Introduction

Energy demand forecasting plays a critical role in effectively managing and planning resources for power generation, distribution, and utilization. Predicting energy demand is a complex task influenced by factors such as weather patterns, economic conditions, and societal behavior. This document will examine the creation of forecasting models utilizing machine learning to predict energy demand.

Time series and forecasting

A time series is a sequence of chronologically ordered data at equal or unequal intervals. The forecasting process consists of predicting the future value of a time series, either by modelling the series solely on the basis of its past behavior (autoregressive) or by using other external variables.

When working with time series, it is rarely necessary to predict only the next element in the series ($t_{+1}$). Instead, the most common goal is to forecast a whole future interval (($t_{+1}$), ..., ($t_{+n}$)) or a far future time ($t_{+n}$). Several strategies can be used to generate this type of forecast, skforecast has implemented the following for univariate time series forecasting:

• Recursive multi-step forecasting: since the value $t_{n-1}$ is needed to predict $t_n$, and $t_{n-1}$ is unknown, a recursive process is applied in which, each new prediction, is based on the previous one. This process is known as recursive forecasting or recursive multi-step forecasting and can be easily generated with the ForecasterRecursive class.

• Direct multi-step forecasting: this method consists of training a different model for each step of the forecast horizon. For example, to predict the next 5 values of a time series, 5 different models are trained, one for each step. As a result, the predictions are independent of each other. This entire process is automated in the ForecasterDirect class.

• Forecasting multi-output: Some machine learning models, such as long short-term memory (LSTM) neural networks, can predict multiple values of a sequence simultaneously (one-shot). This strategy implemented in the ForecasterRnn class

Libraries

The libraries used in this document are:

# Data manipulation
# ==============================================================================
import numpy as np
import pandas as pd
from astral.sun import sun
from astral import LocationInfo
from skforecast.datasets import fetch_dataset
from feature_engine.datetime import DatetimeFeatures
from feature_engine.creation import CyclicalFeatures
from feature_engine.timeseries.forecasting import WindowFeatures

# Plots
# ==============================================================================
import matplotlib.pyplot as plt
from statsmodels.graphics.tsaplots import plot_acf
from statsmodels.graphics.tsaplots import plot_pacf
from skforecast.plot import plot_residuals
import plotly.graph_objects as go
import plotly.io as pio
import plotly.offline as poff
pio.templates.default = "seaborn"
poff.init_notebook_mode(connected=True)
plt.style.use('seaborn-v0_8-darkgrid')
plt.rcParams.update({'font.size': 8})

# Modelling and Forecasting
# ==============================================================================
import skforecast
import lightgbm
import sklearn
from lightgbm import LGBMRegressor
from sklearn.preprocessing import PolynomialFeatures
from sklearn.feature_selection import RFECV
from skforecast.recursive import ForecasterEquivalentDate, ForecasterRecursive
from skforecast.direct import ForecasterDirect
from skforecast.model_selection import TimeSeriesFold, bayesian_search_forecaster, backtesting_forecaster
from skforecast.feature_selection import select_features
from skforecast.preprocessing import RollingFeatures
from skforecast.plot import calculate_lag_autocorrelation, plot_residuals
from skforecast.metrics import calculate_coverage
import shap


# Warnings configuration
# ==============================================================================
import warnings
warnings.filterwarnings('once')

color = '\033[1m\033[38;5;208m' 
print(f"{color}Version skforecast: {skforecast.__version__}")
print(f"{color}Version scikit-learn: {sklearn.__version__}")
print(f"{color}Version lightgbm: {lightgbm.__version__}")
print(f"{color}Version pandas: {pd.__version__}")
print(f"{color}Version numpy: {np.__version__}")

Version skforecast: 0.15.0
Version scikit-learn: 1.5.2
Version lightgbm: 4.6.0
Version pandas: 2.2.3
Version numpy: 1.26.4

Data

A time series of electricity demand (MW) is available for the state of Victoria (Australia) from 2011-12-31 to 2014-12-31 is available. The data used in this document has been obtained from the R tsibbledata package. The dataset contains 5 columns and 52,608 complete records. The information in each column is:

• Time: date and time of the record.
• Date: date of the record.
• Demand: electricity demand (MW).
• Temperature: temperature in Melbourne, the capital of Victoria.
• Holiday: indicates if the day is a public holiday.

# Data download
# ==============================================================================
data = fetch_dataset(name='vic_electricity', raw=True)
data.info()

vic_electricity
---------------
Half-hourly electricity demand for Victoria, Australia
O'Hara-Wild M, Hyndman R, Wang E, Godahewa R (2022).tsibbledata: Diverse
Datasets for 'tsibble'. https://tsibbledata.tidyverts.org/,
https://github.com/tidyverts/tsibbledata/.
https://tsibbledata.tidyverts.org/reference/vic_elec.html
Shape of the dataset: (52608, 5)
<class 'pandas.core.frame.DataFrame'>
RangeIndex: 52608 entries, 0 to 52607
Data columns (total 5 columns):
 #   Column       Non-Null Count  Dtype  
---  ------       --------------  -----  
 0   Time         52608 non-null  object 
 1   Demand       52608 non-null  float64
 2   Temperature  52608 non-null  float64
 3   Date         52608 non-null  object 
 4   Holiday      52608 non-null  bool   
dtypes: bool(1), float64(2), object(2)
memory usage: 1.7+ MB

The Time column is stored as a string. To convert it to datetime, the function pd.to_datetime() is used. Once in datetime format, and to make use of pandas functionalities, it is set as an index. Since the data was recorded every 30 minutes, the frequency '30min' is also specified.

# Data preparation
# ==============================================================================
data = data.copy()
data['Time'] = pd.to_datetime(data['Time'], format='%Y-%m-%dT%H:%M:%SZ')
data = data.set_index('Time')
data = data.asfreq('30min')
data = data.sort_index()
data.head(2)

One of the first analyses to be carried out when working with time series is to check that the series is complete, that is, that there are no missing values.

# Verify that a temporary index is complete
# ==============================================================================
start_date = data.index.min()
end_date = data.index.max()
complete_date_range = pd.date_range(start=start_date, end=end_date, freq=data.index.freq)
is_index_complete = (data.index == complete_date_range).all()
print(f"Index complete: {is_index_complete}")
print(f"Number of rows with missing values: {data.isnull().any(axis=1).mean()}")

Index complete: True
Number of rows with missing values: 0.0

# Fill gaps in a temporary index
# ==============================================================================
# data.asfreq(freq='30min', fill_value=np.nan)

Although the data is at 30 minute intervals, the aim is to create a model capable of predicting hourly electricity demand, so the data needs to be aggregated. This type of transformation can be done very easily by combining the Pandas DatetimeIndex index and its resample() method.

It is very important to use the closed='left' and label='right' arguments correctly to avoid introducing future information into the training, leakage). Suppose that values are available for 10:10, 10:30, 10:45, 11:00, 11:12, and 11:30. To obtain the hourly average, the value assigned to 11:00 must be calculated using the values for 10:10, 10:30, and 10:45; and the value assigned to 12:00 must be calculated using the value for 11:00, 11:12 and 11:30.

