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A hybrid day-ahead electricity price forecasting framework based on time series

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  • Xiong, Xiaoping
  • Qing, Guohua

Abstract

Electricity price forecasting (EPF) plays an indispensable role in the decision-making processes of electricity market participants. However, the complexity of electricity markets has made EPF increasingly difficult. Currently, popular methods for EPF are based on signal decomposition and suffer from computational redundancy and hyperparameter optimization challenges. In this paper, we propose a new hybrid forecasting framework to improve the forecasting accuracy of day-ahead electricity prices. The proposed model consists of three valuable strategies. First, an adaptive copula-based feature selection (ACBFS) algorithm based on the maximum correlation minimum redundancy criterion is proposed for selecting model input features. Second, a new method of signal decomposition technique for EPF field is proposed based on decomposition denoising strategy. Third, a Bayesian optimization and hyperband (BOHB) optimized long short-term memory (LSTM) model is used to improve the effect of hyperparameter settings on the prediction results. The effectiveness of the different techniques was broadly cross-validated using five datasets set up for the PJM electricity market, and the results indicated that the proposed hybrid algorithm is more effective and practical for day-ahead EPF.

Suggested Citation

  • Xiong, Xiaoping & Qing, Guohua, 2023. "A hybrid day-ahead electricity price forecasting framework based on time series," Energy, Elsevier, vol. 264(C).
    • Handle: RePEc:eee:energy:v:264:y:2023:i:c:s0360544222029851
    DOI: 10.1016/j.energy.2022.126099
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    References listed on IDEAS

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    Cited by:

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    3. Ghimire, Sujan & Deo, Ravinesh C. & Casillas-Pérez, David & Salcedo-Sanz, Sancho, 2024. "Two-step deep learning framework with error compensation technique for short-term, half-hourly electricity price forecasting," Applied Energy, Elsevier, vol. 353(PA).
    4. Sun-Feel Yang & So-Won Choi & Eul-Bum Lee, 2023. "A Prediction Model for Spot LNG Prices Based on Machine Learning Algorithms to Reduce Fluctuation Risks in Purchasing Prices," Energies, MDPI, vol. 16(11), pages 1-39, May.
    5. Ehsani, Behdad & Pineau, Pierre-Olivier & Charlin, Laurent, 2024. "Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks," Applied Energy, Elsevier, vol. 359(C).
    6. Wu, Han & Liang, Yan & Gao, Xiao-Zhi & Du, Pei, 2024. "Auditory-circuit-motivated deep network with application to short-term electricity price forecasting," Energy, Elsevier, vol. 288(C).
    7. Linian Wang & Jianghong Liu & Huibin Zhang & Leye Wang, 2024. "Revisiting Day-ahead Electricity Price: Simple Model Save Millions," Papers 2405.14893, arXiv.org, revised Aug 2024.
    8. Jie Zhu & Buxiang Zhou & Yiwei Qiu & Tianlei Zang & Yi Zhou & Shi Chen & Ningyi Dai & Huan Luo, 2023. "Survey on Modeling of Temporally and Spatially Interdependent Uncertainties in Renewable Power Systems," Energies, MDPI, vol. 16(16), pages 1-19, August.
    9. Xiong, Yongkang & Zeng, Zhenfeng & Xin, Jianbo & Song, Guanhong & Xia, Yonghong & Xu, Zaide, 2023. "Renewable energy time series regulation strategy considering grid flexible load and N-1 faults," Energy, Elsevier, vol. 284(C).
    10. Li, Jingmiao & Liu, Dehong, 2023. "Carbon price forecasting based on secondary decomposition and feature screening," Energy, Elsevier, vol. 278(PA).

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