Fuzzy Markov predictor in multi-step electric load forecasting

We present three different approaches for multi-step prediction using the fuzzy Markov predictor (FMP). The FMP is a modification of the hidden Markov model in order to enable it to predict numerical values. In the first approach, the one normally used in neural networks, past predictions are used as input for the next predictions. The second and third approaches follow the standard way of making multi-step prediction in a dynamic Bayesian network. FMP using these three approaches is applied to the task of monthly electric load multi-step forecasting and successfully compared with two Kalman filter models, BATS and STAMP, and two traditional forecasting methods, Box-Jenkins and Winters exponential smoothing.