The 11:00 average does not include the 11:00 point value because in reality the value is not available at that exact time.

# Aggregating in 1H intervals
# ==============================================================================
# The Date column is eliminated so that it does not generate an error when aggregating.
data = data.drop(columns="Date")
data = (
    data
    .resample(rule="h", closed="left", label="right")
    .agg({
        "Demand": "mean",
        "Temperature": "mean",
        "Holiday": "mean",
    })
)
data

The dataset starts on 2011-12-31 14:00:00 and ends on 2014-12-31 13:00:00. The first 10 and the last 13 records are discarded so that it starts on 2012-01-01 00:00:00 and ends on 2014-12-30 23:00:00. In addition, in order to optimize the hyperparameters of the model and evaluate its predictive ability, the data is divided into 3 sets: training, validation and test.

# Split data into train-val-test
# ==============================================================================
data = data.loc['2012-01-01 00:00:00':'2014-12-30 23:00:00', :].copy()
end_train = '2013-12-31 23:59:00'
end_validation = '2014-11-30 23:59:00'
data_train = data.loc[: end_train, :].copy()
data_val   = data.loc[end_train:end_validation, :].copy()
data_test  = data.loc[end_validation:, :].copy()

print(f"Train dates      : {data_train.index.min()} --- {data_train.index.max()}  (n={len(data_train)})")
print(f"Validation dates : {data_val.index.min()} --- {data_val.index.max()}  (n={len(data_val)})")
print(f"Test dates       : {data_test.index.min()} --- {data_test.index.max()}  (n={len(data_test)})")

Train dates      : 2012-01-01 00:00:00 --- 2013-12-31 23:00:00  (n=17544)
Validation dates : 2014-01-01 00:00:00 --- 2014-11-30 23:00:00  (n=8016)
Test dates       : 2014-12-01 00:00:00 --- 2014-12-30 23:00:00  (n=720)

Graphic exploration

Graphical exploration of time series can be an effective way of identifying trends, patterns, and seasonal variations. This, in turn, helps to guide the selection of the most appropriate forecasting model.

Plot time series

Full time series

Hide

# Interactive plot of time series
# ==============================================================================
fig = go.Figure()
fig.add_trace(go.Scatter(x=data_train.index, y=data_train['Demand'], mode='lines', name='Train'))
fig.add_trace(go.Scatter(x=data_val.index, y=data_val['Demand'], mode='lines', name='Validation'))
fig.add_trace(go.Scatter(x=data_test.index, y=data_test['Demand'], mode='lines', name='Test'))
fig.update_layout(
    title='Hourly energy demand',
    xaxis_title="Time",
    yaxis_title="Demand",
    legend_title="Partition:",
    width=800,
    height=400,
    margin=dict(l=20, r=20, t=35, b=20),
    legend=dict(orientation="h", yanchor="top", y=1, xanchor="left", x=0.001)
)
#fig.update_xaxes(rangeslider_visible=True)
fig.show()

The graph above shows that electricity demand has an annual seasonality. There is a peak in July and very pronounced peaks in demand between January and March.

Section of the time series

Due to the variance of the time series, it is not possible to see the possible intraday pattern from a single chart.

Hide

# Zooming time series chart
# ==============================================================================
zoom = ('2013-05-01 14:00:00', '2013-06-01 14:00:00')
fig = plt.figure(figsize=(8, 4))
grid = plt.GridSpec(nrows=8, ncols=1, hspace=0.6, wspace=0)
main_ax = fig.add_subplot(grid[:3, :])
data.Demand.plot(ax=main_ax, c='black', alpha=0.5, linewidth=0.5)
min_y = min(data.Demand)
max_y = max(data.Demand)
main_ax.fill_between(zoom, min_y, max_y, facecolor='blue', alpha=0.5, zorder=0)
main_ax.set_title(f'Electricity demand: {data.index.min()}, {data.index.max()}', fontsize=10)
main_ax.set_xlabel('')
zoom_ax = fig.add_subplot(grid[5:, :])
data.loc[zoom[0]: zoom[1]].Demand.plot(ax=zoom_ax, color='blue', linewidth=1)
zoom_ax.set_title(f'Electricity demand: {zoom}', fontsize=10)
zoom_ax.set_xlabel('')
plt.subplots_adjust(hspace=1)
plt.show();

When the time series are zoomed in, a clear weekly seasonality can be seen, with higher consumption during the working week (Monday to Friday) and lower consumption at weekends. There is also a clear correlation between the consumption of one day and that of the previous day.

Seasonality plots

Seasonal plots are a useful tool for identifying seasonal patterns and trends in a time series. They are created by averaging the values of each season over time and then plotting them against time.

Hide

# Annual, weekly and daily seasonality
# ==============================================================================
fig, axs = plt.subplots(2, 2, figsize=(8, 5), sharex=False, sharey=True)
axs = axs.ravel()

# Demand distribution by month
data['month'] = data.index.month
data.boxplot(column='Demand', by='month', ax=axs[0], flierprops={'markersize': 3, 'alpha': 0.3})
data.groupby('month')['Demand'].median().plot(style='o-', linewidth=0.8, ax=axs[0])
axs[0].set_ylabel('Demand')
axs[0].set_title('Demand distribution by month', fontsize=9)

# Demand distribution by week day
data['week_day'] = data.index.day_of_week + 1
data.boxplot(column='Demand', by='week_day', ax=axs[1], flierprops={'markersize': 3, 'alpha': 0.3})
data.groupby('week_day')['Demand'].median().plot(style='o-', linewidth=0.8, ax=axs[1])
axs[1].set_ylabel('Demand')
axs[1].set_title('Demand distribution by week day', fontsize=9)

# Demand distribution by the hour of the day
data['hour_day'] = data.index.hour + 1
data.boxplot(column='Demand', by='hour_day', ax=axs[2], flierprops={'markersize': 3, 'alpha': 0.3})
data.groupby('hour_day')['Demand'].median().plot(style='o-', linewidth=0.8, ax=axs[2])
axs[2].set_ylabel('Demand')
axs[2].set_title('Demand distribution by the hour of the day', fontsize=9)

# Demand distribution by week day and hour of the day
mean_day_hour = data.groupby(["week_day", "hour_day"])["Demand"].mean()
mean_day_hour.plot(ax=axs[3])
axs[3].set(
    title       = "Mean Demand during week",
    xticks      = [i * 24 for i in range(7)],
    xticklabels = ["Mon", "Tue", "Wed", "Thu", "Fri", "Sat", "Sun"],
    xlabel      = "Day and hour",
    ylabel      = "Number of Demand"
)
axs[3].title.set_size(10)

fig.suptitle("Seasonality plots", fontsize=12)
fig.tight_layout()

There is an annual seasonality, with higher (median) demand values in the months of June, July and August, and high peak demand values in the months of November, December, January, February and March. There is a weekly seasonality, with lower demand during the weekend. There is also a daily seasonality, with demand decreasing between 16:00 and 21:00.

