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Electricity is an indicator that shows the progress of a civilization; it is a product that has greatly changed the way we think about the world. Electricity price forecasting became a fundamental task in all countries due to the deregulation of the electricity market in the 1990s. This work examines the effectiveness of using multiple variables for price prediction given the large number of factors that could influence the price of the electricity market. The tests were carried out over four periods using data from Spain and deep learning models. Two different attribute selection methods based on Pearson's correlation coefficient have been used to improve the efficiency of the training process. The variables used as input to the different prediction models were chosen, considering those most commonly used previously in the literature. This study attempts to test whether using time series lags improves the non-use of lags. The results obtained have shown that lags improve the results compared to a previous work in which no lags were used. [ABSTRACT FROM AUTHOR]

This paper presents a novel hybrid model integrating maximal overlap discrete wavelet transform (MODWT) denoising and empirical mode decomposition (EMD) with sequence-to-sequence (seq2seq) long short-term memory (LSTM) neural networks for day-ahead electricity price forecasting. The nonstationary and nonlinear time series electricity price data are first denoised using MODWT. The resulting signal is decomposed into several intrinsic mode functions (IMF) with different resolutions by EMD. The extracted IMF is then introduced into seq2seq LSTM to obtain an aggregated predicted value for electricity price. The proposed method is examined using the Nord pool Elspot energy market data. Empirical results show that the proposed model outperformed the other forecasting models like LSTM and stacked LSTM. The performance measures indicate that data denoising can significantly improve the prediction stability and the generalization ability of the LSTM model. [ABSTRACT FROM AUTHOR]

With the deregulation of the electric energy industry, accurate electricity price forecasting (EPF) is increasingly significant to market participants' bidding strategies and uncertainty risk control. However, it remains a challenging task owing to the high volatility and complicated nonlinearity of electricity prices. Aimed at this, a novel hybrid deep-learning framework is proposed for day-ahead EPF, which includes four modules: the feature preprocessing module, the deep learning-based point prediction module, the error compensation module, and the probabilistic prediction module. The feature preprocessing module is based on isolation forest (IF), and least absolute shrinkage and selection operator (Lasso), which is used to detect outliers and select the correlated features of electricity price series. The point prediction module combines the deep belief network (DBN), long-short-term memory (LSTM) neural network (RNN), and convolutional neural network (CNN), and is employed to extract complicated nonlinear features. The residual error between forecasting price and actual price can be reduced based on the error compensation module. The probabilistic prediction module based on quantile regression (QR) is used to estimate the uncertainty under various confidence levels. The PJM market data is employed in case studies to evaluate the proposed framework, and the results revealed that it has a competitive advantage compared with all of the considered comparison methods.

As artificial neural network architectures grow increasingly more efficient in time-series prediction tasks, their use for day-ahead electricity price and demand prediction, a task with very specific rules and highly volatile dataset values, grows more attractive. Without a standardized way to compare the efficiency of algorithms and methods for forecasting electricity metrics, it is hard to have a good sense of the strengths and weaknesses of each approach. In this paper, we create models in several neural network architectures for predicting the electricity price on the HUPX market and electricity load in Montenegro and compare them to multiple neural network models on the same basis (using the same dataset and metrics). The results show the promising efficiency of neural networks in general for the task of short-term prediction in the field, with methods combining fully connected layers and recurrent neural or temporal convolutional layers performing the best. The feature extraction power of convolutional layers shows very promising results and recommends the further exploration of temporal convolutional networks in the field.

Deregulation exposes the inherent volatility of the electricity price. Accurate electricity price forecasting (EPF) could help the market participants to hedge against the price movements and maximise their profits. The existing methods have limited capability of integrating other external factors into the forecasting model, such as weather, electricity consumption and natural gas price. This study proposes a deep recurrent neural network (DRNN) method to forecast day-ahead electricity price in a deregulated electricity market to explore the complex dependence structure of the multivariate EPF model. The proposed method can learn the indirect relationship between electricity price and external factors through its efficient diverse function and multi-layer structure. The effectiveness of the method is validated using data from the New England electricity market. Compared with the up-to-date techniques, the proposed DRNN outperforms the single support vector machine (SVM) by 29.71%, and the improved hybrid SVM network by 21.04% in terms of mean absolute percentage error.

