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Sustainability 2018, 10(5), 1568; https://doi.org/10.3390/su10051568

A Multi-Stage Intelligent Model for Electricity Price Prediction Based on the Beveridge–Nelson Disintegration Approach

1,2
,
1,2,* and 1,2
1
School of Economics and Management, North China Electric Power University, Beijing 102206, China
2
Beijing Key Laboratory of New Energy and Low-Carbon Development, North China Electric Power University, Changping, Beijing 102206, China
*
Author to whom correspondence should be addressed.
Received: 22 April 2018 / Revised: 10 May 2018 / Accepted: 11 May 2018 / Published: 14 May 2018
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Abstract

Accurate electricity price prediction is key to the orderly operation of the electricity market. However, the uncertain, stochastic and fluctuant characteristics of electricity pricees make prediction difficult. With the aim of solving this issue, this investigation proposed a multi-stage intelligent model integrating the Beveridge–Nelson decomposition (B-N-D) model, the least square support vector machine (LSSVM), and a nature-inspired optimization model named the whale optimization algorithm (WOA). Firstly, the B-N-D model was utilized to decompose the hourly electricity price time series into determinacy component, periodic trend, and stochastic item. Secondly, the WOA–LSSVM model was proposed to forecast the future hourly data of three components respectively, of which the optimal parameters of LSSVM were determined by using WOA. Finally, the future hourly electricity price data were computed by multiplying the forecasted data of those terms. To verify the validity of the proposed electricity price prediction model in this paper, five comparison approaches based on the B-N-D approach were selected, which are auto-regressive integrated moving average (ARIMA), single LSSVM, LSSVM optimized by the fruit-fly optimization algorithm (FOA), LSSVM optimized by particle swarm optimization (PSO) models, and WOA–LSSVM without B-N-D. By comparatively analyzing the error criteria values of the above models through testing on the objective data of the Pennsylvania–New Jersey–Maryland (PJM) electricity market collected from 11 December 2017 to 18 December 2017, from 15 January 2018 to 22 January 2018, and from 1 February 2018 to 25 February 2018, we conclude that the constructed intelligent model in this paper can greatly enhance the prediction precision of electricity prices. View Full-Text
Keywords: electricity price prediction; Beveridge–Nelson decomposition approach; least square support vector machine; whale optimization algorithm; multi-stage intelligent model electricity price prediction; Beveridge–Nelson decomposition approach; least square support vector machine; whale optimization algorithm; multi-stage intelligent model
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Zhao, H.; Guo, S.; Zhao, H. A Multi-Stage Intelligent Model for Electricity Price Prediction Based on the Beveridge–Nelson Disintegration Approach. Sustainability 2018, 10, 1568.

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