A hybrid approach for probabilistic forecasting of electricity price

Can Wan, Zhao Xu, Yelei Wang, Zhao Yang Dong, Kit Po Wong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

135 Citations (Scopus)

Abstract

The electricity market plays a key role in realizing the economic prophecy of smart grids. Accurate and reliable electricity market price forecasting is essential to facilitate various decision making activities of market participants in the future smart grid environment. However, due to the nonstationarities involved in market clearing prices (MCPs), it is rather difficult to accurately predict MCPs in advance. The challenge is getting intensified as more and more renewable energy and other new technologies emerged in smart grids. Therefore transformation from traditional point forecasts to probabilistic interval forecasts can be of great importance to quantify the uncertainties of potential forecasts, thus effectively supporting the decision making activities against uncertainties and risks ahead. This paper proposes a hybrid approach to construct prediction intervals of MCPs with a two-stage formulation. In the first stage, extreme learning machine (ELM) is applied to estimate point forecasts of MCPs and model uncertainties involved. In the second stage, the maximum likelihood method is used to estimate the noise variance. A generalized and comprehensive evaluation framework for probabilistic electricity price forecasting is proposed in this paper. The effectiveness of the proposed hybrid method has been validated through comprehensive tests using real price data from Australian electricity market.
Original languageEnglish
Article number6596510
Pages (from-to)463-470
Number of pages8
JournalIEEE Transactions on Smart Grid
Volume5
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • Artificial neural network
  • bootstrap
  • electricity price forecasting
  • maximum likelihood estimation
  • prediction intervals

ASJC Scopus subject areas

  • Computer Science(all)

Cite this