Autocorrelation plots

Auto-correlation plots are a useful tool for identifying the order of an autoregressive model. The autocorrelation function (ACF) is a measure of the correlation between the time series and a lagged version of itself. The partial autocorrelation function (PACF) is a measure of the correlation between the time series and a lagged version of itself, controlling for the values of the time series at all shorter lags. These plots are useful for identifying the lags to be included in the autoregressive model.

Hide

# Autocorrelation plot
# ==============================================================================
fig, ax = plt.subplots(figsize=(5, 2))
plot_acf(data['Demand'], ax=ax, lags=60)
plt.show()

Hide

# Partial autocorrelation plot
# ==============================================================================
fig, ax = plt.subplots(figsize=(5, 2))
plot_pacf(data['Demand'], ax=ax, lags=60)
plt.show()

Hide

# Top 10 lags with the highest absolute partial autocorrelation
# ==============================================================================
calculate_lag_autocorrelation(
    data    = data['Demand'],
    n_lags  = 60,
    sort_by = "partial_autocorrelation_abs"
).head(10)

	lag	partial_autocorrelation_abs	partial_autocorrelation	autocorrelation_abs	autocorrelation
0	1	0.949526	0.949526	0.949490	0.949490
1	25	0.761400	-0.761400	0.731620	0.731620
2	2	0.657961	-0.657961	0.836792	0.836792
3	26	0.634868	0.634868	0.622458	0.622458
4	24	0.308085	-0.308085	0.785622	0.785622
5	19	0.291113	0.291113	0.302308	0.302308
6	27	0.281261	-0.281261	0.488351	0.488351
7	21	0.269274	0.269274	0.537173	0.537173
8	20	0.201192	0.201192	0.414709	0.414709
9	9	0.184975	0.184975	0.037677	0.037677

The autocorrelation plot demonstrates a strong correlation between demand in one hour and prior hours, as well as between demand in one hour and the corresponding hour in preceding days. This observed correlation suggests that autoregressive models may be effective in this scenario.

Baseline

When faced with a forecasting problem, it is important to establish a baseline model. This is usually a very simple model that can be used as a reference to assess whether more complex models are worth implementing.

Skforecast allows you to easily create a baseline with its class ForecasterEquivalentDate. This model, also known as Seasonal Naive Forecasting, simply returns the value observed in the same period of the previous season (e.g., the same working day from the previous week, the same hour from the previous day, etc.).

Based on the exploratory analysis performed, the baseline model will be the one that predicts each hour using the value of the same hour on the previous day.

# Create baseline: value of the same hour of the previous day
# ==============================================================================
forecaster = ForecasterEquivalentDate(
                 offset    = pd.DateOffset(days=1),
                 n_offsets = 1
             )

# Train forecaster
# ==============================================================================
forecaster.fit(y=data.loc[:end_validation, 'Demand'])
forecaster

======================== 
ForecasterEquivalentDate 
======================== 
Offset: <DateOffset: days=1> 
Number of offsets: 1 
Aggregation function: mean 
Window size: 24 
Training range: [Timestamp('2012-01-01 00:00:00'), Timestamp('2014-11-30 23:00:00')] 
Training index type: DatetimeIndex 
Training index frequency: h 
Creation date: 2025-03-12 09:07:22 
Last fit date: 2025-03-12 09:07:22 
Skforecast version: 0.15.0 
Python version: 3.12.9 
Forecaster id: None 

# Backtesting
# ==============================================================================
cv = TimeSeriesFold(
        steps              = 24,
        initial_train_size = len(data.loc[:end_validation]),
        refit              = False
)
metric, predictions = backtesting_forecaster(
                          forecaster = forecaster,
                          y          = data['Demand'],
                          cv         = cv,
                          metric     = 'mean_absolute_error'
                       )
metric

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The error of the baseline model is used as a reference to assess whether the more complex models are worth implementing.

Recursive multi-step forecasting

A recursive autoregressive model ForecasterRecursive is trained using a gradient boosting regressor LGBMRegressor, to predict energy demand for the next 24 hours.

The predictors used are the demand values from the past 24 hours (24 lags) as well as the moving average of the past 3 days. The regressor's hyperparameters are left at their default values.

# Create forecaster
# ==============================================================================
window_features = RollingFeatures(stats=["mean"], window_sizes=24 * 3)
forecaster = ForecasterRecursive(
                 regressor       = LGBMRegressor(random_state=15926, verbose=-1),
                 lags            = 24,
                 window_features = window_features
             )

# Train forecaster
# ==============================================================================
forecaster.fit(y=data.loc[:end_validation, 'Demand'])
forecaster

Backtesting

To obtain a robust estimate of the model's predictive ability, a backtesting process is performed. The backtesting process consists of generating a forecast for each observation in the test set, following the same procedure as would be done in production, and then comparing the predicted value to the actual value.

The backtesting process is applied using the backtesting_forecaster() function. For this use case, the simulation is carried out as follows: the model is trained with data from 2012-01-01 00:00 to 2014-11-30 23:00, and then it predicts the next 24 hours every day at 23:59. The error metric used is the Mean Absolute Error (MAE).

It is highly recommended to review the documentation for the backtesting_forecaster() function to gain a better understanding of its capabilities. This will help to utilize its full potential to analyze the predictive ability of the model.

# Backtesting
# ==============================================================================
metric, predictions = backtesting_forecaster(
                          forecaster    = forecaster,
                          y             = data['Demand'],
                          cv            = cv,
                          metric        = 'mean_absolute_error',
                          verbose       = True, # Set to False to avoid printing
                      )

Information of folds
--------------------
Number of observations used for initial training: 25560
Number of observations used for backtesting: 720
    Number of folds: 30
    Number skipped folds: 0 
    Number of steps per fold: 24
    Number of steps to exclude between last observed data (last window) and predictions (gap): 0

