Code covered by the BSD License  

Highlights from
Electricity Load and Price Forecasting Webinar Case Study

image thumbnail

Electricity Load and Price Forecasting Webinar Case Study


Ameya Deoras (view profile)


10 Sep 2010 (Updated )

Slides and MATLABĀ® code for the day-ahead system load and price forecasting case study.

filterDates(startDate, endDate, N, X, Y)
function dates = filterDates(startDate, endDate, N, X, Y)
% FILTERDATES returns a list of dates between the start and end dates that
% satisfy certain criteria. These criteria are specified as the following
% rule: "Nth X of Y" where N is the occurrence, X is the day type and Y is 
% a month or year. This enables you to filter dates that match rules such as
% "Last business day of the month",  "Third Friday in April", 
% "All Mondays, Wednesdays and Fridays in June and July",
% "Second last business day in July", "Second through Fourth business days
% of June through December"
% dates = filterDates(startDate, endDate, N, X, Y)
% startDate and endDate are specify the start and end dates of the date
% range. They can be either scalar date numbers, or scalar date strings.
% N, X and Y can take the following values:
% N: A (vector of) integers, positive specifying the Nth occurence, negative specifying
%    the Nth last occurence. For example N = -1 implies "last", -2 "second
%    to last", 3 "third" and so on. N = 0 implies "all". Note: The N vector
%    must either be ALL POSITIVE, ALL NEGATIVE or SCALAR 0. Combinations
%    cannot be used. Use multiple calls to filterDates to achieve this.
% X: Day of the week (specified by integers 1 through 7 with 1
%    corresponding to Sunday), business day (specified by "B"), weekday ("W"),
%    holiday ("H") or any day ("D"). Note: options 'B' or 'H' require Financial Toolbox.
% Y: "The month" ("M"), a specific month of the year (integers 1 through 12), or 
%    "The year" ("Y")
% For example, 
% (1, 5, 7) "First Thursday of July"
% (3, 'B', 4) "Third business day of April"
% (-1, 'W', 'M') "Last weekday of the month" (equivalent to (-1, 2:6, 'M'))
% (-3:-1, 'H', 'Y') "Last three holidays of the year (Labor day, thanksgiving, Christmas)"
% (0, 2, 'M') "All mondays of the month" (equivalent to (0, 1, 'Y'))
% Example:
% % Last business days of the months between June 2008 and July 2011
% dates = filterDates('2008-06-04','2011-07-31',-1,'B','M');
% datestr(dates)

% 0. Check inputs
assert(all(N>0) || all(N<0) || isscalar(N)&&N==0, 'N must be all positive integers, all negative integers or scalar 0');
assert(isnumeric(X) && all(X>=1) && all(X<=7) || ischar(X) && ~isempty(X) && any(lower(X(1))=='bwhd'), 'X must be an integer between 1 & 7 or character B, W, H or D');
assert(isnumeric(Y) && all(Y>=1) && all(Y<=12)|| ischar(Y) && ~isempty(Y) && any(lower(Y(1))=='ym'), 'Y must be an integer between 1 & 12 or character Y or M');

% 1. Convert startDate and endDate into their numeric representations
startDate = datenum(startDate);
endDate = datenum(endDate);

% 2. Adjust actual startDate and endDate to accomodate all rules. A safety
% buffer (of around 7 days) is added to accommodate edge cases. A
% sufficiently large safety buffer should not completely get filtered out
% when filters such as "business days" or "month of June" are applied.
[yr1,mo1] = datevec(startDate);
[yr2,mo2] = datevec(endDate);
if ischar(Y) && lower(Y(1)) == 'y' 
    % If looking for "Nth X of the year" we should start from the last day
    % of the year before startDate (minus safety buffer) to first day of
    % year after endDate (plus safety buffer).
    sd = datenum([yr1,1,1])-1-max(abs(N))-7;
    ed = datenum([yr2+1,1,1])+max(abs(N))+7;
    % If looking for "Nth X of a month" we should start from the last day
    % of the month before startDate (minus safety buffer) to first day of
    % month after endDate (plus safety buffer).
    sd = datenum([yr1,mo1,1])-1-max(abs(N))-7; 
    ed = datenum([yr2,mo2+1,1])+max(abs(N))+7;
allDates = sd:ed;

% 3. Filter by day type. For example, if we are requesting mondays, keep
% only mondays. If requesting business days or holidays, keep only business
% days or holidays.
if isnumeric(X)
    ind = ismember(weekday(allDates), X);
elseif lower(X) == 'b'
    ind = isbusday(allDates);
elseif lower(X) == 'w'
    ind = ismember(weekday(allDates), 2:6);
elseif lower(X) == 'h'
    ind = ismember(allDates,holidays);
    ind = true(size(allDates));
allDates = allDates(ind);
[yr,mo] = datevec(allDates);

% 4.a. If the set class is a specific month of the year (eg. June), filter
% out all dates outside June. Then calculate the index of the first day in
% the month (where there is a change in the month). Also remember the
% first or last+1 index of the data to accomodate rules that filter the
% dates to match only a certain day or month when the date range also only
% spans days of that month. Eg. "5th Day of June" between June 4 and June 26
% In this case there is no "change in month" as any dates outside June have
% been filtered out.
if isnumeric(Y)
    allDates = allDates(ismember(mo, Y));
    [yr,mo] = datevec(allDates);
    ind = find(diff(mo)~=0 | diff(yr)~=0)+1; % Find the index of date where the month changes (this is the first of that month)
    if all(N < 0)
        ind = union(ind, length(allDates)+1); % Tack on last+1 index
    elseif all(N > 0)
        ind = union(ind, 1); % Tack on first index

% 4.b. If the set class is simply "any month" or "any year", just find the
% index of the first day of each month or year respectively.
if ischar(Y) && lower(Y) == 'y'
    ind = find(diff(yr)~=0)+1;
elseif ischar(Y) && lower(Y) == 'm'
    ind = find(diff(mo)~=0 | diff(yr)~=0)+1;
% 5. Compute final index vector. The vector IND should now correspond to
% the "first" X of Y or "all" X of Y. Add N (or N-1) to compute the Nth X of Y as required.
% Note, this code is vectorized to handle vectors of N.
if all(N == 0)
    finalInd = 1:length(allDates); % Return all matching dates
    finalInd = bsxfun(@plus, ind, N(:)); % Really just ind + N for different sizes of ind and N
    finalInd = finalInd(:);
    if all(N > 0)
        finalInd = finalInd - 1; % Offset because of 1 based indexing
finalInd = finalInd(finalInd>0 & finalInd<=length(allDates)); % Remove invalid indices (this is okay because of the safety buffer)

% 6. Filter dates & return
allDates = allDates(finalInd);
dates = allDates(allDates>=startDate & allDates<=endDate);

Contact us