{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/probabilistic-multivariate-electricity-price","title":"Probabilistic multivariate electricity price forecasting using implicit generative ensemble post-processing","arxiv_id":"2005.13417","date":"2020-05-27","proceeding":null,"authors":["Tim Janke","Florian Steinke"],"abstract":"The reliable estimation of forecast uncertainties is crucial for risk-sensitive optimal decision making. In this paper, we propose implicit generative ensemble post-processing, a novel framework for multivariate probabilistic electricity price forecasting. We use a likelihood-free implicit generative model based on an ensemble of point forecasting models to generate multivariate electricity price scenarios with a coherent dependency structure as a representation of the joint predictive distribution. Our ensemble post-processing method outperforms well-established model combination benchmarks. This is demonstrated on a data set from the German day-ahead market. As our method works on top of an ensemble of domain-specific expert models, it can readily be deployed to other forecasting tasks.","url_abs":"https://arxiv.org/abs/2005.13417v1","url_pdf":"https://arxiv.org/pdf/2005.13417v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"probabilistic-multivariate-electricity-price","repo_url":"https://github.com/TimCJanke/PMAPS2020_IGEP","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"tf","reach":null}],"tasks":[{"task_slug":"decision-making","task_name":"Decision Making"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}