Fold: 0
    Training:   2012-01-01 00:00:00 -- 2014-11-30 23:00:00  (n=25560)
    Validation: 2014-12-01 00:00:00 -- 2014-12-01 23:00:00  (n=24)
Fold: 1
    Training:   No training in this fold
    Validation: 2014-12-02 00:00:00 -- 2014-12-02 23:00:00  (n=24)
Fold: 2
    Training:   No training in this fold
    Validation: 2014-12-03 00:00:00 -- 2014-12-03 23:00:00  (n=24)
Fold: 3
    Training:   No training in this fold
    Validation: 2014-12-04 00:00:00 -- 2014-12-04 23:00:00  (n=24)
Fold: 4
    Training:   No training in this fold
    Validation: 2014-12-05 00:00:00 -- 2014-12-05 23:00:00  (n=24)
Fold: 5
    Training:   No training in this fold
    Validation: 2014-12-06 00:00:00 -- 2014-12-06 23:00:00  (n=24)
Fold: 6
    Training:   No training in this fold
    Validation: 2014-12-07 00:00:00 -- 2014-12-07 23:00:00  (n=24)
Fold: 7
    Training:   No training in this fold
    Validation: 2014-12-08 00:00:00 -- 2014-12-08 23:00:00  (n=24)
Fold: 8
    Training:   No training in this fold
    Validation: 2014-12-09 00:00:00 -- 2014-12-09 23:00:00  (n=24)
Fold: 9
    Training:   No training in this fold
    Validation: 2014-12-10 00:00:00 -- 2014-12-10 23:00:00  (n=24)
Fold: 10
    Training:   No training in this fold
    Validation: 2014-12-11 00:00:00 -- 2014-12-11 23:00:00  (n=24)
Fold: 11
    Training:   No training in this fold
    Validation: 2014-12-12 00:00:00 -- 2014-12-12 23:00:00  (n=24)
Fold: 12
    Training:   No training in this fold
    Validation: 2014-12-13 00:00:00 -- 2014-12-13 23:00:00  (n=24)
Fold: 13
    Training:   No training in this fold
    Validation: 2014-12-14 00:00:00 -- 2014-12-14 23:00:00  (n=24)
Fold: 14
    Training:   No training in this fold
    Validation: 2014-12-15 00:00:00 -- 2014-12-15 23:00:00  (n=24)
Fold: 15
    Training:   No training in this fold
    Validation: 2014-12-16 00:00:00 -- 2014-12-16 23:00:00  (n=24)
Fold: 16
    Training:   No training in this fold
    Validation: 2014-12-17 00:00:00 -- 2014-12-17 23:00:00  (n=24)
Fold: 17
    Training:   No training in this fold
    Validation: 2014-12-18 00:00:00 -- 2014-12-18 23:00:00  (n=24)
Fold: 18
    Training:   No training in this fold
    Validation: 2014-12-19 00:00:00 -- 2014-12-19 23:00:00  (n=24)
Fold: 19
    Training:   No training in this fold
    Validation: 2014-12-20 00:00:00 -- 2014-12-20 23:00:00  (n=24)
Fold: 20
    Training:   No training in this fold
    Validation: 2014-12-21 00:00:00 -- 2014-12-21 23:00:00  (n=24)
Fold: 21
    Training:   No training in this fold
    Validation: 2014-12-22 00:00:00 -- 2014-12-22 23:00:00  (n=24)
Fold: 22
    Training:   No training in this fold
    Validation: 2014-12-23 00:00:00 -- 2014-12-23 23:00:00  (n=24)
Fold: 23
    Training:   No training in this fold
    Validation: 2014-12-24 00:00:00 -- 2014-12-24 23:00:00  (n=24)
Fold: 24
    Training:   No training in this fold
    Validation: 2014-12-25 00:00:00 -- 2014-12-25 23:00:00  (n=24)
Fold: 25
    Training:   No training in this fold
    Validation: 2014-12-26 00:00:00 -- 2014-12-26 23:00:00  (n=24)
Fold: 26
    Training:   No training in this fold
    Validation: 2014-12-27 00:00:00 -- 2014-12-27 23:00:00  (n=24)
Fold: 27
    Training:   No training in this fold
    Validation: 2014-12-28 00:00:00 -- 2014-12-28 23:00:00  (n=24)
Fold: 28
    Training:   No training in this fold
    Validation: 2014-12-29 00:00:00 -- 2014-12-29 23:00:00  (n=24)
Fold: 29
    Training:   No training in this fold
    Validation: 2014-12-30 00:00:00 -- 2014-12-30 23:00:00  (n=24)

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# Plot predictions vs real value
# ======================================================================================
fig = go.Figure()
trace1 = go.Scatter(x=data_test.index, y=data_test['Demand'], name="test", mode="lines")
trace2 = go.Scatter(x=predictions.index, y=predictions['pred'], name="prediction", mode="lines")
fig.add_trace(trace1)
fig.add_trace(trace2)
fig.update_layout(
    title="Real value vs predicted in test data",
    xaxis_title="Date time",
    yaxis_title="Demand",
    width=800,
    height=400,
    margin=dict(l=20, r=20, t=35, b=20),
    legend=dict(orientation="h", yanchor="top", y=1.01, xanchor="left", x=0)
)
fig.show()

# Backtesting error
# ==============================================================================
metric

The autoregressive model achieves a lower MAE than the baseline model. This means that the autoregressive model is able to predict the next day's electricity demand more accurately than the baseline model.

Exogenous variables

So far, only lagged values of the time series have been used as predictors. However, it is possible to include other variables as predictors. These variables are known as exogenous variables (features) and their use can improve the predictive capacity of the model. A very important point to keep in mind is that the values of the exogenous variables must be known at the time of prediction.

Common examples of exogenous variables are those derived from the calendar, such as the day of the week, month, year, or holidays. Weather variables such as temperature, humidity, and wind also fall into this category, as do economic variables such as inflation and interest rates.

Next, exogenous variables are created based on calendar information, sunrise and sunset times, temperature, and holidays. These new variables are then added to the training, validation and test sets, and used as predictors in the autoregressive model.

# Calendar features
# ==============================================================================
features_to_extract = [
    'month',
    'week',
    'day_of_week',
    'hour'
]
calendar_transformer = DatetimeFeatures(
    variables           = 'index',
    features_to_extract = features_to_extract,
    drop_original       = True,
)
calendar_features = calendar_transformer.fit_transform(data)[features_to_extract]

# Sunlight features
# ==============================================================================
location = LocationInfo(
    latitude  = -37.8,
    longitude = 144.95,
    timezone  = 'Australia/Melbourne'
)
sunrise_hour = [
    sun(location.observer, date=date, tzinfo=location.timezone)['sunrise']
    for date in data.index
]
sunset_hour = [
    sun(location.observer, date=date, tzinfo=location.timezone)['sunset']
    for date in data.index
]
sunrise_hour = pd.Series(sunrise_hour, index=data.index).dt.round("h").dt.hour
sunset_hour = pd.Series(sunset_hour, index=data.index).dt.round("h").dt.hour
sun_light_features = pd.DataFrame({
                        'sunrise_hour': sunrise_hour,
                        'sunset_hour': sunset_hour
                     })
sun_light_features['daylight_hours'] = (
    sun_light_features['sunset_hour'] - sun_light_features['sunrise_hour']
)
sun_light_features["is_daylight"] = np.where(
    (data.index.hour >= sun_light_features["sunrise_hour"])
    & (data.index.hour < sun_light_features["sunset_hour"]),
    1,
    0,
)

# Holiday features
# ==============================================================================
holiday_features = data[['Holiday']].astype(int)
holiday_features['holiday_previous_day'] = holiday_features['Holiday'].shift(24)
holiday_features['holiday_next_day'] = holiday_features['Holiday'].shift(-24)

# Rolling windows of temperature
# ==============================================================================
wf_transformer = WindowFeatures(
    variables   = ["Temperature"],
    window      = ["1D", "7D"],
    functions   = ["mean", "max", "min"],
    freq        = "h",
)
temp_features = wf_transformer.fit_transform(data[['Temperature']])


# Merge all exogenous variables
# ==============================================================================
assert all(calendar_features.index == sun_light_features.index)
assert all(calendar_features.index == temp_features.index)
assert all(calendar_features.index == holiday_features.index)
exogenous_features = pd.concat([
                         calendar_features,
                         sun_light_features,
                         temp_features,
                         holiday_features
                     ], axis=1)

# Due to the creation of moving averages, there are missing values at the beginning
# of the series. And due to holiday_next_day there are missing values at the end.
exogenous_features = exogenous_features.iloc[7 * 24:, :]
exogenous_features = exogenous_features.iloc[:-24, :]
exogenous_features.head(3)

Certain aspects of the calendar, such as hours or days, are cyclical. For example, the hour-day cycle ranges from 0 to 23 hours. Although interpreted as a continuous variable, the hour 23:00 is only one hour away from 00:00. The same is true for the month-year cycle, since December is only one month away from January. The use of trigonometric functions such as sine and cosine transformations makes it possible to represent cyclic patterns and avoid inconsistencies in data representation. This approach is known as cyclic encoding and can significantly improve the predictive ability of models.

