTION ANALYSIS FOR SHORT-TERM LOAD FORECASTING
either. Its overall MAPE changes from 2.64% to 2.82%. An av-
erage accuracy improvement of 36.77% ( ; 3 and 4 is related to the type of padding. Attaching load
Table IX), with respect to M1, can be noticed when using M4.
Table X presents a global average evaluation of the models
for next-hour forecasts. Again, as in the perfect temperature
forecast case (Table VIII), M2 and M3 have been the winning
models. The differences in the MAPE and MSE indices for
models 2 and 3 have no statistical significance. Regarding fore-
casting bias, the sums of forecasting errors, i.e., the ME indices,
show no significant tendency of underestimating or overesti-
mating the load values. An average accuracy improvement of
46.98% ( ; Table X), with respect to M1, is
achieved with M3.
C. Case Study C
A comparison of the forecasting accuracy of M4 (the best pro-
posal for one-day ahead predictions) with two neural models
introduced in [18] has been performed. Only the MAPE index
has been considered. Load and temperature data from the same
North American utility previously mentioned have been em-
ployed. The test period ranges from November 7, 1990, through
March 31, 1991 (major holidays were not considered), such that
each model has been tested with 137 days. The tests consider
1- to 24 four-hr ahead predictions only. The recurrent-neural-
net-based load forecaster known as ANN2 provided a global
MAPE of 5.4%. Yet OH2, an adaptive neural network, produced
a global MAPE of 6.1%. On the other hand, M4 has provided a
MAPE of 3.7%.
Recently, the European Network on Intelligent Tech-
nologies for Smart Adaptive Systems (EUNITE) organized
a load forecasting competition with 56 contestants. Two
years of half-hourly load and daily average temperature data
from a Slovakian utility was supplied to design the models
(http://neuron.tuke.sk/competition). The goal was to estimate
one month ahead daily maximum load. On the other hand, the
objective in this paper is associated with hourly forecasts for a
shorter horizon. However, for future comparisons, 1- to 24-hr
ahead forecasts have been estimated for the same period of
evaluation used in the competition. MAPEs of 3.1% and 2.8%,
for M3 and M4, respectively, have been verified.
V. CONCLUSION
In this paper, two approaches for enhancing NN-based STLF
via multiresolution analysis are compared (M3 and M4). Next-
hour and recursive load forecasts from 1 to 24 hr ahead have
been carried out by MLPs in both approaches. The modeling of
a load time series via individual fitting of each subseries in the
wavelet domain M4 has not presented the same adaptability as
M3 for the very short term horizon. The prediction errors of M4
for the next hour are more sensitive to border distortion. On the
other hand, M4 has been the most precise model for one-day
ahead forecasts, although M3 has produced very competitive
results. These tests suggest that, considering both horizons, M3
has been the most successful load predictor. Even though there
are more inputs for M3 to handle, the combination of features
from the original load series, the differenced load, MRA, and
the temperature series provides a richer information content.
197
An important decision concerning the estimation of models
measurements at the beginning of the series and forecasted
values at the end of it has been proposed in this paper as
the best way to minimize distortion due to filtering. The best
load predictor without multiresolution analysis M2 has been
used for padding. In fact, it is very competitive, too, since
the basic concept behind M2 is a simplified version of the
one behind M3. Model 2 combines features from the original
load series with a high-frequency component of it, which is a
byproduct of first-order differencing. However, its MSEs for
one-day ahead forecasts indicate a higher incidence of large
prediction errors.
It is true that the computational effort increases with the appli-
cation of MRA, since M2 is also required. However, considering
the performance gains, one can conclude that the combination of
wavelets with NN-based STLF is worthwhile. Future work will
estimate confidence intervals for the forecasts [21]. Moreover,
better ways to select input variables from the load subseries will
be investigated.
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Agnaldo José da Rocha Reis (M’04) received the B.Sc, M.Sc., and D.Sc. de-
grees in electrical engineering from the Catholic University of Minas Gerais,
Belo Horizonte, MG, Brazil, in 1996, and the Federal University of Itajubá
(UNIFEI), Itajubá, MG, in 1999 and 2003, respectively.
Currently, he is with the Systems Engineering Group (GESIS), UNIFEI, and
the Department of Control Engineering and Automation (DECAT) at the Federal
University of Ouro Preto (UFOP), Ouro Preto, Brazil.
IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 20, NO. 1, FEBRUARY 2005
Alexandre Pinto Alves da Silva (SM’00) received the B.Sc, M.Sc., and
Ph.D. degrees in electrical engineering from the Catholic University of Rio
de Janeiro, Rio de Janeiro, Brazil, in 1984 and 1987, and the University of
Waterloo, Waterloo, ON, Canada, in 1992, respectively.
He worked at the Electric Power Research Center (CEPEL), Rio de Janeiro,
from 1987 to 1988. During 1999, he was a Visiting Professor in the Depart-
ment of Electrical Engineering, University of Washington, Seattle. From 1993
to 2002, he was with the Federal University of Itajubá (UNIFEI), Itajubá, MG,
Brazil. Currently, he is a Professor of electrical engineering at the Federal Uni-
versity of Rio de Janeiro (COPPE/UFRJ).
Prof. Alves da Silva was the TPC Chairman of the First Brazilian Conference
on neural networks in 1994 and of the International Conference on Intelligent
System Applications to Power Systems in 1999.