Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine
Day-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators. Despite the fact that much research on price...
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doaj-8e27e105a23b46f880a8cd11fd4f54d22021-09-26T00:10:13ZengMDPI AGForecasting2571-93942021-06-0132846047710.3390/forecast3030028Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning MachineSajjad Khan0Shahzad Aslam1Iqra Mustafa2Sheraz Aslam3Department of Computer Science, COMSATS University Islamabad, Islamabad 44000, PakistanDepartment of Statistics and Mathematics, Institute of Southern Punjab, Multan 66000, PakistanIndependent Researcher, Islamabad 44000, PakistanDepartment of Electrical Engineering, Computer Engineering and Informatics (EECEI), Cyprus University of Technology, Limassol 3036, CyprusDay-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators. Despite the fact that much research on price forecasting has been published in recent years, it remains a difficult task because of the challenging nature of electricity prices that includes seasonality, sharp fluctuations in price, and high volatility. This study presents a three-stage short-term electricity price forecasting model by employing ensemble empirical mode decomposition (EEMD) and extreme learning machine (ELM). In the proposed model, the EEMD is employed to decompose the actual price signals to overcome the non-linear and non-stationary components in the electricity price data. Then, a day-ahead forecasting is performed using the ELM model. We conduct several experiments on real-time data obtained from three different states of the electricity market in Australia, i.e., Queensland, New South Wales, and Victoria. We also implement various deep learning approaches as benchmark methods, i.e., recurrent neural network, multi-layer perception, support vector machine, and ELM. In order to affirm the performance of our proposed and benchmark approaches, this study performs several performance evaluation metric, including the Diebold–Mariano (DM) test. The results from the experiments show the productiveness of our developed model (in terms of higher accuracy) over its counterparts.https://www.mdpi.com/2571-9394/3/3/28price forecastingensemble empirical mode decompositionextreme learning machinehybrid forecastingsmart grids |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Sajjad Khan Shahzad Aslam Iqra Mustafa Sheraz Aslam |
spellingShingle |
Sajjad Khan Shahzad Aslam Iqra Mustafa Sheraz Aslam Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine Forecasting price forecasting ensemble empirical mode decomposition extreme learning machine hybrid forecasting smart grids |
author_facet |
Sajjad Khan Shahzad Aslam Iqra Mustafa Sheraz Aslam |
author_sort |
Sajjad Khan |
title |
Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine |
title_short |
Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine |
title_full |
Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine |
title_fullStr |
Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine |
title_full_unstemmed |
Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine |
title_sort |
short-term electricity price forecasting by employing ensemble empirical mode decomposition and extreme learning machine |
publisher |
MDPI AG |
series |
Forecasting |
issn |
2571-9394 |
publishDate |
2021-06-01 |
description |
Day-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators. Despite the fact that much research on price forecasting has been published in recent years, it remains a difficult task because of the challenging nature of electricity prices that includes seasonality, sharp fluctuations in price, and high volatility. This study presents a three-stage short-term electricity price forecasting model by employing ensemble empirical mode decomposition (EEMD) and extreme learning machine (ELM). In the proposed model, the EEMD is employed to decompose the actual price signals to overcome the non-linear and non-stationary components in the electricity price data. Then, a day-ahead forecasting is performed using the ELM model. We conduct several experiments on real-time data obtained from three different states of the electricity market in Australia, i.e., Queensland, New South Wales, and Victoria. We also implement various deep learning approaches as benchmark methods, i.e., recurrent neural network, multi-layer perception, support vector machine, and ELM. In order to affirm the performance of our proposed and benchmark approaches, this study performs several performance evaluation metric, including the Diebold–Mariano (DM) test. The results from the experiments show the productiveness of our developed model (in terms of higher accuracy) over its counterparts. |
topic |
price forecasting ensemble empirical mode decomposition extreme learning machine hybrid forecasting smart grids |
url |
https://www.mdpi.com/2571-9394/3/3/28 |
work_keys_str_mv |
AT sajjadkhan shorttermelectricitypriceforecastingbyemployingensembleempiricalmodedecompositionandextremelearningmachine AT shahzadaslam shorttermelectricitypriceforecastingbyemployingensembleempiricalmodedecompositionandextremelearningmachine AT iqramustafa shorttermelectricitypriceforecastingbyemployingensembleempiricalmodedecompositionandextremelearningmachine AT sherazaslam shorttermelectricitypriceforecastingbyemployingensembleempiricalmodedecompositionandextremelearningmachine |
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