IDEAS home Printed from https://ideas.repec.org/a/gam/jeners/v14y2021i19p6065-d641639.html
   My bibliography  Save this article

Forecasting of Market Clearing Volume Using Wavelet Packet-Based Neural Networks with Tracking Signals

Author

Listed:
  • Sumit Saroha

    (Department of Electrical Engineering, Guru Jambheshwar University of Science and Technology, Hisar 125001, India)

  • Marta Zurek-Mortka

    (Department of Control Systems, Łukasiewicz Research Network—Institute for Sustainable Technologies, 26600 Radom, Poland)

  • Jerzy Ryszard Szymanski

    (Faculty of Transport, Electrical Engineering and Computer Science, Kazimierz Pulaski University of Technology and Humanities, 26000 Radom, Poland)

  • Vineet Shekher

    (Department of Electrical and Electronics Engineering, Birsa Institute of Technology Sindri, Dhanbad 828123, India)

  • Pardeep Singla

    (Department of Electronics and Communications Engineering, Deenbandhu Chhotu Ram University of Science and Technology, Sonepat 131001, India)

Abstract

In order to analyze the nature of electrical demand series in deregulated electricity markets, various forecasting tools have been used. All these forecasting models have been developed to improve the accuracy of the reliability of the model. Therefore, a Wavelet Packet Decomposition (WPD) was implemented to decompose the demand series into subseries. Each subseries has been forecasted individually with the help of the features of that series, and features were chosen on the basis of mutual correlation among all-time lags using an Auto Correlation Function (ACF). Thus, in this context, a new hybrid WPD-based Linear Neural Network with Tapped Delay (LNNTD) model, with a cyclic one-month moving window for a one-year market clearing volume (MCV) forecasting has been proposed. The proposed model has been effectively implemented in two years (2015–2016) and unconstrained MCV data collected from the Indian Energy Exchange (IEX) for 12 grid regions of India. The results presented by the proposed models are better in terms of accuracy, with a yearly average MAPE of 0.201%, MAE of 9.056 MWh, and coefficient of regression ( R 2 ) of 0.9996. Further, forecasts of the proposed model have been validated using tracking signals (TS’s) in which the values of TS’s lie within a balanced limit between −492 to 6.83, and universality of the model has been carried out effectively using multiple steps-ahead forecasting up to the sixth step. It has been found out that hybrid models are powerful forecasting tools for demand forecasting.

