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Documenti di Cultura
301-308 (2003)
301
ABSTRACT
Grey theory is a truly multidisciplinary and generic theory that deals with systems which are characterized by poor information and /or for which information is
lacking. In this paper, a modified grey model, combined with a simple statistical
method to determine the model coefficient and a sectional model, by using another
variable to modify the original grey prediction model for long-term forecasting, is
proposed. This new method not only can improve the prediction accuracy of the original grey model, but also can make it suitable for long-term forecasting. Finally, we
use power demand forecasting in Taiwan for our case study to test the efficiency and
accuracy of the proposed method.
Key Words: grey theory, modified GM(1,1) model, long-term forecasting.
I. INTRODUCTION
Grey theory, developed originally by Deng
(1982), is a truly multidisciplinary and generic theory
that deals with systems which are characterized by
poor information and /or for which information is
lacking. The fields covered by grey theory include
systems analysis, data processing, modeling, prediction, decision-making and control. Grey theory
mainly works on a system analysis with poor, incomplete or uncertain messages. Grey forecasting models have been extensively used in many applications
(e.g., Sun, 1991; Morita et al., 1996; Huang and
Wang, 1997; Hsu and Wen, 1998; Hsu and Chen,
1999; Yue and Wang, 2000; Hao and Wang, 2000;
Xing, 2001). In contrast to statistical methods, the
potency of the original series in the time series grey
model, called GM(1,1), has been proven to be at least
four (Deng, 1986). In addition, assumptions regarding statistical distribution of data are not necessary
when applying grey theory. The accumulated
*Corresponding author. (Tel: 886-6-6523111 ext. 263; Fax: 8866-6523614; Email: stronghs@mail.njtc.edu.tw)
C. C. Hsu is with the Department of Resources Engineering,
National Cheng-Kung University, Tainan, Taiwan 701, R.O.C. and
is currently with the faculty of the Department of Industrial Engineering and Management, Nan-Jeon College of Technology,
Tainan, Taiwan 737, R.O.C.
C. Y. Chen is with the Department of Resources Engineering,
National Cheng-Kung University, Tainan, Taiwan 701, R.O.C.
generation operation (AGO) is one of the most important characteristics of grey theory, and its main
purpose is to reduce the randomness of data. In fact,
functions derived from AGO formulations of original series are always well fitted to exponential functions.
But, using the original GM(1,1) model may face
problems in that this model cannot reflect real system growth trends among different periods and it is
not suitable for long-term forecasting. In this paper,
a modified grey model combined with a simple statistical method to determine the model coefficient and
a sectional model by using another variable to modify
the original grey prediction model for long-term forecasting is proposed. This new method not only can
improve the prediction accuracy of the original grey
model, but also can solve the long-term forecasting
problem for which the original grey model is not
suitable. Finally, we use power demand forecasting
in Taiwan for our case study to examine the model
reliability and accuracy.
II. ORIGINAL GM(1,1) FORECASTING
MODEL
The GM(1,1) is one of the most frequently used
grey forecasting models. This model is a time-series
forecasting model encompassing a group of differential equations adapted for parameter variance from a
first-order differential equation. Its difference
302
(1)
(2)
where
x (1)(1)=x (0)(1), and x (1)(k) =
x (0)(m)
m=1
k=2, 3, ... , n
(3)
(4)
(5)
(10)
where x (0) (1), x (0) (2), ..., x (0) (n) are called the
GM(1,1) fitted sequence, while x (0)(n+1), x (0)(n+2),
..., are called the GM(1,1) forecast values.
III. MODIFIED MODELING METHOD OF GM
(1,1) FORECASTING MODEL
Obviously, using the GM(1,1) model may face
some problems. First of all, a real system will grow
at different speeds during the whole period, but it is
difficult for the original GM(1,1) model to reflect real
growth trends among the different periods, since it is
just suitable for one exponential growth rule.
