Explainable Deep Learning with Embedded Feature Selection for Electricity Demand Forecasting

Electricity demand forecasting is an important part of the energy industry strategy. Accurate predictions are crucial for maintaining a stable energy supply, planning production, managing distribution, preventing grid overloads, integrating renewable energy sources, and reducing costs and environmental impact. Machine learning and, in particular, deep learning are promising techniques to improve the prediction accuracy of electric demand, but face challenges related to a lack of interpretability due to the "black box" nature of some models. Feature selection methods address these issues by identifying relevant features and simplifying the learning process, This paper aims to explain the most critical lags that impact electric demand forecasting in Spain using the temporal selection layer technique within deep learning models for time series forecasting. This technique transforms a neural network into a model with embedded feature selection, aiming to enhance efficacy and interpretability while reducing computational costs. The results were compared with other methods that incorporate an embedded feature selection mechanism to select the best model. Furthermore, an explainable technique is used to assess the feature importance in the best model over the last year to understand how input features influence electric demand forecasting and provide insights into their contributions and interactions. The results show that our approach improves both the efficacy and interpretability in the context of electric demand forecasting.