[Turing-Southampton] S3RI seminar: Matteo Fasiolo, Thursday 2-3pm

[Ogden H.E.]

Dear all,

On Thursday (14 November) at 2pm in 54 / 10037 (10B), we have an S3RI seminar from Matteo Fasiolo (University of Bristol) on "Calibrated additive quantile regression for short-term electricity demand forecasting". Details are given below.

The seminar will also be available via a live web-cast at
https://southampton.cloud.panopto.eu/Panopto/Pages/Viewer.aspx?id=87cc7058-7742-472a-a423-ab020087d032

The talk will be followed by tea and cake in the staff reading room on level 4 of building 54.

All are welcome!

Best wishes,

Helen

Calibrated additive quantile regression for short-term electricity demand forecasting

Matteo Fasiolo, University of Bristol

In the electricity industry, short-term demand forecasts are an essential input for operations such as energy trading, production planning and transmission grid management. Generalized additive models (GAMs) have proved successful in this context, because they offer competitive predictive accuracy while retaining interpretability. A major limitation of GAMs is the parametric assumption on the distribution of the response, hence this talk focusses on more flexible non-parametric quantile regression GAM (QGAM) models.  In particular, we show how QGAMs can be fitted in an empirical Bayesian framework, aimed at providing good predictive performance and calibrated credible intervals, at a moderate computational cost. Depending on time, we might also discuss the implementation of the new methods in the qgam R package.


For the current schedule of S3RI seminars, see https://tinyurl.com/s3riseminar<https://eur03.safelinks.protection.outlook.com/?url=https%3A%2F%2Ftinyurl.com%2Fs3riseminar&data=01%7C01%7C%7C85fad7ff54d04deb19fe08d766800d5f%7C4a5378f929f44d3ebe89669d03ada9d8%7C0&sdata=dIlQ%2FygN4VS73RZt0RIrRUZwMwU0oJSOFFWyxCkQQ8g%3D&reserved=0>
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