Secondly, it has been proven that this model is not
suitable for long-term forecasting, since the absolute
value of model coefficient a is too large it may lead
to a larger prediction error (Liu and Deng, 2000). In
order to solve these problems, a new modified modeling method of the GM(1,1) forecasting model is
proposed as follows.
Usually, the coefficients a and b in Eq. (5) are
determined by using the least square method as stated
in Eqs. (5)-(8). Obviously, through this method, the
estimated value of coefficients a and b is not necessarily the optimum value. Thus, a new method based
on statistical theory to determine the estimated value
of coefficients a and b is described as follows.
According to the given data sequence as Eq.(1),
we can obtain a new data sequence as:
where
A(k)=(a(1), a(2), a(3), ..., a(n1)),
[a, b] T = (B T B) 1 B T X n
(6)
(k=1, 2, ... , n1)
(11)
and
where
0.5(x (1)(1)
B=
x (1)(2))
+
,
1
1
n1
(8)
, x (0)(n),
(12)
(7)
(9)
E(A) =
1
a(k)
n 1 k
=1
S 2(A) =
(13)
n1
1
[a(k) E(A)] 2
n 1 k
=1
(14)
For the general prediction problem, some unusual data may lead to a large predicted error. In
order more reasonably to determine the optimum
value of a, the influence of these unusual data must
be removed. Analytical experience indicates that if
303
C. C. Hsu and C. Y. Chen: A Modified Grey Forecasting Model for Long-Term Prediction
, x (0)(p 1))
, x (0)(q 1))
(k=1, 2, ... , m)
(15)
where mn1
Then the optimum estimated value a of the coefficient a could be calculated by:
1
a=m
(16)
(17)
(21)
a *(k)
k=1
, x (0)(n))
x1(0)(k 1) = (x (0)(1)
b1
a
a (k 1)
) (1 e 1) e 1 1
,
a1
k 1=2, 3, ..., p1
x2(0)(k 2) = (x (0)(p)
b2
a
a (k 1)
) (1 e 2) e 2 2
,
a2
where
Z=
xm(0)(k m) = (x (0)(s)
(18)
bm
a
a (k 1)
) (1 e m) e m m ,
am
(22)
(19)
=X nZ
(20)
where
X
Z
304
Power Demand
(10 3 Wh)
37447713
38155718
42318625
45826958
47919102
53812862
59174751
65227727
69251809
74344947
80977405
85290354
92084684
98561004
105368193
111139816
118299046
128129801
131725892
142412887
16
14
GDP
(million NT$)
12
2542505
2632796
2855186
3157823
3314214
3699889
4171439
4498496
4868833
5131506
5519140
5932383
6348468
6799720
7236536
7678126
8190783
8565134
9050887
9528774
10
6
4
2
0
1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000
Year
Fig. 1 The GDP and Power Demand of Taiwan from 1981 to 2000
305
C. C. Hsu and C. Y. Chen: A Modified Grey Forecasting Model for Long-Term Prediction
Unit:10 3 Wh
Year
Real Values
Original GM(1,1)
Model Value Error(%)
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
37447713
38155718
42318625
45826958
47919102
53812862
59174751
65227727
69251809
74344947
80977405
85290354
92084684
98561004
105368193
111139816
118299046
128129801
131725892
142412887
37447713
41062515
44128430
47423261
50964099
54769313
58858641
63253296
67976077
73051483
78505841
84367447
90666708
97436300
104711340
112529569
120931542
129960845
139664318
150092296
0.00
7.62
4.28
3.48
6.35
1.78
-0.53
-3.03
-1.84
-1.74
-3.05
-1.08
-1.54
-1.14
-0.62
1.25
2.23
1.43
6.03
5.39
MAPE 1982-1998
MAPE 1999-2000
EOSM GM(1,1)
Model Value Error(%)
