Electricity Market Price Forecasting: Neural Networks versus Weighted-Distance k Nearest Neighbours
In today’s deregulated markets, forecasting energy prices is becoming more and more important. In the short term, expected price profiles help market participants to determine their bidding strategies. Consequently, accuracy in forecasting hourly prices is crucial for generation companies (GENCOs) t...
| Autores: | , , , , |
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| Tipo de recurso: | capítulo de libro |
| Estado: | Versión publicada |
| Fecha de publicación: | 2002 |
| País: | España |
| Institución: | Universidad de Sevilla (US) |
| Repositorio: | idUS. Depósito de Investigación de la Universidad de Sevilla |
| OAI Identifier: | oai:idus.us.es:11441/39159 |
| Acceso en línea: | http://hdl.handle.net/11441/39159 https://doi.org/10.1007/3-540-46146-9_32 |
| Access Level: | acceso abierto |
| Palabra clave: | Data Structures Cryptology and Information Theory Artificial Intelligence (incl. Robotics) Database Management Information Storage and Retrieval Information Systems Applications (incl. Internet) Multimedia Information Systems |
| Sumario: | In today’s deregulated markets, forecasting energy prices is becoming more and more important. In the short term, expected price profiles help market participants to determine their bidding strategies. Consequently, accuracy in forecasting hourly prices is crucial for generation companies (GENCOs) to reduce the risk of over/underestimating the revenue obtained by selling energy. This paper presents and compares two techniques to deal with energy price forecasting time series: an Artificial Neural Network (ANN) and a combined k Nearest Neighbours (kNN) and Genetic algorithm (GA). First, a customized recurrent Multi-layer Perceptron is developed and applied to the 24-hour energy price forecasting problem, and the expected errors are quantified. Second, a k nearest neighbours algorithm is proposed using a Weighted-Euclidean distance. The weights are estimated by using a genetic algorithm. The performance of both methods on electricity market energy price forecasting is compared. |
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