In 20th century, many countries have liberalized their electricity market. This power markets liberalization has directed generation companies as well as wholesale buyers to undertake a greater intense risk exposure compared to the old centralized framework. In this framework, electricity price prediction has become crucial for any market player in their decision-making process as well as strategic planning. In this study, a prototype asymmetric-based neuro-fuzzy network (AGFINN) architecture has been implemented for short-term electricity prices forecasting for ISO New England market. AGFINN framework has been designed through two different defuzzification schemes. Fuzzy clustering has been explored as an initial step for defining the fuzzy rules while an asymmetric Gaussian membership function has been utilized in the fuzzification part of the model. Results related to the minimum and maximum electricity prices for ISO New England, emphasize the superiority of the proposed model over well-established learning-based models.

• A novel deep learning-based framework with correlation analysis and parameter optimization is proposed and applied to model day-ahead electricity price scenarios. • The proposed hybrid prediction algorithm named convolutional neural network+stacked sparse denoising auto-encoders has the ability to improve prediction accuracy and stability of results significantly. • The network architecture of convolutional neural network+stacked sparse denoising auto-encoders can accelerate training time and convergence. • ICEEMDAN is introduced into the hybrid prediction framework, which can enhance the performance of hybrid prediction model. Day-ahead electricity price forecasting plays a vital role in electricity markets under liberalization and deregulation, which can provide references for participants in bidding strategies, energy trading, and risk management. However, due to various uncertain factors, electricity prices often exhibit nonlinearity, randomness, and volatility, adding technical difficulties to accurate price forecasting. To address these difficulties, A novel hybrid deep learning-based model named convolutional neural network+stacked sparse denoising auto-encoders is proposed first. Moreover, the improved complete ensemble empirical mode decomposition with adaptive noise, a decomposition method, is introduced to enhance model performance by the decomposition of complex data sequences. Each intrinsic mode function sub-component obtained by decomposition is separately predicted using the proposed hybrid model, and the forecast result of day-ahead prices is superimposed finally. Taking the Australian national electricity market as a case study, the experimental results verify that the proposed hybrid model can effectively improve prediction accuracy and stability, and shows outstanding prediction performance for price spikes. Furthermore, the proposed model can save training time for neural networks in the prediction process thanks to its faster convergence speed. Hence, the proposed deep learning-based hybrid predictive model can provide a technology-based reference for electricity market participants. [Display omitted] [ABSTRACT FROM AUTHOR]

This study proposes a model‐free approach for day‐ahead electricity price forecasting. The proposed approached is based on the singular spectrum analysis (SSA) technique. The SSA is a relatively new and powerful technique in time series analysis and forecasting thanks to its well‐known capabilities in extracting the main structure of the broad classes of the time series. In this study, it is shown that SSA can be employed to decompose the original electricity price series into trend, periodic and noisy components. The main part of the price series, that is, the trend and harmonic components, is reconstructed by removing the noise component from the original series. The reconstructed price series is then used for forecasting the day‐ahead electricity prices. The proposed approach is evaluated by analysing and forecasting of the day‐ahead electricity prices in the Australian and Spanish electricity markets. The forecasting results confirm the superiority of the SSA approach compared with some of the recently published forecasting techniques. [ABSTRACT FROM AUTHOR]

As artificial neural network architectures grow increasingly more efficient in time-series prediction tasks, their use for day-ahead electricity price and demand prediction, a task with very specific rules and highly volatile dataset values, grows more attractive. Without a standardized way to compare the efficiency of algorithms and methods for forecasting electricity metrics, it is hard to have a good sense of the strengths and weaknesses of each approach. In this paper, we create models in several neural network architectures for predicting the electricity price on the HUPX market and electricity load in Montenegro and compare them to multiple neural network models on the same basis (using the same dataset and metrics). The results show the promising efficiency of neural networks in general for the task of short-term prediction in the field, with methods combining fully connected layers and recurrent neural or temporal convolutional layers performing the best. The feature extraction power of convolutional layers shows very promising results and recommends the further exploration of temporal convolutional networks in the field. [ABSTRACT FROM AUTHOR]

In 20th century, many countries have liberalized their electricity market. This power markets liberalization has directed generation companies as well as wholesale buyers to undertake a greater intense risk exposure compared to the old centralized framework. In this framework, electricity price prediction has become crucial for any market player in their decision-making process as well as strategic planning. In this study, a prototype asymmetric-based neuro-fuzzy network (AGFINN) architecture has been implemented for short-term electricity prices forecasting for ISO New England market. AGFINN framework has been designed through two different defuzzification schemes. Fuzzy clustering has been explored as an initial step for defining the fuzzy rules while an asymmetric Gaussian membership function has been utilized in the fuzzification part of the model. Results related to the minimum and maximum electricity prices for ISO New England, emphasize the superiority of the proposed model over well-established learning-based models. [ABSTRACT FROM AUTHOR]