In this paper, we examine the issues caused by a mismatch in loss functions in typical predict and optimise problems with specific reference to the \(3^{rd}\) Technical Challenge of the IEEE Computational Intelligence Society. In this competition, entrants were asked to forecast building energy use and solar generation at six buildings and six solar installations, and then use their forecast to optimize energy cost while scheduling classes and batteries over a month. We examine the possible effect of underforecasting and overforecasting and asymmetric errors on the optimisation cost. We explore the different nature of loss functions for the prediction and optimisation phase and propose to adjust the final forecasts for a better optimisation cost. We report that while there is a positive correlation between these two, more appropriate loss functions can be used to optimise the costs associated with final decisions. Our findings are of significant value in designing forecasting and decision-making systems.

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Understanding the Asymmetric Impact of Forecast Accuracy on Decision Quality

  • Mahdi Abolghasemi,
  • Richard Bean

摘要

In this paper, we examine the issues caused by a mismatch in loss functions in typical predict and optimise problems with specific reference to the \(3^{rd}\) Technical Challenge of the IEEE Computational Intelligence Society. In this competition, entrants were asked to forecast building energy use and solar generation at six buildings and six solar installations, and then use their forecast to optimize energy cost while scheduling classes and batteries over a month. We examine the possible effect of underforecasting and overforecasting and asymmetric errors on the optimisation cost. We explore the different nature of loss functions for the prediction and optimisation phase and propose to adjust the final forecasts for a better optimisation cost. We report that while there is a positive correlation between these two, more appropriate loss functions can be used to optimise the costs associated with final decisions. Our findings are of significant value in designing forecasting and decision-making systems.