# Cliclical encoding of calendar and sunlight features
# ==============================================================================
features_to_encode = [
    "month",
    "week",
    "day_of_week",
    "hour",
    "sunrise_hour",
    "sunset_hour",
]
max_values = {
    "month": 12,
    "week": 52,
    "day_of_week": 6,
    "hour": 24,
    "sunrise_hour": 24,
    "sunset_hour": 24,
}
cyclical_encoder = CyclicalFeatures(
    variables     = features_to_encode,
    max_values    = max_values,
    drop_original = False
)

exogenous_features = cyclical_encoder.fit_transform(exogenous_features)
exogenous_features.head(3)

In many cases, exogenous variables are not isolated. Rather, their effect on the target variable depends on the value of other variables. For example, the effect of temperature on electricity demand depends on the time of day. The interaction between the exogenous variables can be captured by new variables that are obtained by multiplying existing variables together. This interactions are easily obtained with the PolynomialFeatures class from scikit-learn.

# Interaction between exogenous variables
# ==============================================================================
transformer_poly = PolynomialFeatures(
                        degree           = 2,
                        interaction_only = True,
                        include_bias     = False
                    ).set_output(transform="pandas")
poly_cols = [
    'month_sin', 
    'month_cos',
    'week_sin',
    'week_cos',
    'day_of_week_sin',
    'day_of_week_cos',
    'hour_sin',
    'hour_cos',
    'sunrise_hour_sin',
    'sunrise_hour_cos',
    'sunset_hour_sin',
    'sunset_hour_cos',
    'daylight_hours',
    'is_daylight',
    'holiday_previous_day',
    'holiday_next_day',
    'Temperature_window_1D_mean',
    'Temperature_window_1D_min',
    'Temperature_window_1D_max',
    'Temperature_window_7D_mean',
    'Temperature_window_7D_min',
    'Temperature_window_7D_max',
    'Temperature',
    'Holiday'
]
poly_features = transformer_poly.fit_transform(exogenous_features[poly_cols])
poly_features = poly_features.drop(columns=poly_cols)
poly_features.columns = [f"poly_{col}" for col in poly_features.columns]
poly_features.columns = poly_features.columns.str.replace(" ", "__")
assert all(poly_features.index == exogenous_features.index)
exogenous_features = pd.concat([exogenous_features, poly_features], axis=1)
exogenous_features.head(3)

# Select exogenous variables to be included in the model
# ==============================================================================
exog_features = []
# Columns that ends with _sin or _cos are selected
exog_features.extend(exogenous_features.filter(regex='_sin$|_cos$').columns.tolist())
# Columns that start with temp_ are selected
exog_features.extend(exogenous_features.filter(regex='^Temperature_.*').columns.tolist())
# Columns that start with holiday_ are selected
exog_features.extend(exogenous_features.filter(regex='^Holiday_.*').columns.tolist())
# Include original features
exog_features.extend(['Temperature', 'Holiday'])

# Merge target and exogenous variables in the same DataFrame
# ==============================================================================
data = data[['Demand']].merge(
           exogenous_features[exog_features],
           left_index  = True,
           right_index = True,
           how         = 'inner'  # Use only dates for which we have all the variables
       )
data = data.astype('float32')

# Split data into train-val-test
data_train = data.loc[: end_train, :].copy()
data_val   = data.loc[end_train:end_validation, :].copy()
data_test  = data.loc[end_validation:, :].copy()

The model is backtested again, but this time, the exogenous variables are also included as predictors.

# Backtesting model
# ==============================================================================
metric, predictions = backtesting_forecaster(
                          forecaster = forecaster,
                          y          = data['Demand'],
                          exog       = data[exog_features],
                          cv         = cv,
                          metric     = 'mean_absolute_error'
                      )
display(metric)
predictions.head()

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The inclusion of exogenous variables as predictors improves the predictive capacity of the model.

Hyperparameter tuning

The trained ForecasterRecursive object used the first 24 lags and a LGMBRegressor model with the default hyperparameters. However, there is no reason why these values are the most appropriate. To find the best hyperparameters, a Bayesian Search is performed using the bayesian_search_forecaster() function. The search is carried out using the same backtesting process as before, but each time, the model is trained with different combinations of hyperparameters and lags. It is important to note that the hiperparameter search must be done using the validation set, so the test data is never used.

# Hyperparameters search
# ==============================================================================
forecaster = ForecasterRecursive(
                 regressor       = LGBMRegressor(random_state=15926, verbose=-1),
                 lags            = 24,  # This value will be replaced in the grid search
                 window_features = window_features
             )

# Lags used as predictors
lags_grid = [24, (1, 2, 3, 23, 24, 25, 47, 48, 49)]

# Regressor hyperparameters search space
def search_space(trial):
    search_space  = {
        'n_estimators' : trial.suggest_int('n_estimators', 300, 1000, step=100),
        'max_depth'    : trial.suggest_int('max_depth', 3, 10),
        'learning_rate': trial.suggest_float('learning_rate', 0.01, 0.5),
        'reg_alpha'    : trial.suggest_float('reg_alpha', 0, 1),
        'reg_lambda'   : trial.suggest_float('reg_lambda', 0, 1),
        'lags'         : trial.suggest_categorical('lags', lags_grid)
    } 
    return search_space

# Folds training and validation
cv_search = TimeSeriesFold(
                steps              = 24,
                initial_train_size = len(data[:end_train]),
                refit              = False,
            )

results_search, frozen_trial = bayesian_search_forecaster(
                                   forecaster   = forecaster,
                                   y            = data.loc[:end_validation, 'Demand'],
                                   exog         = data.loc[:end_validation, exog_features],
                                   cv           = cv_search,
                                   metric       = 'mean_absolute_error',
                                   search_space = search_space,
                                   n_trials     = 10,  # Increase for more exhaustive search
                                   return_best  = True
                               )

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`Forecaster` refitted using the best-found lags and parameters, and the whole data set: 
  Lags: [ 1  2  3 23 24 25 47 48 49] 
  Parameters: {'n_estimators': 800, 'max_depth': 9, 'learning_rate': 0.050765544282894995, 'reg_alpha': 0.7636828414433382, 'reg_lambda': 0.243666374536874}
  Backtesting metric: 128.29025410611806

# Search results
# ==============================================================================
best_params = results_search.at[0, 'params']
best_params = best_params | {'random_state': 15926, 'verbose': -1}
best_lags = results_search.at[0, 'lags']
results_search.head(3)

Since return_best has been set to True, the forecaster object is automatically updated with the best configuration found and trained on the entire dataset. This final model can then be used for future predictions on new data.

