Preprint Article Version 1 NOT YET PEER-REVIEWED

Ensemble Prediction Model with Expert Selection for Electricity Price Forecasting

  1. Department of Computer Science, Aalborg University, Aalborg 9100, Denmark
  2. Department of Electrical Engineering and Computer Science, Masdar Institute of Science and Technology, Abu Dhabi, UAE
Version 1 : Received: 7 September 2016 / Approved: 8 September 2016 / Online: 8 September 2016 (11:52:52 CEST)

How to cite: Neupane, B.; Woon, W.; Aung, Z. Ensemble Prediction Model with Expert Selection for Electricity Price Forecasting. Preprints 2016, 2016090031 (doi: 10.20944/preprints201609.0031.v1). Neupane, B.; Woon, W.; Aung, Z. Ensemble Prediction Model with Expert Selection for Electricity Price Forecasting. Preprints 2016, 2016090031 (doi: 10.20944/preprints201609.0031.v1).

Abstract

Day-ahead forecasting of electricity prices is important in deregulated electricity markets for all the stakeholders: energy wholesalers, traders, retailers, and consumers. Electricity price forecasting is an inherently difficult problem due to its special characteristic of dynamicity and non-stationarity. In this paper, we present a robust price forecasting mechanism that shows resilience towards aggregate demand response effect and provides highly accurate forecasted electricity prices to the stakeholders in a dynamic environment. We employ an ensemble prediction model in which a group of different algorithms participate in predicting the price for each hour of a day. We propose two different strategies, namely, Fixed Weight Method (FWM) and Varying Weight Method (VWM), for selecting each hour's expert algorithm from the set of participating algorithms. In addition, we utilize a carefully engineered set of features selected from a pool of features derived from information such as past electricity price data, weather data, and calendar data. The proposed ensemble model offers better results than both the Pattern Sequence-based Forecasting (PSF) method and our own previous work using Artificial Neural Networks (ANN) alone do on the datasets for New York, Australian, and Spanish electricity markets.

Subject Areas

electricity price forecasting; ensemble model; expert selection

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