Out-of-Distribution-Aware Time Series Conformal Prediction with Adaptive Retraining for Solar Power Forecasting

Abstract

The increasing integration of photovoltaic systems into modern power grids requires forecasting models that not only provide accurate predictions but also reliable uncertainty quantification under evolving operating conditions. In this paper, we propose an Out-of-distribution-aware time series conformal prediction framework with adaptive retraining, designed to address key limitations of standard conformal prediction methods in temporally dependent and dynamically changing environments. The framework is built upon the Ensemble batch prediction intervals method, which enables distribution-free uncertainty quantification without relying on a fixed calibration set, making it particularly suitable for time series applications. To ensure robustness to distribution shifts, a conformal out-of-distribution detection module is incorporated, where out-of-distribution detection is formulated as a hypothesis testing problem and enhanced through calibration-conditional p-values obtained via the Simes correction, providing conservative false-positive control intended to limit unnecessary model retraining. The proposed framework demonstrates superior performance compared to state-of-the-art approaches in uncertainty quantification, while conformal out-of-distribution detection reduces false positives and the adaptive retraining mechanism ensures effective adaptation to evolving data distributions in real-world scenarios.