# Best model
# ==============================================================================
forecaster

Once the best combination of hyperparameters has been identified using the validation data, the predictive capacity of the model is evaluated when applied to the test set.

# Backtest final model on test data
# ==============================================================================
metric, predictions = backtesting_forecaster(
                          forecaster = forecaster,
                          y          = data['Demand'],
                          exog       = data[exog_features],
                          cv         = cv,
                          metric     = 'mean_absolute_error'
                      )
display(metric)
predictions.head()

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After optimization of lags and hyperparameters, the prediction error was reduced.

Feature selection

Feature selection is the process of selecting a subset of relevant features for use in model construction. It is an important step in the machine learning process, as it can help to reduce overfitting, improve model accuracy, and reduce training time. Since the underlying regressors of skforecast follow the scikit-learn API, it is possible to apply the feature selection methods available in scikit-learn with the function select_features(). Two of the most popular methods are Recursive Feature Elimination and Sequential Feature Selection.

# Create forecaster
# ==============================================================================
regressor = LGBMRegressor(
                n_estimators = 100,
                max_depth    = 4,
                random_state = 15926,
                verbose      = -1
            )

forecaster = ForecasterRecursive(
                 regressor       = regressor,
                 lags            = best_lags,
                 window_features = window_features
             )

# Recursive feature elimination with cross-validation
# ==============================================================================
selector = RFECV(
    estimator = regressor,
    step      = 1,
    cv        = 3,
    n_jobs    = -1
)
lags_select, window_features_select, exog_select = select_features(
    forecaster      = forecaster,
    selector        = selector,
    y               = data_train['Demand'],
    exog            = data_train[exog_features],
    select_only     = None,
    force_inclusion = None,
    subsample       = 0.5,  # Subsample to speed up the process
    random_state    = 123,
    verbose         = True,
)

Recursive feature elimination (RFECV)
-------------------------------------
Total number of records available: 17304
Total number of records used for feature selection: 8652
Number of features available: 96
    Lags            (n=9)
    Window features (n=1)
    Exog            (n=86)
Number of features selected: 55
    Lags            (n=9) : [1, 2, 3, 23, 24, 25, 47, 48, 49]
    Window features (n=1) : ['roll_mean_72']
    Exog            (n=45) : ['week_cos', 'day_of_week_sin', 'hour_sin', 'hour_cos', 'sunset_hour_cos', 'poly_month_sin__week_sin', 'poly_month_sin__day_of_week_cos', 'poly_month_sin__hour_sin', 'poly_month_sin__hour_cos', 'poly_month_cos__day_of_week_cos', 'poly_month_cos__hour_cos', 'poly_week_sin__day_of_week_sin', 'poly_week_sin__day_of_week_cos', 'poly_week_sin__hour_sin', 'poly_week_sin__hour_cos', 'poly_week_sin__sunrise_hour_sin', 'poly_week_cos__day_of_week_sin', 'poly_week_cos__day_of_week_cos', 'poly_week_cos__hour_sin', 'poly_week_cos__hour_cos', 'poly_day_of_week_sin__day_of_week_cos', 'poly_day_of_week_sin__hour_sin', 'poly_day_of_week_sin__hour_cos', 'poly_day_of_week_sin__sunrise_hour_sin', 'poly_day_of_week_cos__hour_sin', 'poly_day_of_week_cos__hour_cos', 'poly_day_of_week_cos__sunrise_hour_cos', 'poly_day_of_week_cos__sunset_hour_sin', 'poly_day_of_week_cos__sunset_hour_cos', 'poly_hour_sin__hour_cos', 'poly_hour_sin__sunrise_hour_cos', 'poly_hour_sin__sunset_hour_sin', 'poly_hour_sin__sunset_hour_cos', 'poly_hour_cos__sunrise_hour_sin', 'poly_hour_cos__sunrise_hour_cos', 'poly_hour_cos__sunset_hour_sin', 'poly_hour_cos__sunset_hour_cos', 'Temperature_window_1D_mean', 'Temperature_window_1D_max', 'Temperature_window_1D_min', 'Temperature_window_7D_mean', 'Temperature_window_7D_max', 'Temperature_window_7D_min', 'Temperature', 'Holiday']

Scikit-learn's RFECV starts by training a model on the initial set of features, and obtaining the importance of each feature (through attributes such as coef_ or feature_importances_). Then, in each round, the least important features are iteratively removed, followed by cross-validation to calculate the performance of the model with the remaining features. This process continues until further feature removal doesn't improve or starts to degrade the performance of the model (based on a chosen metric), or the min_features_to_select is reached.

The final result is an optimal subset of features that ideally balances model simplicity and predictive power, as determined by the cross-validation process.

The forecaster is trained and re-evaluated using the best subset of features.

# Create a forecaster with the selected features
# ==============================================================================
forecaster = ForecasterRecursive(
                regressor       = LGBMRegressor(**best_params),
                lags            = lags_select,
                window_features = window_features
             )
# Backtesting model with exogenous variables on test data
# ==============================================================================
metric, predictions = backtesting_forecaster(
                            forecaster = forecaster,
                            y          = data['Demand'],
                            exog       = data[exog_select],
                            cv         = cv,
                            metric     = 'mean_absolute_error'
                      )                
metric

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The number of predictors has been reduced without compromising the performance of the model. This simplifies the model and speeds up training. It also reduces the risk of overfitting because the model is less likely to learn irrelevant feature noise.

Probabilistic forecasting: Prediction intervals

A prediction interval defines the interval within which the true value of the target variable can be expected to be found with a given probability. Skforecast implements several methods for probabilistic forecasting:

• Probabilistic forecasting: Bootstrapping

• Probabilistic forecasting: Conformal prediction

• Probabilistic forecasting: Quantile regression

The following code shows how to generate prediction intervals for the autoregressive model. The prediction_interval() function is used to generate the prediction intervals for each predicted step. Then, the backtesting_forecaster() function is used to generate the prediction intervals for the entire test set. The interval argument is used to specify the desired coverage probability of the prediction intervals. In this case, interval is set to [5, 95], which means that the prediction intervals are calculated for the 5th and 95th percentiles, resulting in a theoretical coverage probability of 90%.

# Create and train forecaster
# ==============================================================================
forecaster = ForecasterRecursive(
                 regressor       = LGBMRegressor(**best_params),
                 lags            = lags_select,
                 window_features = window_features,
                 binner_kwargs   = {"n_bins": 5}
             )
forecaster.fit(
    y    = data.loc[:end_train, 'Demand'],
    exog = data.loc[:end_train, exog_select],
    store_in_sample_residuals = True
)

# Predict intervals
# ==============================================================================
# Since the model has been trained with exogenous variables, they must be provided
# for the prediction.
predictions = forecaster.predict_interval(
                  exog     = data.loc[end_train:, exog_select],
                  steps    = 24,
                  interval = [5, 95],
                  method  = 'conformal',
              )
predictions.head()

By default, intervals are calculated using in-sample residuals (residuals from the training set). However, this can result in intervals that are too narrow (overly optimistic). To avoid this, the set_out_sample_residuals() method is used to specify out-sample residuals computed with a validation set through backtesting.

