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Support Vector Machine Applications Electrical Load Forecasting
ICONS Presentation
Spring 2007
N. Sapankevych20 April 2007
N. Sapankevych - 20 April 20072
SVMs and Electrical Load Forecasting
Research Status SVMs, Time Series Prediction, and Electrical
Load Forecasting Relevance Vector Machines Way forward Q&A
AGENDA
N. Sapankevych - 20 April 20073
SVM time series prediction survey complete– Major research focuses on financial market forecasting and
electrical load prediction– Paper to be submitted to IEEE Neural Network Journal
Research focus on Support Vector Machines (SVMs) and their applications for time series prediction
– Expand to Relevance Vector Machines
Thesis topic definition– Apply SVM time series prediction research
Expand research to use relevance vector machines
– Potential collaboration w/ Prof. Domijan and Prof. Islam of USF EE Department
Electrical energy consumption prediction and resource management allocation wrt severe weather
RESEARCH OVERVIEWSVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 20074
Summary of SVM Time Series Prediction Survey
SVM Time Series Prediction Survey Summary
SVMs and Electrical Load Forecasting
Application Number of Published Papers Summarized in this Survey
Financial Market Prediction 21
Electric Utility Forecasting 17
Control Systems and Signal Processing
8
Miscellaneous Applications 8
General Business Applications 5
Environmental Parameter Estimation 4
Machine Reliability Forecasting 3
Comprehensive survey:– 66 specific application papers + 17 general
references/books + 11 SVM specific websites
N. Sapankevych - 20 April 20075
Advantages and challenges of SVM Time Series Prediction
SVM Time Series Prediction Survey Summary (con’t)
SVMs and Electrical Load Forecasting
Time Series Prediction Method
Advantages Challenges
Autoregressive Filter - Can be computationally efficient for low order models
- Convergence guaranteed- Minimizes mean square error by design
- Assumes linear, stationary processes- Can be computationally expensive for higher
order models
Kalman Filter - Computationally efficient by design- Convergence guaranteed- Minimizes mean square error by design
- Assumes linear, stationary processes- Assumes process model is known
Multi-layer Perceptron - Not model dependent - Not dependent on linear, stationary
processes - Can be computationally efficient (feed
forward process)
- Number of free parameters large- Selection of free parameters usually calculated
empirically- Not guaranteed to converge to optimal solution- Can be computationally expensive (training
process)
SVM/SVR - Not model dependent - Not dependent on linear, stationary
processes - Guaranteed to converge to optimal
solution- Small number of free paramters- Can be computationally efficient
- Selection of free parameters usually calculated empirically
- Can be computationally expensive (training process)
N. Sapankevych - 20 April 20076
Seventeen papers reviewed and documented for electrical load prediction using SVMs
– Should note more than half of them use same general approach but different data set
Majority of papers use same basic approach to predict (short term) electrical load demand
– Some models use weather trends as inputs– Free parameters determined empirically
A few papers propose use of other algorithms, such as genetic algorithms and simulated annealing, to assist in parameter selection
– The accurate and optimal selection of the free parameters remains the challenge for SVM Time Series Prediction
Note for the same kernel functions selected, different numerical values found empirically for different applications
No set metrics for measures of effectiveness– RMSE, MSE, MAPE
Prediction horizons short– Typically less than seven samples
No error estimate in prediction (for all applications)
SVM Time Series PredictionElectrical Load Forecasting Summary
SVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 20077
Developed by Tipping in 1999– Michael E. Tipping, The Relevance Vector Machine, patent
number 6633857 (Microsoft Research) Work focused on addressing SVM disadvantages
– No probabilistic output Uncertainty of prediction (regression) or classification (binary
selection) not given– Although, distance from maximum hyperplane (as example) could
infer accuracy?
– In general, need to empirically determine errors relative to free parameters
– Specific rules related to generating kernel functions (Mercer’s conditions)
Relevance Vector MachinesSVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 20078
Formulation uses same form as SVM, but a Bayesian framework is adopted
Goal, from a regression (and ultimately a time series prediction application) point of view, is to provide the predicted “state” as well as an estimate of the uncertainty
Relevance Vector Machines (con’t)SVMs and Electrical Load Forecasting
SVM Architecture There is an underlying assumption in this formulation is that Gaussian statistics are assumed for prediction
– Can this assumption hold for highly non-linear, non-stationary systems?
N. Sapankevych - 20 April 20079
The formulation outline below is summarized from: M. E. Tipping, “The Relevance Vector Machine”, Advances in Neural Information Processing Systems 12, pages 652-658. MIT Press, 2000.
Recall formulation of regression function using SVM
Goal of SVM to determine optimal weights w– Define input vectors xn and “targets” tn
– The targets t are the training data (output) based on the input vector x
Now assume Gaussian distribution for targets– P(t|x) is Gaussian: N(t|y(x),2)
Relevance Vector Machines (con’t)SVMs and Electrical Load Forecasting
N
nnn wxxKwxy
10),()(
N. Sapankevych - 20 April 200710
The likelihood of the data set can be expressed as:– p(t|w,2) maximize this likelihood
By introducing hyperparameters n (necessary to avoid over-fitting) and applying Bayes rule, the posterior probability is generated
– p(w|t,,2) The integration of this equation (over the weights)
produces the marginal likelihood (evidence)– p(t|,2)– Note that Tipping states that integrating out the remaining two
priors can not be done in closed form, and proposes another procedure (see ref)
Goal now is to optimize the hyperparameters and estimate the noise variance
Relevance Vector Machines (con’t)SVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 200711
Tipping showed results of adding Gaussian noise to sinc function (regression)
Relevance Vector Machines (con’t)SVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 200712
Tipping showed results of classification problem
Relevance Vector Machines (con’t)SVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 200713
Why use RVMs?– More sparse representation of the data– Can be more accurate– Kernel function selection not as stringent (Mercer’s Theorem –
Kernel matrix positive semidefinite, etc.)– Uncertainty of estimate now provided
Drawbacks– Training more complex with Bayesian framework
Questions– Is Gaussian assumption on training data representative of
applications where SVM is used?
Relevance Vector Machines (con’t)SVMs and Electrical Load Forecasting
N. Sapankevych - 20 April 200714
Propose integrated predictive model, now based on RVM approach, to predict power loads and potential infrastructure failure probabilities (resource management) in inclement weather
Way Forward: Electrical Load ForecastingSVMs and Electrical Load Forecasting
NWS ProductsTrajectorySizeIntensityDurationAccuracy
Infrastructure DataGeospatial DataPopulation Density DataPhysical Infrastructure LaydownPower Infrastructure MTBFs (as function of Wx and maintenance)Spatial-Temporal Power Loading
Cost DataPersonnel allocationEquipment maintenance and replacementkW-Hr ratesPriorities (residential vs. commercial vs. “critical”)
Integrated Predictive Model
PREPROCESS
PREPROCESS
PREPROCESS
Power Load PredictionDecision Aids to Resource Management Directors
DRAFT ARCHITECTURE
N. Sapankevych - 20 April 200715
What needs to be done– Publish survey paper (final review w/ Prof. Sankar today – per
request)– Work w/ Prof. Sankar, Prof. Domijan and Prof. Islam to:
Clearly define thesis topic Define and obtain necessary data (at least on electrical load side
of problem)– Develop RVM approach to problem
Compare to SVM? Compare to other models (MLP, ARMA, other?) Implement simulation
– Review thesis topic w/ committee members Get buy-in
Way Forward: Electrical Load ForecastingSVMs and Electrical Load Forecasting