A novel intelligent strategy for probabilistic electricity price forecasting: Wavelet neural network based modified dolphin optimization algorithm

作者：Rafiei Mehdi; Niknam Taher^*; Khooban Mohammad Hassan

来源：Journal of Intelligent and Fuzzy Systems, 2016, 31(1): 301-312.

DOI：10.3233/IFS-162142

• Probabilistic forecasting
• wavelet neural network
• modified dolphin echolocation optimization algorithm
• wavelet preprocessing
• prediction intervals

To simplify decision making of market participants, a careful and reliable electricity market price forecasting method is indispensable. Nevertheless, due to the Instability in market clearing prices (MCPs), it is rather tough to forecast MCPs accurately. Using probabilistic forecasting is a new solution to overcome the low accuracy of forecast. Transformation from traditional point forecasts to probabilistic interval forecasts is too important to model the uncertainties of forecasts. Thus the decision making activities of market participants are supported against uncertainties and risks effectively. In this paper a hybrid approach to achieve prediction intervals (PIs) of MCPs is proposed that modified dolphin echolocation optimization algorithm (MDEOA) is applied to estimate point forecasts, model uncertainties, and noise variance. This proposed electricity price probabilistic forecasting method is evaluated by a generalized and comprehensive framework. To test the proposed hybrid method, real price data from Ontario, New England, and, Australian electricity markets are used and effectiveness of the method is validated.

• 出版日期2016