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A new short-term energy price forecasting method based on wavelet neural network

Author

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  • Farshid Keynia
  • Azim Heydari

Abstract

A wavelet neural network (WNN) is proposed for short-term price forecasting (STPF) in electricity markets. Back propagation algorithm is used for training the wavelet neural network for prediction. Weights in the back propagation algorithm are usually initialised with small random values. If the random initial weights happen to be far from a suitable solution or near a poor local optimum, training may take a long time or get trapped in the local optimum. In this paper, we show that WNN has acceptable prediction properties compared to other forecasting techniques. We investigated proper weight initialisations of WNN, and proved that it attains a superior prediction performance. Finally, we used a two-step correlation analysis algorithm for input selecting. This algorithm selects the best relevant and non-redundant input features for WNN. Our model is examined for MCP prediction of the Spanish market and LMP forecasting in PJM (Pennsylvania, New Jersey and Maryland) market for the year 2002 and 2006 respectively.

Suggested Citation

  • Farshid Keynia & Azim Heydari, 2019. "A new short-term energy price forecasting method based on wavelet neural network," International Journal of Mathematics in Operational Research, Inderscience Enterprises Ltd, vol. 14(1), pages 1-14.
    • Handle: RePEc:ids:ijmore:v:14:y:2019:i:1:p:1-14
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    Citations

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    Cited by:

    1. Heydari, Azim & Majidi Nezhad, Meysam & Pirshayan, Elmira & Astiaso Garcia, Davide & Keynia, Farshid & De Santoli, Livio, 2020. "Short-term electricity price and load forecasting in isolated power grids based on composite neural network and gravitational search optimization algorithm," Applied Energy, Elsevier, vol. 277(C).
    2. Majidi Nezhad, M. & Heydari, A. & Pirshayan, E. & Groppi, D. & Astiaso Garcia, D., 2021. "A novel forecasting model for wind speed assessment using sentinel family satellites images and machine learning method," Renewable Energy, Elsevier, vol. 179(C), pages 2198-2211.
    3. Majidi Nezhad, M. & Heydari, A. & Groppi, D. & Cumo, F. & Astiaso Garcia, D., 2020. "Wind source potential assessment using Sentinel 1 satellite and a new forecasting model based on machine learning: A case study Sardinia islands," Renewable Energy, Elsevier, vol. 155(C), pages 212-224.

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