Probabilistic DAM price forecasting using a combined Quantile Regression Deep Neural Network with less-crossing quantiles

2021 
In this paper we propose a Quantile Regression Deep Neural Network capable of forecasting multiple quantiles in one model using a combined quantile loss function, and apply it to probabilistically forecast the prices of 8 European Day Ahead Markets. We show that the proposed loss function significantly reduces the quantile crossing problem to (near) 0% in all markets considered, while in some cases simultaneously increasing forecasting performance based on classical point forecast metrics applied to the expected value of the probabilistic forecast. The models are optimized using an automated approach with an elaborate feature- and hyperparameter search space, leading to good model performance in all considered markets.
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