If the predicted values are passed to set_out_sample_residuals() in addition to the residuals, then the residuals used in the bootstrapping process can be conditioned on the range of values of the predictions. This can help to improve the coverage of the estimated intervals while keeping them as narrow as possible.

# Backtesting on validation data to obtain out-sample residuals
# ==============================================================================
cv = TimeSeriesFold(
        steps              = 24,
        initial_train_size = len(data.loc[:end_train]),
        refit              = False,
)
_, predictions_val = backtesting_forecaster(
                         forecaster = forecaster,
                         y          = data.loc[:end_validation, 'Demand'],
                         exog       = data.loc[:end_validation, exog_select],
                         cv         = cv,
                         metric     = 'mean_absolute_error'
                     )

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# Out-sample residuals distribution
# ==============================================================================
residuals = data.loc[predictions_val.index, 'Demand'] - predictions_val['pred']
print(pd.Series(np.where(residuals < 0, 'negative', 'positive')).value_counts())
plt.rcParams.update({'font.size': 8})
_ = plot_residuals(residuals=residuals, figsize=(7, 4))

negative    4392
positive    3624
Name: count, dtype: int64

# Store out-sample residuals in the forecaster
# ==============================================================================
forecaster.set_out_sample_residuals(
    y_true = data.loc[predictions_val.index, 'Demand'],
    y_pred = predictions_val['pred']
)

The backtesting process is then run to estimate the prediction intervals in the test set. The argument use_in_sample_residuals is set to False so that the previously stored out-sample residuals are used and use_binned_residuals so that the residuals used in bootstrapping are selected conditional on the range of prediction values.

# Backtesting with prediction intervals in test data using out-sample residuals
# ==============================================================================
cv = TimeSeriesFold(
        steps              = 24,
        initial_train_size = len(data.loc[:end_validation]),
        refit              = False,
)
metric, predictions = backtesting_forecaster(
                            forecaster              = forecaster,
                            y                       = data['Demand'],
                            exog                    = data[exog_select],
                            cv                      = cv,
                            metric                  = 'mean_absolute_error',
                            interval                = [5, 95],
                            interval_method         = 'conformal',
                            use_in_sample_residuals = False,  # out-sample residuals
                            use_binned_residuals    = True,   # Intervals conditioned to the predicted values
                       )
predictions.head(5)

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# Plot prediction intervals vs real value
# ==============================================================================
fig = go.Figure([
    go.Scatter(
        name='Prediction', x=predictions.index, y=predictions['pred'], mode='lines',
    ),
    go.Scatter(
        name='Real value', x=data_test.index, y=data_test['Demand'], mode='lines',
    ),
    go.Scatter(
        name='Upper Bound', x=predictions.index, y=predictions['upper_bound'],
        mode='lines', marker=dict(color="#444"), line=dict(width=0), showlegend=False
    ),
    go.Scatter(
        name='Lower Bound', x=predictions.index, y=predictions['lower_bound'],
        marker=dict(color="#444"), line=dict(width=0), mode='lines',
        fillcolor='rgba(68, 68, 68, 0.3)', fill='tonexty', showlegend=False
    )
])
fig.update_layout(
    title="Real value vs predicted in test data",
    xaxis_title="Date time",
    yaxis_title="Demand",
    width=800,
    height=400,
    margin=dict(l=20, r=20, t=35, b=20),
    hovermode="x",
    legend=dict(orientation="h", yanchor="top", y=1.1, xanchor="left", x=0.001)
)
fig.show()

# Predicted interval coverage (on test data)
# ==============================================================================
coverage = calculate_coverage(
              y_true       = data.loc[end_validation:, "Demand"],
              lower_bound  = predictions["lower_bound"],
              upper_bound  = predictions["upper_bound"]
           )
area = (predictions['upper_bound'] - predictions['lower_bound']).sum()
print(f"Total area of the interval: {round(area, 2)}")
print(f"Predicted interval coverage: {round(100 * coverage, 2)} %")

Total area of the interval: 336324.75
Predicted interval coverage: 87.64 %

The observed coverage of the intervals is close to the theoretically expected coverage (90%).

Model explanaibility and interpretability

Due to the complex nature of many modern machine learning models, such as ensemble methods, they often function as black boxes, making it difficult to understand why a particular prediction was made. Explanability techniques aim to demystify these models, providing insight into their inner workings and helping to build trust, improve transparency, and meet regulatory requirements in various domains. Enhancing model explainability not only helps to understand model behavior, but also helps to identify biases, improve model performance, and enable stakeholders to make more informed decisions based on machine learning insights.

Skforecast is compatible with some of the most popular model explainability methods: model-specific feature importances, SHAP values, and partial dependence plots.

# Create and train forecaster
# ==============================================================================
forecaster = ForecasterRecursive(
                 regressor       = LGBMRegressor(**best_params),
                 lags            = lags_select,
                 window_features = window_features
             )
forecaster.fit(
    y    = data.loc[:end_validation, 'Demand'],
    exog = data.loc[:end_validation, exog_select]
)

# Model-specific feature importances
# ==============================================================================
feature_importances = forecaster.get_feature_importances()
feature_importances.head(10)

Shap values

SHAP (SHapley Additive exPlanations) values are a popular method for explaining machine learning models, as they help to understand how variables and values influence predictions visually and quantitatively.

It is possible to generate SHAP-values explanations from skforecast models with just two essential elements:

• The internal regressor of the forecaster.

• The training matrices created from the time series and exogenous features, used to fit the forecaster.

By leveraging these two components, users can create insightful and interpretable explanations for their skforecast models. These explanations can be used to verify the reliability of the model, identify the most significant factors that contribute to model predictions, and gain a deeper understanding of the underlying relationship between the input variables and the target variable.

Hide

# Training matrices used by the forecaster to fit the internal regressor
# ==============================================================================
X_train, y_train = forecaster.create_train_X_y(
                       y    = data_train['Demand'],
                       exog = data_train[exog_select]
                   )
display(X_train.head(3))
display(y_train.head(3))

	lag_1	lag_2	lag_3	lag_23	lag_24	lag_25	lag_47	lag_48	lag_49	roll_mean_72	...	poly_hour_cos__sunset_hour_sin	poly_hour_cos__sunset_hour_cos	Temperature_window_1D_mean	Temperature_window_1D_max	Temperature_window_1D_min	Temperature_window_7D_mean	Temperature_window_7D_max	Temperature_window_7D_min	Temperature	Holiday
Time
2012-01-11 00:00:00	5087.274902	4925.770996	4661.530762	4988.975098	4963.185059	4896.571289	5039.643066	4958.630371	4886.074219	4386.356154	...	-0.707107	0.707107	16.140625	19.575001	13.175	19.321875	29.0	13.175	15.150	0.0
2012-01-11 01:00:00	5107.675781	5087.274902	4925.770996	5006.663086	4988.975098	4963.185059	5090.203125	5039.643066	4958.630371	4398.891398	...	-0.683013	0.683013	16.042707	19.575001	13.175	19.291666	29.0	13.175	15.425	0.0
2012-01-11 02:00:00	5126.337891	5107.675781	5087.274902	4977.723633	5006.663086	4988.975098	5108.837402	5090.203125	5039.643066	4410.526191	...	-0.612372	0.612372	15.939584	19.575001	13.175	19.255507	29.0	13.175	14.800	0.0