NEOSM GM(1,1)
Model Value Error(%)
37447713
39961651
42644355
45507154
48562138
52297572
57076113
62291279
67982966
74194714
79635852
85303296
91374074
97876891
104842494
111329636
117628362
124283452
131315069
138744515
37447713
40004685
42843144
45825726
48846657
54218944
58974744
64147698
69774396
74316615
79751842
85584579
91843901
98561004
104682255
111183674
118088872
125422925
133212469
141485792
2.53
5.71
0.00
4.73
0.77
-0.70
1.34
-2.82
-3.55
-4.50
-1.83
-0.20
-1.66
0.02
-0.77
-0.69
-0.50
0.17
-0.57
-3.00
-0.31
-2.58
1.64
1.44
0.00
4.85
1.24
0.00
1.94
0.75
-0.34
-1.66
0.75
-0.04
-1.51
0.34
-0.26
0.00
-0.65
0.04
-0.18
-2.11
1.13
-0.65
0.98
0.89
Year
Real Values
MCRM GM(1,1)
Model Value
Error(%)
ARIMA
Model Value
Error(%)
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
37447713
38155718
42318625
45826958
47919102
53812862
59174751
65227727
69251809
74344947
80977405
85290354
92084684
98561004
105368193
111139816
118299046
128129801
131725892
142412887
37447713
39465553
42538599
45840529
49388434
53200683
60420266
64807950
69523789
74592284
80039762
85894519
92186961
98949765
106218047
111029589
119438260
128474231
138184341
148618928
37447713
38761907
39488842
43760929
47358649
49503037
55540047
61027642
67217759
71330442
76532991
83303679
87704112
94632681
101233142
108167077
114043347
121329004
131327655
134983604
MAPE 1982-1998
MAPE 1999-2000
n
0.00
3.43
0.52
0.03
3.07
-1.14
2.10
-0.64
0.39
0.33
-1.16
0.71
0.11
0.39
0.81
-0.10
0.96
0.27
4.90
4.36
0.95
4.63
0.00
1.59
-6.69
-4.51
-1.17
-8.01
-6.14
-6.44
-2.94
-4.05
-5.49
-2.33
-4.76
-3.99
-3.92
-2.67
-3.60
-5.31
-0.30
-5.22
4.33
2.76
306
170000000
150000000
103 Wh
130000000
110000000
Real Values
Original GM (1,1)
EOSM GM (1,1)
NEOSM GM (1,1)
MCRM GM (1,1)
ARIMA
Model Fitting
90000000
Posterior forecasting
70000000
50000000
30000000
1981 1983
1985 1987 1989
1991
1993 1995
1997
1999
1982
1984
1986
1988 1990
1992 1994
1996
1998
2000
Year
Fig. 2 Real Values and model values for power demand of Taiwan from 1981 to 2000
8.00
6.00
4.00
Original GM (1,1)
EOSM GM(1,1)
NEOSM GM(1,1)
MCRM GM(1,1)
ARIMA
2.00
0.00
-2.00
-4.00
-6.00
-8.00
1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000
Year
Fig. 3 Model percentage error distribution from 1982 to 2000
In order to apply this modified model for longterm forecasting, we use the estimated value of future economic growth rate information to obtain the
approximate future growth trend of power demand
during the same periods. Through this method, the
future modified GM(1,1) model coefficient a can be
evaluated by using the estimated value of future economic growth rate. The advantages of this method
are not only to avoid the original GM(1,1) model
which not suitable for long-term forecasting due to
the unreliable coefficient a, but to set up a different
situation of future economic growth rate in the probable range to simulate different model coefficients,
a, to increase the model flexibility and suitability as
a model operator. TPC (Taiwan Power Company) is
a government entity and the sole utility in Taiwan.