Suggested Citation

  • Sumit Saroha & Marta Zurek-Mortka & Jerzy Ryszard Szymanski & Vineet Shekher & Pardeep Singla, 2021. "Forecasting of Market Clearing Volume Using Wavelet Packet-Based Neural Networks with Tracking Signals," Energies, MDPI, vol. 14(19), pages 1-21, September.
    • Handle: RePEc:gam:jeners:v:14:y:2021:i:19:p:6065-:d:641639
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1996-1073/14/19/6065/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1996-1073/14/19/6065/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Cao, Jian & Li, Zhi & Li, Jian, 2019. "Financial time series forecasting model based on CEEMDAN and LSTM," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 519(C), pages 127-139.
    2. Hahn, Heiko & Meyer-Nieberg, Silja & Pickl, Stefan, 2009. "Electric load forecasting methods: Tools for decision making," European Journal of Operational Research, Elsevier, vol. 199(3), pages 902-907, December.
    3. Deepak Gupta & Mahardhika Pratama & Zhenyuan Ma & Jun Li & Mukesh Prasad, 2019. "Financial time series forecasting using twin support vector regression," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-27, March.
    4. Xiaoyu Gao & Chengying Qi & Guixiang Xue & Jiancai Song & Yahui Zhang & Shi-ang Yu, 2020. "Forecasting the Heat Load of Residential Buildings with Heat Metering Based on CEEMDAN-SVR," Energies, MDPI, vol. 13(22), pages 1-19, November.
    5. Gao, Bixuan & Huang, Xiaoqiao & Shi, Junsheng & Tai, Yonghang & Zhang, Jun, 2020. "Hourly forecasting of solar irradiance based on CEEMDAN and multi-strategy CNN-LSTM neural networks," Renewable Energy, Elsevier, vol. 162(C), pages 1665-1683.
    6. Vaghefi, A. & Jafari, M.A. & Bisse, Emmanuel & Lu, Y. & Brouwer, J., 2014. "Modeling and forecasting of cooling and electricity load demand," Applied Energy, Elsevier, vol. 136(C), pages 186-196.
    7. Seon Hyeog Kim & Gyul Lee & Gu-Young Kwon & Do-In Kim & Yong-June Shin, 2018. "Deep Learning Based on Multi-Decomposition for Short-Term Load Forecasting," Energies, MDPI, vol. 11(12), pages 1-17, December.
    8. Zhang, Yagang & Pan, Guifang & Chen, Bing & Han, Jingyi & Zhao, Yuan & Zhang, Chenhong, 2020. "Short-term wind speed prediction model based on GA-ANN improved by VMD," Renewable Energy, Elsevier, vol. 156(C), pages 1373-1388.
    9. McClain, John O., 1988. "Dominant tracking signals," International Journal of Forecasting, Elsevier, vol. 4(4), pages 563-572.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adela Bâra & Simona‐Vasilica Oprea, 2024. "Embedding the weather prediction errors (WPE) into the photovoltaic (PV) forecasting method using deep learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1173-1198, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xuliang Tang & Heng Wan & Weiwen Wang & Mengxu Gu & Linfeng Wang & Linfeng Gan, 2023. "Lithium-Ion Battery Remaining Useful Life Prediction Based on Hybrid Model," Sustainability, MDPI, vol. 15(7), pages 1-18, April.
    2. Lu, Hongfang & Ma, Xin & Huang, Kun & Azimi, Mohammadamin, 2020. "Prediction of offshore wind farm power using a novel two-stage model combining kernel-based nonlinear extension of the Arps decline model with a multi-objective grey wolf optimizer," Renewable and Sustainable Energy Reviews, Elsevier, vol. 127(C).
    3. Sanghyuk Yoo & Sangyong Jeon & Seunghwan Jeong & Heesoo Lee & Hosun Ryou & Taehyun Park & Yeonji Choi & Kyongjoo Oh, 2021. "Prediction of the Change Points in Stock Markets Using DAE-LSTM," Sustainability, MDPI, vol. 13(21), pages 1-15, October.
    4. Xiangzhou Chen & Zhi Long, 2023. "E-Commerce Enterprises Financial Risk Prediction Based on FA-PSO-LSTM Neural Network Deep Learning Model," Sustainability, MDPI, vol. 15(7), pages 1-17, March.
    5. Lin, Yu & Lu, Qin & Tan, Bin & Yu, Yuanyuan, 2022. "Forecasting energy prices using a novel hybrid model with variational mode decomposition," Energy, Elsevier, vol. 246(C).
    6. Dongsu Kim & Yongjun Lee & Kyungil Chin & Pedro J. Mago & Heejin Cho & Jian Zhang, 2023. "Implementation of a Long Short-Term Memory Transfer Learning (LSTM-TL)-Based Data-Driven Model for Building Energy Demand Forecasting," Sustainability, MDPI, vol. 15(3), pages 1-23, January.
    7. Seyed Mehrzad Asaad Sajadi & Pouya Khodaee & Ehsan Hajizadeh & Sabri Farhadi & Sohaib Dastgoshade & Bo Du, 2022. "Deep Learning-Based Methods for Forecasting Brent Crude Oil Return Considering COVID-19 Pandemic Effect," Energies, MDPI, vol. 15(21), pages 1-23, October.
    8. Xie, Yiwei & Hu, Pingfang & Zhu, Na & Lei, Fei & Xing, Lu & Xu, Linghong & Sun, Qiming, 2020. "A hybrid short-term load forecasting model and its application in ground source heat pump with cooling storage system," Renewable Energy, Elsevier, vol. 161(C), pages 1244-1259.
    9. Zhou, Feite & Huang, Zhehao & Zhang, Changhong, 2022. "Carbon price forecasting based on CEEMDAN and LSTM," Applied Energy, Elsevier, vol. 311(C).
    10. Li, Jingmiao & Wang, Jun, 2020. "Forcasting of energy futures market and synchronization based on stochastic gated recurrent unit model," Energy, Elsevier, vol. 213(C).
    11. Kaijian He & Qian Yang & Lei Ji & Jingcheng Pan & Yingchao Zou, 2023. "Financial Time Series Forecasting with the Deep Learning Ensemble Model," Mathematics, MDPI, vol. 11(4), pages 1-15, February.
    12. Shangfu Wei & Xiaoqing Bai, 2022. "Multi-Step Short-Term Building Energy Consumption Forecasting Based on Singular Spectrum Analysis and Hybrid Neural Network," Energies, MDPI, vol. 15(5), pages 1-21, February.
    13. Seungho Baek & Kwan Yong Lee & Merih Uctum & Seok Hee Oh, 2020. "Robo-Advisors: Machine Learning in Trend-Following ETF Investments," Sustainability, MDPI, vol. 12(16), pages 1-15, August.
    14. Xiaodong Zhang & Suhui Liu & Xin Zheng, 2021. "Stock Price Movement Prediction Based on a Deep Factorization Machine and the Attention Mechanism," Mathematics, MDPI, vol. 9(8), pages 1-21, April.
    15. Wen-Jie Liu & Yu-Ting Bai & Xue-Bo Jin & Ting-Li Su & Jian-Lei Kong, 2022. "Adaptive Broad Echo State Network for Nonstationary Time Series Forecasting," Mathematics, MDPI, vol. 10(17), pages 1-21, September.
    16. Yun Chen & Chengwei Liang & Dengcheng Liu & Qingren Niu & Xinke Miao & Guangyu Dong & Liguang Li & Shanbin Liao & Xiaoci Ni & Xiaobo Huang, 2022. "Embedding-Graph-Neural-Network for Transient NOx Emissions Prediction," Energies, MDPI, vol. 16(1), pages 1-20, December.
    17. Yoonjae Noh & Jong-Min Kim & Soongoo Hong & Sangjin Kim, 2023. "Deep Learning Model for Multivariate High-Frequency Time-Series Data: Financial Market Index Prediction," Mathematics, MDPI, vol. 11(16), pages 1-18, August.
    18. Cheng Zhao & Ping Hu & Xiaohui Liu & Xuefeng Lan & Haiming Zhang, 2023. "Stock Market Analysis Using Time Series Relational Models for Stock Price Prediction," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
    19. Kamaladdin Fataliyev & Aneesh Chivukula & Mukesh Prasad & Wei Liu, 2021. "Stock Market Analysis with Text Data: A Review," Papers 2106.12985, arXiv.org, revised Jul 2021.
    20. Qingyuan Wang & Longnv Huang & Jiehui Huang & Qiaoan Liu & Limin Chen & Yin Liang & Peter X. Liu & Chunquan Li, 2022. "A Hybrid Generative Adversarial Network Model for Ultra Short-Term Wind Speed Prediction," Sustainability, MDPI, vol. 14(15), pages 1-16, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jeners:v:14:y:2021:i:19:p:6065-:d:641639. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.