3 rows × 55 columns

Time
2012-01-11 00:00:00    5107.675781
2012-01-11 01:00:00    5126.337891
2012-01-11 02:00:00    5103.370605
Freq: h, Name: y, dtype: float32

Hide

# Create SHAP explainer (for three base models)
# ==============================================================================
shap.initjs()
explainer = shap.TreeExplainer(forecaster.regressor)

# Sample 50% of the data to speed up the calculation
rng = np.random.default_rng(seed=785412)
sample = rng.choice(X_train.index, size=int(len(X_train)*0.5), replace=False)
X_train_sample = X_train.loc[sample, :]
shap_values = explainer.shap_values(X_train_sample)

✎ Note

Shap library has several explainers, each designed for a different type of model. The shap.TreeExplainer explainer is used for tree-based models, such as the LGBMRegressor used in this example. For more information, see the SHAP documentation.

Hide

# Shap summary plot (top 10)
# ==============================================================================
shap.summary_plot(shap_values, X_train_sample, max_display=10, show=False)
fig, ax = plt.gcf(), plt.gca()
ax.set_title("SHAP Summary plot")
ax.tick_params(labelsize=8)
fig.set_size_inches(8, 4.5)

Hide

# Force plot for the first observation
# ==============================================================================
shap.force_plot(explainer.expected_value, shap_values[0,:], X_train_sample.iloc[0,:])

Direct multi-step forecasting

The ForecasterRecursive and ForecasterRecursiveCustom models follow a recursive strategy in which each new prediction is based on the previous one. Another strategy for multi-step forecasting involves training a separate model for each step to be predicted. This is known as direct multi-step forecasting and, although more computationally expensive than the recursive approach due to the need to train multiple models, it may yield better results.

# Forecaster with direct method
# ==============================================================================
forecaster = ForecasterDirect(
                 regressor       = LGBMRegressor(**best_params),
                 steps           = 24,
                 lags            = lags_select,
                 window_features = window_features
             )

# Backtesting model
# ==============================================================================
metric, predictions = backtesting_forecaster(
                          forecaster = forecaster,
                          y          = data['Demand'],
                          exog       = data[exog_select],
                          cv         = cv,
                          metric     = 'mean_absolute_error'
                      )

display(metric)
predictions.head()

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The direct multi-step forecasting model outperforms the predictive capability of the recursive model, further reducing the mean absolute error. However, it is important to keep in mind its higher computational cost in assessing whether it is worth implementing.

Anticipated daily forecast

So far, we have evaluated the model under the assumption that the forecasts for the next day are generated at exactly 11:59 PM each day. However, this approach is impractical because there is no time to manage the early hours of the next day.

Now, suppose that the predictions for the next day need to be made at 11:00 AM each day to allow enough time. This means that at 11:00 on day $D$ you have to forecast the hours [12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23] of the same day and the hours [0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23] of day $D+1$. This means that a total of 36 hours into the future have to be predicted, although only the last 24 hours have to be stored.

This type of evaluation can be easily done using the backtesting_forecaster() function and its gap argument. In addition, the allow_incomplete_fold argument allows the last fold to be excluded from the analysis if it does not have the same size as the required number of steps. The process adapted to this scenario is run on a daily basis and consists of the following steps:

1. At 11:00 a.m. on the first day of the test set, the next 36 hours (the remaining 12 hours of the day plus 24 hours of the following day) are predicted.

2. Only the forecasts for the next day are stored, i.e. starting from position 12.

3. The next day until 11:00 a.m. is added to the test set.

4. The process is repeated.

Thus, at 11:00 a.m. each day, the model has access to the actual demand values recorded up to that time.

# End of initial_train_size + 12 positions
# ==============================================================================
data.iloc[:len(data.loc[:end_validation]) + 12].tail(2)

# Forecaster
# ==============================================================================
forecaster = ForecasterRecursive(
                 regressor       = LGBMRegressor(**best_params),
                 lags            = lags_select,
                 window_features = window_features
             )

# Backtesting with gap
# ==============================================================================
cv = TimeSeriesFold(
        steps              = 24,
        initial_train_size = len(data.loc[:end_validation]) + 12,
        refit              = False,
        gap                = 12,
)

metric, predictions = backtesting_forecaster(
                          forecaster = forecaster,
                          y          = data['Demand'],
                          exog       = data[exog_select],
                          cv         = cv,
                          metric     = 'mean_absolute_error'
                      )
display(metric)
predictions.head(5)

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As expected, the error increases as the forecast horizon increases from 24 to 36 hours.

Conclusions

The use of gradient boosting models has proven to be a powerful tool for forecasting energy demand. One of the main advantages of these models is that they can easily incorporate exogenous variables, which can significantly improve the predictive power of the model. In addition, the use of explicability techniques can help to visually and quantitatively understand how variables and values affect predictions. All of these issues are easily addressed using the skforecast library.

Session information

import session_info
session_info.show(html=False)

-----
astral              3.2
feature_engine      1.8.3
lightgbm            4.6.0
matplotlib          3.9.4
numpy               1.26.4
optuna              4.2.1
pandas              2.2.3
plotly              6.0.0
session_info        1.0.0
shap                0.46.0
skforecast          0.15.0
sklearn             1.5.2
statsmodels         0.14.4
-----
IPython             8.32.0
jupyter_client      8.6.3
jupyter_core        5.7.2
notebook            6.5.7
-----
Python 3.12.9 | packaged by Anaconda, Inc. | (main, Feb  6 2025, 18:56:27) [GCC 11.2.0]
Linux-5.15.0-1077-aws-x86_64-with-glibc2.31
-----
Session information updated at 2025-03-12 09:12

Citation

How to cite this document

If you use this document or any part of it, please acknowledge the source, thank you!

Forecasting energy demand with machine learning by Joaquín Amat Rodrigo and Javier Escobar Ortiz, available under Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0 DEED) at https://www.cienciadedatos.net/documentos/py29-forecasting-electricity-power-demand-python.html

How to cite skforecast

If you use skforecast for a publication, we would appreciate it if you cite the published software.

Zenodo:

Amat Rodrigo, Joaquin, & Escobar Ortiz, Javier. (2024). skforecast (v0.15.0). Zenodo. https://doi.org/10.5281/zenodo.8382788

APA:

Amat Rodrigo, J., & Escobar Ortiz, J. (2024). skforecast (Version 0.15.0) [Computer software]. https://doi.org/10.5281/zenodo.8382788

BibTeX:

@software{skforecast, author = {Amat Rodrigo, Joaquin and Escobar Ortiz, Javier}, title = {skforecast}, version = {0.15.0}, month = {03}, year = {2025}, license = {BSD-3-Clause}, url = {https://skforecast.org/}, doi = {10.5281/zenodo.8382788} }

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