TPC has set up a long-term power demand prediction
database for Taiwan. Referring to TPC data (Taiwan
Power Company, 2001), the assumed economic
growth rate of Taiwan in the next 10 years (2001~
307
C. C. Hsu and C. Y. Chen: A Modified Grey Forecasting Model for Long-Term Prediction
2001-2005
2006-2010
4.40
4.15
3.90
3.65
3.40
3.15
Unit: 10 3 Wh
Year
GM(1,1)
MCRM
GM(1,1)
ARIMA
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
161298874
173342188
186284710
200193580
215140950
231204360
248467137
267018832
286955682
308381108
159832085
171881948
184830990
198746351
213700183
229770026
247039208
265597279
285540476
306972221
145843855
149329039
152868624
156462783
160111675
163815449
167574240
171388169
175257347
179181869
148679054
155220932
162050653
169180882
176624841
181762772
189305927
197162123
205344351
213866141
147966990
153737702
159733473
165963078
172435638
176589603
183035123
189715905
196640536
203817915
147254925
152261593
157438487
162791395
168326303
171539715
176943216
182516927
188266211
194196596
8.03%
7.98%
2.32%
4.15%
3.65%
3.15%
Modified GM(1,1)
High Growth Middle Growth Low Growth
310000000
280000000
103 Wh
250000000
Original Model
MCRM GM(1,1)
ARIMA
High Case
Middle Case
Low Case
220000000
190000000
160000000
130000000
2001 2001 2001 2001 2001 2001 2001 2001 2001 2001
Year
Fig. 4 Model forecasting results for power demand of Taiwan from 2001 to 2010
power demand of Taiwan in 2010 will reach a maximum of 213,866 MWh and a minimum of 194,197
MWh. And power demand during 2000~2010 will
show an average annual growth rate between 3.15%~
4.15%. The future power demand forecasting results
of the ARIMA model are the lower than the modified
GM(1,1) model. As for the original GM(1,1) model
and the MCRM GM(1,1) model, the power demand
will keep growing exponentially and the average annual growth rate will reach 8.03% and 7.98% during
308
the same period. According to the economic development situation and power demand of Taiwan today,
the modified GM(1,1) model seems to yield more reasonable power demand predicted results during
2001~2010. Besides, the interval predicted results
of the modified GM(1,1) model may provide more
elasticity and useful information for the decision
maker in future long-term power system planning.
V. CONCLUSIONS
The original GM(1,1) model is a model with a
group of differential equations adapted for variance
of parameters and it is a powerful forecasting model
especially when the number of observations is not
large. This paper has proposed a modified GM(1,1)
model by using a technique that combines a sectional
GM(1,1) model and a modification method by using
the economic growth information to modify the model
coefficient for long-term forecasting. This technique
not only keeps the advantage of easy operation of the
original GM(1,1) model but solves the problems of
the original GM(1,1) model that cannot reflect the
real system with different growth situations during
different stages and is not suitable for long-term
forecasting. The modified GM(1,1) model was then
applied to forecast power demand in Taiwan. Our
research results show that the modified GM(1,1)
model has better forecasting results than the original
GM(1,1) model, MCRM GM(1,1) model and conventional statistical models such as ARIMA model do.
For long-term forecasting, this modified model has
more flexibility and suitability than the original GM
(1,1) model.
Finally, although the modified GM(1,1) model
in this paper can reflect a rapidly changing environment, it still has the problem of choosing a suitable
variable to provide the model operator the information for original GM(1,1) model modification. Guidelines to assist the model developer to find this variable are lacking. Forecasters may, however, use traditional statistical methods such as relation coefficients
to find a suitable variable, which has high relation to
the original series to improve forecasting accuracy.
REFERENCES
Box, G. E. P., Jenkins, G. M., and Reinsel, G. C.,
1994, Time Series Analysis: Forecasting and Control, Prentice Hall, New Jersey.
Chen, C. M., and Lee, H. M., 2002, An Efficient
Gradient Forecasting Search Method Utilizing
Discrete Difference Equation Prediction Model, Applied Intelligence, Vol. 16, No. 2, pp. 4358.
Deng, J. L., 1982, Grey System Fundamental Method,